An example of Simple Kurtosis, Skewness and Mean Asset Selection Filter for Equities

On this chart, you can roughly find what sort of equities you can invest.

Well, I've few more methods to further classify them... :-)

I input 100 stocks into this simple system. After filtering them out and further combining the results with the mean reversion strategy, 5 stocks are selected. They are Stock 3, 28, 55, 60, 67. (Please note: the calculations for Kurtosis, Skewness and Mean have been modified in this example.)

A Robust Stock Picking Method

Why Nikola Tesla was the greatest geek who ever lived?

I found it on the Internet....

James Simons' MIT Speech "Mathematics, Common Sense, and Good Luck: My Life and Careers"

I've listened to this speech for several times. The part I like most in this speech is what he said "don't give up, at least try to not give up". 

http://video.mit.edu/watch/mathematics-common-sense-and-good-luck-my-life-and-careers-9644/

The improvement of execution system has been delayed for 2 weeks

It's time to start to work on it again.

Fuzzy modelling approach may be able to give a better classification result

I'm going to test it...

Market Price Movement and its Patterns

A thought about equity picking model

I used to work on the development of statistical filters and the KPI by blending the stats such as Sortino Ratio, Omega Ratio, Skewness, Kurtosis and so on for selecting and ranking Equities/ETFs/Hedge Funds. Today some thoughts pop into my head few hours after the talks. I ask myself why not implement the statistics of those Equities/ETFs/Hedge Funds and the mean reversion models into the SVM. SVM can handle the selection and filtering things. I use the SVM to do the pattern recognition for trading strategies. Obviously, it can also help me classify and find the patterns within those assets across the investment universe!

Interesting...

Microsoft publishs a new lib for stock charting....

A mean reversion system test (Out-Of-Sample Simulation)

about 80% winning rate

A Noise Or A Pattern?

Do you see the patterns? It's not really noisy, isn't it?

100% quantitative models based systematic trading

The Performances are generated by 100% systematic trading systems, and all the simulations are based on the forecasts. 

The definition of quantitative trading can be found at below link:
http://www.investopedia.com/terms/q/quantitative-trading.asp

Nasdaq Trend-Following System 2 - Out of sample simulation

Total Trades	501
Num of winning trades	296
Num of losing trades	204
% of Winning	59.08%
Average Profit on winning	2.19%
Average Loss on losing	-1.79%

Slippages & Costs have been taken into account

Nasdaq Trend-Following System 1 - Out of sample simulation

Total Trades	498
Num of winning trades	297
Num of losing trades	201
% of Winning	59.64%
Average Profit on winning	2.17%
Average Loss on losing	-1.81%

Slippages & Costs have been taken into account

SP500 Trend-Following System 2 - Out of sample simulation

Total Trades	483
Num of winning trades	296
Num of losing trades	187
% of Winning	61.28%
Average Profit on winning	1.58%
Average Loss on losing	-1.22%

Slippages & Costs have been taken into account.

SP500 Trend-Following System 1 - Out of sample simulation

Total Trades	520
Num of winning trades	318
Num of losing trades	202
% of Winning	61.15%
Average Profit on winning	1.65%
Average Loss on losing	-1.37%

Slippages & Costs are taken into account