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# Category Archives: Volatility Modeling

## 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

Posted in Uncategorized, VIX Index, Volatility ETF Strategy, Volatility Modeling
Tagged ETF, Performance, VIX, Volatility
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## A Calendar Spread Strategy in VIX Futures

I have been working on developing some high frequency spread strategies using Trading Technologies’ Algo Strategy Engine, which is extremely impressive (more on this in a later post). I decided to take a time out to experiment with a slower … Continue reading

Posted in Algo Design Language, Algo Strategy Engine, Futures, Spread Trading, TradeStation, Trading Technologies, VIX Index, Volatility Modeling
Tagged ADL, ASE, Calendar, Calendar Spreads, Futures, Spread, Tradestation, TT
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## Volatility ETF Strategy – Sept 2014 Update

HIGHLIGHTS CAGR over 40% annually Sharpe ratio in excess of 3 Max drawdown -4.3% 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 2012-2014 … Continue reading

Posted in ETFs, VIX Index, Volatility ETF Strategy, Volatility Modeling
Tagged ETFs, Performance, VIX, Volatility
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## Not the Market Top

Our most reliable market timing indicator is a system that “trades” the CBOE VIX Index, a measure of option volatility in the S&P500 Index. While the VIX index itself is not tradable, the system provides a signal that can be … Continue reading

Posted in Market Timing, VIX Index, Volatility Modeling
Tagged Market Timing, Market Top, VIX, Volatility
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## Volatility Strategy +15.19% in August: Here’s How

WHERE VOLATILITY THRIVES Mark Gilbert has written extensively in BloombergView about the demise of volatility across asset classes and what this may portend for markets (see Volatility Dies, Hedge Funds Lose). As Mark and other commentators have pointed out, the … Continue reading

## Enhancing Mutual Fund Returns With Market Timing

Summary In this article, I will apply market timing techniques to several popular mutual funds. The market timing approach produces annual rates of return that are 3% to 7% higher, with lower risk, than an equivalent buy and hold mutual … Continue reading

Posted in Forecasting, Market Timing, Time Series Modeling, Trading, Volatility Modeling
Tagged Market Timing, Mutual Funds, Volatility Modeling
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## How to Bulletproof Your Portfolio

Summary How to stay in the market and navigate the rocky terrain ahead, without risking hard won gains. A hedging program to get you out of trouble at the right time and step back in when skies are clear. Even … Continue reading

Posted in ETFs, Modeling, S&P500 Index, Volatility Modeling
Tagged Hedging, Market Timing, SPY, Stock portfolio, VIX Index
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## A Scalping Strategy in E-Mini Futures

This is a follow up post to my post on the Mathematics of Scalping. To illustrate the scalping methodology, I coded up a simple strategy based on the techniques described in the post. The strategy trades a single @ES contract on 1-minute … Continue reading

Posted in Algorithmic Trading, Trading, Volatility Modeling
Tagged E-mini, Easylanguage, Futures, Multicharts, Scalping, Tradestation, Trading Strategy
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## Quantitative Analysis of Fat Tails – JonathanKinlay.com

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 Fat Tails, Jump Diffusion, Kurtosis, Non-Normal, Regimes, Stationarity, Volatility Smile
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## The Mathematics of Scalping

NOTE: if you are unable to see the Mathematica models below, you can download the free Wolfram CDF player and you may also need this plug-in. You can also download the complete Mathematica CDF file here. In this post I want … Continue reading

Posted in Futures, Mathematca, Mathematica, Scalping, Trading, Volatility Modeling
Tagged Computable Document Format, Dynamic model, E-min, Execution, Extreme Value Distribution, Futures, Gaussian, High Frequency, IOC orders, Latency, Limit order book, Mathematica, Mote Carlo Simulation, Non-Gaussian, Scalping, Trade Expression, Volatility
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