Nestor Sulikowski

Explaining SAMOA

• What is SAMOA
• Building blocks
• The Booking System
• Curves
• Treasury Carry Calculations
• Currency Rolls
• Back-testing:
  • Single Strategies
  • Portfolios of Strategies
• Generic Series
• SAMOA's Cache
• Data Model
• Unit Testing

 

Backtests:

• Guiding principles for back-testing's
• Buy and Hold: CBOT-TY futures
• Buy and Hold: US 3M T-Bills
• Buy and Hold: US 10Y Treasury Notes
• Buy and Hold: EURUSD
• ORBO strategy (password protected)
• TURTLE strategy (password protected)
• MAME strategy (password protected)

 

Other:

• SAMOA Installation: Requirement
• Step by Step: SQL Server 2008 Installation
• Combine strategies into a portfolio
• Treasury Futures PV01 (password protected)
• US Treasuries: Odd First Coupons
• 'RGUI' web service (OLD) (password protected)
• Updating R (password protected)
• Windows Installer / Wix

 

Sync Framework:

• Chapter III: CustomProviders
• Chapter IV: CustomProvider With Async Change Tracking
• Simple Provider
• SQL 2008 Change Tracking
• SQL 2008 MERGE statement

 

Scratch paper:

• Blogs yet to write
• Internal Implementation of Carry (password protected)
• Debugging SQLCLR
• Handling VHD files
• Internals: US Treasury Static Data (password protected)

Recent Comments

• mathStatica on Sync Framework Diagrams: Simple provider
• Nestor Sulikowski » Currency Rolls on Booking system
• Nestor Sulikowski » Back-testing Portfolios on Back-testing Strategies
• Nestor Sulikowski » Guiding principles for statistical analyses on Unit testing
• Nestor Sulikowski » Buy and Hold: EURUSD on Buy and Hold: CBOT-TY futures

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