Category Archives: Uncategorized

Volatility ETF Strategy – Nov 2014 Update: +1.42%

HIGHLIGHTS CAGR over 39% annually Sharpe ratio in excess  of 3 Max drawdown -13.40% Liquid, exchange-traded ETF assets Fully automated, algorithmic execution Monthly portfolio turnover Managed accounts with daily MTM Minimum investment $250,000 Fee structure 2%/20%   VALUE OF $1,000 … Continue reading

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Money Management – the Good, the Bad and the Ugly

The infatuation of futures traders with the subject of money management, (more aptly described as position sizing), is something of a puzzle for someone coming from a background in equities or forex.  The idea is, simply, that one can improve … Continue reading

Posted in Equity Curve, Futures, Kelly Criterion, Money Management, Optimal f, Trading, Uncategorized, Van Tharp | Comments Off

Building Systematic Strategies – A New Approach

Anyone active in the quantitative space will tell you that it has become a great deal more competitive in recent years.  Many quantitative trades and strategies are a lot more crowded than they used to be and returns from existing … Continue reading

Posted in Commodity Futures, Equity Futures, Fixed Income Futures, Futures, Genetic Programming, Money Management, Natural Gas Futures, Strategy Development, Systematic Strategies, Uncategorized | Tagged , , , , , , , , | Comments Off

Pattern Trading

Summary Pattern trading rules try to identify profit opportunities, based on short term price patterns. An exhaustive test of simple pattern trading rules was conducted for several stocks, incorporating forecasts of the Open, High, Low and Close prices. There is … Continue reading

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More on Strategy Robustness

Commentators have made the point that a high % win rate is not enough. Yes, you obviously want to pay attention to other performance metrics also, such as profit factor. In fact, there is no reason why you shouldn’t consider … Continue reading

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Optimizing Strategy Robustness

Below is the equity curve for an equity strategy I developed recently, implemented in WFC.  The results appear outstanding:  no losing years in over 20 years, profit factor of 2.76 and average win rate of 75%.  Out-of-sample results (double blind) … Continue reading

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Quantitative Analysis of Fat Tails –

In this quantitative analysis I explore how, starting from the assumption of a stable, Gaussian distribution in a returns process, we evolve to a system that displays all the characteristics of empirical market data, notably time-dependent moments, high levels of … Continue reading

Posted in Fat Tails, Mathematica, Regime Shifts, Regime Switching, Uncategorized, Volatility Modeling | Tagged , , , , , , | Comments Off

Long Memory and Regime Shifts in Asset Volatility

This post covers quite a wide range of concepts in volatility modeling relating to long memory and regime shifts. The post discusses autocorrelation, long memory, fractional integration, black noise, white noise, Hurst Exponents, regime shift detections, Asian markets and various topics froms nonlinear dynamics. Continue reading

Posted in ARFIMA, Asian markets, Black Noise, Correlation Dimension, Correlation Integral, FIGARCH, Forecasting, Fractional Brownian Motion, Fractional Integration, Henon Attractor, Hurst Exponent, Logistic Attractor, Long Memory, Modeling, Nonlinear Dynamics, Pink Noise, Regime Shifts, Strange Attractor, Uncategorized, Volatility Modeling, White Noise | Tagged , , , , , , , , , , , , | Comments Off