DataFrame-Ready Implementation for Triple Barrier Labels
We will continue adapting the methods presented in Marcos Lopez de Prado. 2018. Advances in Financial Machine Learning (1st. ed.). Wiley...
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H-Barrio
- Mar 16, 2021
Stock Price Fractional Differentiation: Best Fraction Finder
This post extends the code for our interpretation of the fractional differentiation calculation methods presented in Marcos Lopez de...
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H-Barrio
- Mar 9, 2021
A DataFrame-Ready Implementation for Standard Fractional Differentiation
If there is momentum, take advantage of it. Our previous posts on fractional differentiation have surged in visits in the past weeks, so...
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H-Barrio
- Mar 8, 2021
Tampering with Universes: Correction and Improvement
In our previous post regarding a flexible universe selection, we presented a more flexible universe selection model. The results we...
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H-Barrio
- Mar 6, 2021
Controlador Retroalimentado Robusto con Bitcoin
El precio de las criptomonedas ha despegado como un cohete lanzado a la luna contra los dólares y euros. Esta tendencia ha atraído la...
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H-Barrio
- Mar 2, 2021
Tampering with the Universes
Now that we have this very flexible universe selection model, we can easily tamper with it and experiment with multiple strategies...
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H-Barrio
- Feb 23, 2021
A Flexible Universe Selection Model
The team at Quantconnect has created some handy tools for their Lean engine; their QC500 universe selection model allows for selecting a...
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H-Barrio
- Feb 16, 2021
Pattern Recognition in Sector ETFs: Industry Return Predictability - Machine Learning Approach
Our last publication regarding pattern recognition using sectorial ETFs did not yield outstanding results. The dependencies among these...
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H-Barrio
- Feb 9, 2021
Moving Averages as Resistances and Supports
In this publication, we will walk through the implementation of the idea of using the "historically best" moving average window value as...
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H-Barrio
- Feb 4, 2021
Serie Temporal de Precios: Descomposición Estadística de SPY y Parrilla ARIMA
Existe una multitud de publicaciones en la red (que es vasta e infinita) sobre le análisis de series temporales utilizando Python y sus...
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H-Barrio
- Feb 2, 2021
Performance of Moving Average as Price Supports
Moving averages (abbreviated as MA usually) are venerable tools in the field of stock price technical analysis. The diagram that possibly...
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H-Barrio
- Jan 26, 2021
Robust Feedback Control for Bitcoin Holdings
Cryptocurrencies have soared in price relative to the US Dollar and Euro in the past few weeks drawing additional attention from general...
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H-Barrio
- Jan 20, 2021
El Inversor Automático: Dividendos Crecientes
Los orígenes de Ostirion reposan sobre pilares de análisis fundamental. Nuestros (modestos) éxitos pasados llegaron en forma de análisis...
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H-Barrio
- Jan 19, 2021
Why Pairs Trading Might Not Work: Rolling Cointegration Tests
Pairs trading is the dean, the eldest and better known of modern quantitative trading models. It is the pinnacle of statistical arbitrage...
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H-Barrio
- Jan 12, 2021
Pattern Recognition in Sectorial ETFs: (Highly) Automated Model
In our december publications we went over the development of an automated system that could determine which values (factors) had the...
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H-Barrio
- Dec 29, 2020
2020: A Year in Perspective
From the traditional investor's point of view 2020 has been a wild ride. Any passive or buy and hold strategy went through...
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H-Barrio
- Dec 22, 2020
Ostirion Special: A Very Mochi Christmas
The winter holiday season, whatever you celebrate, contains magic. From solar cults celebrating that the sun is no longer dropping from...
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H-Barrio
- Dec 18, 2020
Nightmarish Quantitative Errors Before Christmas
We made a horrible error in our previous post and would like to correct it before Christmas comes and any of our readers goes over the...
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H-Barrio
- Dec 15, 2020
Pattern Recognition in Sectorial ETFs: Predictive Trading Model
The next-to-last step in verifying the capacity of sectorial ETFs to predict the price of the market in general or their own future...
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H-Barrio
- Dec 8, 2020
Pattern Recognition in Sectorial ETFs: Past and Future with Predictive Power Score
The analysis we have performed, so far, for the price and returns relationships among sectorial ETFs has not been very conclusive. We...
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