Tag Archives: programming

Numpy Strategies 0.1.2
So we are now in Sprint 12 of Project “NumPy Strategies”. Last week you finished the task of determining states and defining a Markov chain model. This took you ten minutes even though the estimate was 2 days. [...]

Numpy Strategies 0.1.0
Happy New Year! So I was collecting evidence for my prediction of the gold bubble bursting early in 2011 and I found this article. Very short summary – 14 June 2011. What do I think? I think this [...]

Numpy Strategies 0.0.9
Merry Xmas everybody. If you don’t celebrate Xmas, don’t worry, you are not missing that much. Maximum drawdown is defined as the maximum decline from a historical peak. Obviously, this is a measure of risk as well. So [...]

Numpy Strategies 0.0.8
Entropy is a measure of uncertainty and therefore risk. So I attempted to replace the variance of stock returns in the CAPM with entropy. I also tried to save some pennies by “shooting” below the open price on [...]

Numpy Strategies 0.0.7
The 3 moment CAPM takes into account the mean, variance and skewness of asset returns. An investor prefers high positive skewness and low risk, because this corresponds to higher returns. I also did an experiment with fractional Brownian [...]

Numpy Strategies 0.0.6
Well, you might bump into a wall repeatedly or get hit by a car. The best you can do is get pretty close to your desired destination. So I made some random walk simulations using a trinomial model [...]

Numpy Strategies 0.0.5
The Capital Asset Pricing Model ( CAPM ) usually uses variance or standard deviation as a risk metric. I invented a slight modification of the model, which I call the mad CAPM ( well OK maybe I did [...]

Numpy Strategies 0.0.2
I saw a PyCon presentation about pandas. Pandas is a data analysis Python library, which works with timeseries data and handles missing data automatically. It is based on NumPy and should work well together with for instance scikits.statsmodels. [...]