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Alexandre Rubesam Profile picture
@arubesam
May 6, 2022 • 5 tweets • 2 min read • Read on X
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Update of #AssetAllocation strats in my package with yesterday's return. Brutal.
Worst static allocation: Sandwhich -12.4% YTD
Worst tactical allocation: Dual momentum -7.9% YTD
Best (least worse) static: Conservative income -6.85%
Best tactical: Ivy +1.36%
YTD statistics for static allocations.
All max drawdown for the year = cumulative return
YTD statistics for tactical allocations:
Why is Ivy doing better? Commodities (DBC FTW)

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More from @arubesam

Alexandre Rubesam Profile picture
Jan 30
Finally had a chance to read the published version of this paper. The authors train a convolutional neural network using images of price and volume charts to predict the direction of the stock. Image
The results are quite interesting and show a lot of promise in terms of developing a trading strat. Here's a figure showing decile returns and vols from portfolios constructed with signals from a CNN trained using images of past 5 days to predict direction of next 5 days return: Image
What is interesting with this type of paper is that I see a lot of reactions like: "See, this paper proves that technical analysis works!"

Like with many things nowadays, theres little room for nuance....
Read 9 tweets
Alexandre Rubesam Profile picture
Jun 15, 2022
Our paper "Covid-19 and herding in global equity markets" (with @GersonJunior__) is now published in the Journal of Behavioral and Experimental Finance and freely available for 30 days using the link below.

#herding #finance #IESEGResearch #COVID19

authors.elsevier.com/a/1fFGk7tZBboo…
In the paper, we investigate the presence of herding in 10 equity markets, with a particular focus on analyzing the Covid-19 period and comparing it with previous crisis period such as the 2007-2008 GFC.
The countries in the study (Australia, Belgium, Brazil, China, France, Italy, Japan, Sweden, the UK, and the US) were chosen because they show a remarkable diversity in terms of governments’ responses to pandemic as well as its impact and the timing of Covid-19 waves.
Read 25 tweets
Alexandre Rubesam Profile picture
Mar 30, 2022
@WifeyAlpha recently posted a thread with 16 buy-and-hold asset allocation schemes, i.e. fixed-weight portfolios that can be implemented with ETFs. I decided to write some code to test these in #R #RStats. The code is available on #RPubs:
rpubs.com/arubesam/stati…
The code is a quick & dirty calculation using monthly returns with monthly rebal. It does not take into account transaction costs. The code can be easily adapted to test other asset allocation schemes.
I use the following #R packages: quantmod to get prices from Yahoo; PerformanceAnalytics for calculation of performance metrics. All backtests start when data for all necessary tickers becomes available.
Read 18 tweets
Alexandre Rubesam Profile picture
Apr 29, 2021
I recently implemented some pairs trading strategies for a paper, and decided to share an implementation of the Gatev, Goetzmann & Rouwenhorst (2006) strategy on a short article on RPubs.
rpubs.com/arubesam/Repli…
#rstats #RPubs #DataScience #finance #pairstrading #reproducibility
In the RPubs post above, I provide the #R code to backtest the strategy, as well as some results replicating Gatev, Goetzmann & Rouwenhorst (2006) and Do and Faff (2010), and extending the sample to the end of 2020. In this thread, I show some of these results.
Pairs trading is a type of systematic trading strategy based on finding pairs of stocks or assets that have historically "moved together", and betting that divergences will eventually get corrected. It is a simple form of statistical arbitrage.
Read 23 tweets
Alexandre Rubesam Profile picture
Jun 21, 2020
I gave myself the challenge of reading (at least) one paper a day, every day. I'm considering keeping a live log in this thread. 🤔 I'll be generous with myself and also count any papers that I'm re-reading.
Yesterday's paper.
Beltz, A. M., & Gates, K. M. (2017). Network Mapping with GIMME. Multivariate Behavioral Research, 52(6), 789–804. doi.org/10.1080/002731…
21/06/2020 - Campbell, J. Y., & Shiller, R. J. (1987). Cointegration and Tests of Present Value Models. Journal of Political Economy, 95(5), 1062–1088.

Brushing up on several present-value papers starting in the 80s.
Read 157 tweets

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