Quantocracy’s Daily Wrap for 06/15/2015

The always interesting quant aggregator Quantocracy linked to the following post by John Orford (follow John on Twitter at @mmport80) outlining a 'Steady Volatility Strategy' that targets a constant volatility target based on the most recent VIX index as follows: Stock weight = Target volatility / VIX For example, if an investor is targeting a portfoli

This week we wanted to spend some time digging into performance of our Risk Managed U.S. Sectors (RMUS) and our Multi-Asset Income (MAI) portfolios. At Newfound, we generally break portfolio construction into two pieces: (1) the signals that drive our tactical decisions, and (2) the rules the turn these signals into portfolio allocations. We liken this to preparing a me

This is the third post in a series giving pointers on the nuts and bolts of building systematic trading systems. A common myth is that the most important part of a systematic trading system is the 'algo'. The procedure, or set of rules that essentially says 'given this data, what position do I want to hold or trade do I want to do?' To some extent this is true.

This post looks at a standard (STD) one-lot iron condor on the Russell 2000 Index (RUT), initiated at 66 days-to-expiration (DTE). The results in this post were derived from approximately 3200 individual trades entered by the backtester. For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introducto

Interesting about the action on Friday was that SPY posted an unfilled gap down, and this occurred immediately following an unfilled gap up the day before. The study below was appeared in the Quantifinder. It examines 2-day moves like SPY has just encountered. Based on the numbers there appeared to be a moderate downside edge over the next couple of days. While I dont always show it in the

#198 – Exploiting Term Structure of VIX Futures Authors: Donninger Title: Selling Volatility Insurance: The Sidre- and Most-Strategy Link: http://www.godotfinance.com/pdf/VIXFuturesTrading_Rev1.pdf Abstract: This working-paper examines and improves a VIX-Futures calendar-spread strategy proposed in the literature. The strategy re

Dynamic Volatility Weighting in the Presence of Transaction Costs

Crowded Spaces and Copycat Risk Management