work-related

Is that backtest really reproducible?

I'm sure that if you are a quants and are planning a new strategy, you may want to backtest to see its performance. In this post, I've looked at the impact of backtesting overfitting on out-of-sample performance and compiled a reminder.

I built the Asset Allocation Model in R.

We had an in-house workshop and spent the holidays locked up in the Library of Congress, fishing for prior research, which allowed us to build a subtle asset allocation model.