I will discuss systematic investing strategies including Asset Allocation, Black Litterman,Long/Short Optimization, Technical and Fundamental Analysis and Options. I will accompany most of my posts with sample code written in R/Matlab/C++/Python or VBA.

I can be reached at TheSystematicInvestor at gmail


  1. Douglas
    May 24, 2012 at 8:18 pm

    Just want to say you work is great! WOW, I’m new to R and have learned so much from you site. Thank you for all the great work!

  2. June 9, 2012 at 4:52 am

    Second that. Great information all round.

  3. August 2, 2012 at 5:10 am

    As a programmer who is trying to model (and ultimately understand) a number of stocks before investing in them, you’re website is a goldmine. Thanks.

  4. January 5, 2013 at 2:10 am

    Hi Michael,
    I really enjoy your blog, and have started using your library for backtesting. If I may make a request, it would be great to have a function that runs multiple strategies in the same portfolio. For example, say you use bt.run() twice to produce two different backtest objects. It would be great to have a bt.run.multi(bt1, bt2) which would run a backtest of both systems (say equal-weighted) and produce a backtest object itself.


  5. January 5, 2013 at 7:59 am

    Please keep this thing running ! You are doing public education purpose for the society ! we are learning so much from you

  6. Prabhakar
    May 2, 2013 at 4:24 pm

    I have used your R ocde to build asset only efficient frontier . It works great. I wonder if you have R code for building asset liability frontier for exceess returns, ie, asset return – liability return.


  7. Patrik
    May 1, 2014 at 2:17 pm

    Great work Michael. Thank you for sharing all this with us. Greetings from Germany

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