Jasen Mackie
Jasen Mackie
Prompted by [this blog post](https://lightfinance.blog/everything-about-faber-a-critical-look-at-market-timing/) referencing the `txnsim()` function we started chatting again about parallelizing the function, so creating an issue for the work with some notes from the discussion...mostly...
It is possible there is a round turn trade with buy and sell transactions occurring on the same whole second timestamp. Not sure about microseconds...should be rare if possible. This...
@braverock suggested adding multivariate support for `mcsim()` which makes sense as the simulations are done using `tsboot()` from the `boot` package which is able to take univariate or multivariate time...
# Algorithmic Transaction Cost Analysis In Chapter 3 of "The Science of Algorithmic Trading and Portfolio Management," Robert Kissell, Ph.D covers a few models that may be worth implementing in...
See https://gist.github.com/jaymon0703/ffef90ee08cbc8a7c2017a6a7bfd876d
Currently in txnsim we layer until there are no more longdf or shortdf rows to sample from. Combined with the maxpos conditional check, it means replicate duration can fall well...
The R-Index by Schimack (2014) intends to penalize QRPs (Questionable Research Practices) and is a "doping test for science." We should be able to use the output from txnsim() to...
A useful feature in the Monte Carlo style function txnsim() is the computation of empirical p-values from the output. The output from simulations of portfolio PL (ie. mcsim) tends to...
De Prado (https://www.amazon.com/Advances-Financial-Machine-Learning-Marcos/dp/1119482089) introduces the Triple Barrier Method concept for labeling observations in a potential ML model for time series. The 3 barriers are 2 horizontal bars (representing profit-taking and...
### Description WFA does not work as expected for portfolios with more than one symbol. ### Expected behavior Perform parameter optimization and WFA across a portfolio of assets based on...