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Risk Parity

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By Anna Yasenova   Traditional diversification focuses on dollar allocation; but because equities have a disproportionate risk, a traditional portfolio’s overall risk is often dominated by its equity portion. Risk Parity diversification focuses on risk a... Read more


Drawdown Leads to Triple Penance

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One of our favourite quantitative finance academic/practitioners is Marcos Lopes de Prado who has co-authored a number of excellent papers with David Bailey. The paper I will focus on today is the one they call the Stop-Outs under Serial Correlation and the "T... Read more


Data Surprise

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I wanted to share an interesting quantitative research experience we have just been through. This is a lesson in precision and deep thinking if you wish to be successful in research and trading. Olga joined PsyQuation as a data scientist about 6 weeks ago. Ta... Read more


BIG baseball data meets BIG trading data with PsyQuation

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I am back. The last letter I wrote was on the 6th of August which makes this the longest break in my writing for many years. The reason for the break is because we have all been working around the clock preparing for some exciting new features and announcement... Read more


Expected Maximal Drawdown

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There is a snail trail chart on the PsyQuation platform that shows a traders risk adjusted performance journey. We recently changed one of the parameters so that we now show the journey from inception, not just the last 90 days. The calculation for annualisin... Read more


PSY Score Outperformance

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I couldn't resist this quick technical post. I have posted before that we are trialling a virtual portfolio of the PsyQuation ecosystem, selecting accounts by their PsyQuation Score versus the more traditional Sharpe Ratio. The table below shows how PSY Selec... Read more


Global Market Moves

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You will be seeing this table feature integrated with our platform in an upcoming release (we promise to make it look prettier ?). The important point is to see the Macro view in one snapshot. Read more


Markowitz, Kelly and the Reckless Explorers

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    When you think about optimizing your portfolio often two seemingly different methodologies come to mind: Mean-Variance Optimization and the Kelly formula. Mean-Variance optimization was invented by Harry Markowitz. In a famous paper publishe... Read more


Stop Loss Heresy

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I remember when good friend Prof Tom Gastaldi told me, "Michael stop losses are the biggest impediment to profitable trading" I thought he was smoking his socks. When colleague's Vladimir and Andrii shared the same views a few weeks ago I wasn't too surprised,... Read more


PsyQuation Score™ Overview

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Introduction The PsyQuation definition of a trader is someone who buys and sells financial instruments for speculative gain and is typically someone who trades at least once a week. The financial instruments we cover in our definition are: FX derivatives, Stoc... Read more


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