New Lazy PCA Site

Lots of posts in the past week about breaking down time series returns into momentum and mean reversion.

Now you can PCA too!

I have added an interface to the code I have been using and called it Lazy PCA.

Try it out and let me know what you think! john.orford@gmail.com

There's a bunch of improvements to be made, not least a better name, but it's pretty useable.