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Entries Tagged as 'lspm'

R Code for Walk-Forward LSPM

December 23rd, 2010 · 8 Comments · Code

At the same time as Josh Ulrich was making some very good points on why to use R, over on his FOSS Trading blog, I was coming to the same realisation that it is a very neat, useful tool indeed. In this post, I’ll present the code I used for the last post on running […]

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Practical Leverage Space Model – a More Realistic Test

December 21st, 2010 · 18 Comments · Money Management

How can you apply the Leverage Space Model in real-life trading? The last study on the Leverage Space Portfolio Model was interesting from a theoretical point of view. Its main value was in illustrating the concepts of the framework with real-life data, but it did not have much practical application: on top of some “unpractical” […]

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Vince's Optimal f and the Leverage Space Model – Take 1

December 2nd, 2010 · 23 Comments · Money Management

Following the Risk-Opportunity Analysis conference I attended earlier this month, I decided to test the model and the software used to implement it (Vince‘s java app and Joshua Ulrich’s R implementation). Most of the mathematical formulas supporting the model are in the book Leverage Space Trading Model. I will not paraphrase the book and reproduce […]

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