John Orford

Doing anything worthwhile in life, including even getting out of bed, requires a measure of naivety and a splash of optimism. Doing what you have never done before, being creative, is heartily foolish.

Elixir is the new hot programming language on the block. The bastard child of Ruby and Erlang. Syntax Ruby is designed like Apple designs phones. It looks and feels right. I love that

I wrote this up a while back, perhaps it will interest a small percentage of you. ~ More often than not, the fruitful areas of life or one's career come when we have to

I noticed this yesterday. If you buy and hold the SPY ETF every month and take away the corresponding SPX index returns. The residuals are highest in 2001 and 2008. Try it here.

Spurred by reading an account of a trader who swears by machine learning, a few days ago I wrote about aesthetics in finance. Maths and tech without a narrative is pointless. My own

Science fiction is not about technology it's about ideas. Good sci-fi takes an idea, stretches it out and dabs ideas across the page or screen like a giant paint brush. Neuromancer and the

Korean BBQ, fried chicken, pop groups, dictators, movies (The Host!). Korea has everything. Except well performing large cap stocks. The KS11 index has had a Sharpe of 0.17 since '97. (Sharpe Trajectories)

A Time of Gifts tells the story of a traveller walking across Europe after World War One. What struck me was how mixed and cosmopolitan cities were back then. Several languages were spoken

Humans are programmed to make sense out of the world. There are many ways to do this, but let's boil it down to three. Religion. Art. Science. We are pattern matching machines. Religion,

A bunch of people got in touch about the recent 'Duality' strategy. Frankly, I see a result and post it up here, thinking these ideas through as I write and as you read

Yesterday I wrote up a post, and immediately after, was sure I got something wrong. This is the offending chart. Volatility increases linearly as we add more positions to the equally weighted portfolio.

Yesterday I sketched out a strategy which aimed to build a portfolio which aimed to reproduce the volatility dynamics found when choosing to hold stocks over longer or shorter periods of time. The

Months ago I came up with an idea. How about building a portfolio where choosing positions and a holding period is interchangeable? Weird right? Let me explain. Academics assume day over day returns

Along with a bunch of small updates you can now embed Sharpe Trajectories generated by the Lazy Backtest IDE into your own blog posts or presentations. Here are the Sharpe Trajectories of all

We woke up late, I jumped out of bed threw on my Lonsdale t-shirt, ran over the road to buy some bits and pieces for the imminent guests. A few odd stares, nothing

An intense guy who only smiled once, according to Newton's nephew. He smiled once was when somebody mentioned they didn't rate Euclid much. A little context - pretty much every proof back then

Two updates for the Lazy Backtest IDE this week. First A new addition to the API let's you reference previous trading history. E.g. history.INDEX_GSPC_weight[0] shows how much we

In the early hours of Saturday morning after drinking far too many Echter Nordhaeuser (rye vodka) I got an email from Jim S. My eulogising of Mark Spitznagel's long and lonely road through

Cats teach kittens how to hunt by injuring prey and letting their young play around with it before eating it. Playing is a natural way to learn and yet that too often goes

Many, many weeks ago I wrote about this puzzle. Why does Lazy PCA always output components which have +1 and -1 slopes? Which I interpret as a measure of momentum or mean reversion

Zombies are the least of your worries during a zombie apocalypse. After you come to terms with the initial shock of waking up to your zombifying girlfriend, the real danger is other humans

They say that Jesus went to India. During his 'missing years' he travelled across the known world and became a guru-like figure down in India before coming back and completing his mission. The

Light is the most precious resource to a photographer, everything you can do with your camera is budgeted by the amount of light available. Financial analysis is similarly constrained by the amount of

By default, everyone talks about ex post Sharpe ratios. Take a time series, backtest, out pops a 'Sharpe ratio'. No one says 'ex post' but that's inferred. The implication is that what happened

Ageusia is the word for a loss of taste which Ben of Ben and Jerry fame is afflicted by. If you can't taste your own ice cream, what do you do? Focus on