The process of coding financial market trading systems is fascinating , but they never seem to last very long and their performance is never very consistent.
Category: Investment
L’enfer, c’est les autres
Teamwork my arse. Hell is definitely other people.
Investment Myopia
Myopia, or nearsightedness is a common affliction among those who seek to profit from the financial markets. All too often … More
Rolling VIX Options Monthly
The code below takes the data already cleaned up by the code in the previous post and strings separate months together in a time series suitable for back testing.
Wrangling CBOE Options Data
The data obtained from the CBOE is messy and incomplete. It takes a great deal of time for even the experienced nerd to sift through it.
VIX Option Strangle
This option strangle is effectively short volatility. It buys long dated puts at the money and protects the position with long dated calls far out of the money.
Option Credit Spreads on the VIX
After the liquidation of XIV following the volatility spike earlier in the year I decided to take a more detailed quantitative approach to trading volatility.
Generating Theoretical Option Prices
A while ago I put a lot of work and effort into looking at Black Scholes and various other option pricing models.
The Stockmarket as a Complex Adaptive System
I recommend a paper entitled “The Stockmarket as a Complex Adaptive System” by Credit Suisse Director Michael J. Mauboussin.
Investment “Systems”
Long term investment is simply about following the trend of economic growth. I am not convinced there is much more to it that that.
Hedge Funds – not so clever after all
David Harding ( Winton Capital ) has for many years been quoted as a superhero of the hedge fund world. Harding’s meteoric … More
Artificial Intelligence for Financial Market Prediction
it’s time to dip back in and carry on my quest to discover whether artificial intelligence can predict financial markets.
How Much to Trade – Fixed Fractional Position Sizing
Mechanical strategies for trading futures usually include fixed fractional position sizing to limit initial risk from any single trade.
Volatility Based Stops
Futures traders generally employ exit points in the form of volatility based stops for each position (established at initiation) determining when to cut a loss short and operating in conjunction with position sizing rules.
Trend Following Systems
A quantitative trend following system must define: when to enter a position; how much to buy; when to exit a position.
Global Macro
The Global Macro hedge fund strategy can be defined as dynamic global asset allocation. Global Macro hedge fund managers have the ability to take positions in any instrument in any market throughout the world.
Invest or Gamble?
We are all looking to get rich quick. We are all looking for something for nothing. But few of us will succeed and even fewer will be able to retain the short-lived gains.
A Quantitative Approach to Cryptocurrency Investing
The large majority of start-up projects sink without trace. The occasional winner however can make up the losses and yield a profit on the portfolio.
8 Steps to Profitable Investment
8 Steps to Profitable Investment
A few Simple Investment Rules are All You Need.
A few Simple Investment Rules are All You Need.
Simple Investment Strategies
Investment is extremely simple. Wide diversification and the avoidance of cots and complexity is the way to go.
Fundamental Analysis – Expensive and Futile
Fundamental analysis of stock market investments is a futile and expensive waste of time and should be wholly replaced by quantitative analysis.
Where are the Customers’ Yachts?
Who thinks finance, stock broking and fund management are respectable professions dedicated to increasing the wealth of their customers?
Technical Analysis – Embarrassing Nonsense
Technical analysis is nothing less than embarrassing nonsense practiced by fools or knaves.
Trade as Seldom as Possible
If you want long term investment success, then trade as seldom as possible.
Profitable Stock Market Investment is Very Simple
Profitable investment is very simple and yet an entire industry has been spawned which cons the public into imagining the process is very complex.