This is a summary of links featured on Quantocracy on Friday, 05/01/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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VIX Trading Strategies in April [Volatility Made Simple]Weve tested 23 simple strategies for trading VIX ETPs on this blog (separate and unrelated to our own strategy). And while I cant speak for all traders, based on all of my readings both academic and in the blogosphere, the strategies weve tested are broadly representative of how the vast majority of traders are timing these products. Most of these strategies turned in solid performances
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Could Stocks AND Bonds Be Topping? [Dana Lyons]There is always a small but vocal contingent of market pundits calling for a stock market top. In the past few years, there has been a very large but now sheepishly quiet contingent of analysts calling for a top in bonds (i.e., rise in rates). One thing you dont hear too often, however, is a call for a major top in stocks and bonds. Now that would be a double whammy for investors! If you want
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A Simple Test of the Predictability of Large Daily Changes in SPY [Psych Signal]We know market sentiment metrics used as a stand-alone signal – can predict market changes over minutes and sometimes longer. But what about the vital issue of really big day-to-day changes? And what if we add the simplest of daily price dynamics to the daily sentiment metric-based predictive model? Here we present tests of how well daily sentiments predict big market shifts. We take daily
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Flattish years in SP by end of April $SPY [@NautilusCap]Flattish years in SP by end of April $SPY
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WTI Crude up 25% in a month $USO [@NautilusCap]WTI Crude up 25% in a month $USO
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Ivy Portfolio May Update [Scott’s Investments]Scotts Investments provides a daily Ivy Portfolio spreadsheet to track the 10 month moving average signals for two portfolios listed in Mebane Fabers book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages. The Ivy Portfolio spreadsheet tracks the 5 and
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Better portfolio building: How system returns correlate under edgeless environments [Mechanical Forex]The topic of system return correlations is extremely important as it forms the main pillar of successful portfolio building. Portfolio theory encourages us to put together different systems which are uncorrelated historically, such that our level of expected risk adjusted returns will increase as a result of an increase in compounding efficiency and an increased hedging of drawdown periods between
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ETFReplay.com Portfolio May Update [Scott’s Investments]The ETFReplay.com Portfolio holdings have been updated for April 2015. I previously detailed here and here how an investor can use ETFReplay.com to screen for best performing ETFs based on momentum and volatility. The portfolio begins with a static basket of 14 ETFs. These 14 ETFs are ranked by 6 month total returns (weighted 40%), 3 month total returns (weighted 30%), and 3 month price volatility
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RUT Iron Condor – Dynamic Exit – 66 DTE – 20 Delta Continued [DTR Trading]This post is a continuation of the prior post. In this post we will look at the backtest results for dynamic exits of the 66 days-to-expiration (DTE) Iron Condor (IC), with 20 delta short strikes, with different profit and loss exits as a percentage of the initial credit. Recall that these RUT ICs were all constructed with 20 point wide credit spreads. This is a non-directional options trading str