Publications | Ostirion.net

Mar 30, 2021

Entropy Based Label Selection

Now we have a tool that will flexibly obtain labels for our hypothetical trading positions, all of them inside a certain space of future...

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DataFrame-Ready Implementation for Triple Barrier Labels

H-Barrio

Mar 23, 2021

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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Stock Price Fractional Differentiation: Best Fraction Finder

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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A DataFrame-Ready Implementation for Standard Fractional Differentiation

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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Tampering with Universes: Correction and Improvement

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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Controlador Retroalimentado Robusto con Bitcoin

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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Pattern Recognition in Sector ETFs: Industry Return Predictability - Machine Learning Approach

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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Moving Averages as Resistances and Supports

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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Serie Temporal de Precios: Descomposición Estadística de SPY y Parrilla ARIMA

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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Performance of Moving Average as Price Supports

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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Robust Feedback Control for Bitcoin Holdings

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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El Inversor Automático: Dividendos Crecientes

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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Why Pairs Trading Might Not Work: Rolling Cointegration Tests

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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Pattern Recognition in Sectorial ETFs: (Highly) Automated Model

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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Ostirion Special: A Very Mochi Christmas

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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Nightmarish Quantitative Errors Before Christmas

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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Pattern Recognition in Sectorial ETFs: Predictive Trading Model

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...

36 views0 comments