All posts by INTJ Capital

2013 INTJ Capital Wrap-Up

I am glad to see the close of 2013, the year in which I introduced several models and began testing them in real-money accounts.  My Forex multi-strategy model, as tracked by MyFXBook,  severely underperformed my expectations.  There were three primary causes that contributed to this: errors in my programming code, errors in my data stream, and worldwide quantitative easing policies by the main central banks.  Each of these errors, as one can imagine, proved critical.  I hope I have corrected the first two, but QE has proven to be a new twist to the market that has confounded my counter-trend models.  I hope that with additional data in the coming months, my models can be adjusted to reduce risk in these extreme scenarios, but only time will tell.

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Asset Allocation Strategies

Mebane Faber has done us the favor of distilling and summarizing a lot of research around asset allocation strategies into  a simple post.  He lists the types and compositions of the most popular asset allocation strategies, such as 60/40, David Swensen’s Portfolio (made famous by its use at Yale University), the Permanent Portfolio, the Ivy Portfolio, etc.  He also kindly provides a performance table with the key statistics.  As expected, the Permanent Portfolio and the Risk Parity Portfolio do best at minimizing drawdown, but the CAGR across the strategies is surprisingly close.  As always, read the whole thing.

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Equametrics On Neural Networks and Genetic Algorithms

Neural networks and genetic algorithms are among the most important topics in algorithmic trading and drive much of the research and allocation of computing resources of hedge funds today.  Equametrics recently posted two great articles to explain neural networks and genetic algorithms, and their application to trading.  Why are they important for the rest of us to know about?

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