Adaptive Shrinkage Algorithm:



This is a support page for the Adaptive Shrinkage method developed by David Varadi. The Adaptive Shrinkage method employs the proportional allocation methodology first introduced in the Minimum Correlation Algorithm paper.

Here are the support documents:
Please stay in touch for updates.

To reproduce the back-test reports presented above, please execute following R code:

###############################################################################
# Load Systematic Investor Toolbox (SIT)
###############################################################################
setInternet2(TRUE)
con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb'))
    source(con)
close(con)

# Load supporting R code for Adaptive Shrinkage Algorithm
con=url('http://www.systematicportfolio.com/bt.adaptive.shrinkage.R')
    source(con)
close(con)

#*****************************************************************
# Create Reports
#*****************************************************************
adaptive.shrinkage.paper.backtests()