Systematic Trading research and development, with a flavour of Trend Following
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Site Migration + Interesting Links

February 17th, 2011 · 3 Comments · Blog

Following the hacking incident last week, I decided to take action to harden the blog security. If you are not interested in the details of it, you can jump to the more interesting trading links at the bottom of the post.

I have decided to move the blog to a new hosting provider: WP Engine, which specializes in hosting WordPress websites. Their tagline is:

We make WordPress fast, secure, and scalable by hosting your site on our rock solid platform

And from the testimonials I have reviewed, they seem to live up to the expectations.

The other aspect of the migration is that I “rebuilt” the blog from scratch: brand new installation of WordPress and plugins, brand new database. Only the essential text content was migrated via file import/export, after running virus checks on them.

This, added to the multiple layers of security that WP Engine implements should keep the hackers at bay, so your browsing of the website should be completely clean and free of badware.

Faster Load Times

Another advantage of this hosting upgrade is that the website should feel noticeably faster to load thanks to the improved performance configuration implemented by WP Engine. I will not go into too much detail, but for those interested they include Content Delivery Network as well as server and WordPress caching, sophisticated hardware and optimized database back-end.

I know how slow websites can be frustrating and I hope you enjoy this upgrade in the blog load time. Let me know if you do not see a marked improvement in performance (note that there is still a possibility that you access the old website – identified by the “Old Version” addition in the header – as the DNS changes can take a few days to fully propagate).

Hopefully I can now go back to my research and blogging instead of chasing malwares and configuring web servers.
 

Not Posting but A Couple of Links

The migration has kept me quite busy and I have not had the time to post anything.

Instead, here are a couple of links on topics that have picked my interest this last week:

  • Trading Blox forum thread on “Blending non-correlated equity curves” (to reduce volatility)

Interesting study from Trader’s Roundtable member sluggo, discussing how diversification decreases volatility in a portfolio. The angle of the study is to look at how the degree of correlation between two equity curves affects how much the volatility decreases when blending the two equity curves (I am simplifying: check the full post and discussion for more info, it is very detailed and complete).

If you have not registered on the Trading Blox forum, you should definitely consider it – even if you are not a Trading Blox customer. The level of discussion and knowledge over there is “top-notch” and will definitely provide some inspiration for trading system design.
 

  • Transtrend Trendpot Measure: measuring trendiness of markets

Mike Covel posted this presentation from Transtrend on how to measure the trendiness of markets:

The purpose of the new measure Trendpot is to help explain and understand the performance (or the lack thereof) of medium to long-term trend following programs.

This is an interesting concept. Such measures can help explain the performance of Trend Following over past periods and help benchmark/monitor a Trend Following trading system: if a Trend Following system has performed “badly” when the trendiness of markets was high, there might be a problem with the system. If it performs badly when the trendiness is low, this should be less of a concern.

In 2008, for example, the trendiness measured via Transtrend Trendpot calculation was the highest of the past 20 years, explaining the stellar performance of most Trend Followers. In 2009 though, the Trendpot value was at the lowest of the last 20 years. Not surprisingly, it was not the best year for Trend Followers.

Check the presentation for more details (PDF link below to the presentation hosted on Mike Covel’s blog):

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3 Comments so far ↓

  • Severus

    The “Transtrend Trendpot Measure” link is really interesting. Thanks a ton.

    And good luck on the new hosting platform. Will look forward to your posts

  • Juanma

    Hi Jez,

    I was looking for a new server and this one looks great. Thanks.

  • D. Hom

    Jez, I learned a lot from the TradingBlox forum thread you linked to. Since I trade options, the post made me think of several synthetically different ways of describing an options portfolio, some with negative correlations but a large spread in returns, and some with zero correlation but where both equity curves had about the same return.

    Thanks also for linking to the online math tools in the thread.

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