Orthodox, established methods of statistical science are used to assess the trustworthiness of each of the programs that are presented here. Peer-reviewed articles by academicians, such as on stock market momentum, incorporate their own tests of significance and may provide starting points for programs that are further developed and qualified here.
But original research and development is also carried out. Recently the “insider’s alpha” was developed. It is an extension of Jensen’s alpha— yes, the holy-grail alpha of Wall Street… that one. Unlike the original alpha it is applicable to portfolios that are sometimes substantially in cash or whose betas are otherwise made volatile.
The Traded Portfolio project conducts out-of-sample testing in the time domain in order to arrive at an unbiased characterization of any given asset allocation rule’s likely future performance. Several tests of the statistical significance of the outcomes are then also performed. Every offering presented here has been crafted with due regard for the need to adjust returns for risk, and every effort has been made to find strategy specifications that minimize downside risk.
The writeups of the Notes menu provide additional details and go over some of the opportunities and complications.