A second version paper has been published on Medium. The pairs results in this second version are significantly better than those reported here. See https://nderground-net.medium.com/backtesting-a-pairs-trading-strategy-b80919bff497

by Ian Kaplan — This Jupyter notebook explores pairs trading strategies. This document is available from the GitHub repository https://github.com/IanLKaplan/pairs_trading Pairs trading is an approach that takes advantage of the mispricing between two (or more) co-moving assets, by taking a long position in one (many) and shorting the other(s), betting that the relationship will…

An Analysis of The Lazy Fundamental Analyst by Ian Kaplan Introduction The book The Lazy Fundamental Analyst by Fred Piard, 2014, proposes an investment strategy that utilizes fundamental factors like Price Earnings (PE) and Return on Assets (ROA) to select stocks within an S&P 500 sector. This is combined with a market timing signal based on S&P 500 earnings per share…

I am disappointed to learn that a computer scientist that I have admired for their research papers and blog posts has become a “crypto bro” and is the CEO of a crypto startup. Crypto currencies are seductive for computer scientists. The distributed block chain database and trustless transaction systems are…

The post discusses the design of ShitCoin, the first completely honest cryptocurrency. ShitCoin is, of course, inspired by DogeCoin. Think of this as the ShitCoin white paper. Perhaps to be followed by other white papers if some fool decides to invest. Distributed Ledger: Forget about it Most cryptocurrencies claim to be distributed with no centralized…

Stock Market Cash Trigger by Ian Kaplan, June 2022 This notebook explores a stock market timing strategy that is described in David Alan Carter’s book Stock Market Cash Trigger (available as an Amazon Kindle book). This Python notebook is available in the GitHub repository https://github.com/IanLKaplan/cash_trigger The Jupyter notebook was converted to a Medium post using jupyter_to_medium. In the Stock…

Cryptocurrency is not an investment. Cryptocurrency is a pyramid scheme that relies on greater fools buying at a higher price. You cannot buy anything with Cryptocurrency. There is no economy, like the United States, Japan, and the UK, that supports cryptocurrency. Cryptocurrency has no value, outside of the cryptocurrency ecosystem. Investment …

ETF Rotation by Ian Kaplan This Jupyter notebook is saved on GitHub: https://github.com/IanLKaplan/twelve_percent The Jupyter notebook was converted to a Medium post using jupyter_to_medium. Equations were converted from LaTex math notation to images using CodeCogs. The approach to investment return and risk varies with the investor and their stage in life. A prudent investor that…

A Dividend Investment Portfolio December 2021 Introduction The classic conservative investment portfolio often consists of approximately 40 percent stocks (perhaps a mix of stock ETFs) and 60 percent bonds (perhaps a US Treasury bond ETF). This type of portfolio is discussed in the All Weather Portfolio notebook. The portfolios investigated in the All Weather Portfolio…