Negative Oil Prices? My Thoughts

Negative Oil Prices? My Thoughts Another example of the financial news emotions industry spreading misinformation… Everyone knows it by now. On April 20, 2020, we experienced negative oil prices for the first time in history. Or did we? First, let’s review....

EF, ORM, and DALs

EF, ORM, and DALs Several years ago, I started a rewrite of my trading/research platform using Entity Framework and a relational back-end. It was my first experience using an ORM, so I read a few blog posts on whether I needed a separate data access layer (DAL) on top...

Loss Coherence – Part 2

Loss Coherence – Part 2 Loss coherence applied to random variables; loss coherence matrix compared to correlation matrix; loss coherence for asset classes and trading strategies; some surprises… In the previous post, I created a way to measure the tendency of...

Loss Coherence – Part 1

Loss Coherence – Part 1 What is Loss Coherence? Define the Loss Coherence Coefficient; Next post –  Explore Loss Coherence behavior and values. I’m not a fan of correlation. You can read that a couple of different ways. First, I’m not a fan of high correlations....