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Category: Investment

The Vix

Range Trading Vix Options

As traders will know, the Vix trades in a range: it mean reverts. Therefor you can profit by buying Vix … More

Options, Options Trading, Stock Market, Trading the Vix, Trading Vix Options, VIX, VIX Options

Python Trend Following System 1

Here is a trend following system coded in Python.

Algorithmic Trading, Python, Trading Systems, Trend Following, Trendfollowing

A Simple Mean Reversion System for Stocks

I have recently had much fun with “Simple Trading Systems using Simple Python Code”

Backtesting, Mean Reversion, Pandas, Python, SPY
Investors Chronicle Interview

Interview with Investors Chronicle

My interview with The Investors Chronicle took place on January 16th 2016 and I have not changed my view.

Algo Trading, Diversification, ETFs, Index Trackers, Investors Chronicle, Stockmarket, Trading

Seeking the Eternal in Systematic Investment

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. 

Algo Trading, Algorithm, Quantopian, Systematic Trading, Trading, Trading Systems

L’enfer, c’est les autres

Teamwork my arse. Hell is definitely other people.

Hedge Funds, Huis Clos, JP Sartre, Quantopian, Steve Cohen, Teamwork

Investment Myopia

Myopia, or nearsightedness is a common affliction among those who seek to profit from the financial markets. All too often … More

Algo Trading, Algorithm, Quantopian, Stock Market

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.

Backtesting Options Strategies, CBOE Options Data, Data Wrangling, VIX, VIX Options

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.

CBOE Options, Data Wrangling, VIX, VIX Options

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.

Back Test, Options, Options Strangle, VIX, Volatility

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.

Credit Spreads, Options, VIX, Volatility, XIV

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.

Black Scholes, Options, Synthetic Options Data

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.

CAPM, Chaos Theory, Complex Adaptive Systems, Stock Markets

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.

Stock Markets, Systematic Trading, Trend Following

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

David Harding, Hedge Funds, Michael Covel, Turtle Trading

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.

Algo Trading, Artificial Intelligence, Robots, Stock Markets, The Matrix

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.

Commodties, Futures, Position Sizing, Trading, Trading Systems

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.

Algorithm, Commodties, Futures, Stock Market, Trading, Trading Systems, Trend Following

Trend Following Systems

A quantitative trend following system must define: when to enter a position; how much to buy; when to exit a position.

Futures, Gambling, Stock Market, Trend Following

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.

Futures, Global Macro, Stock Market, Trend Following

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.

Gambling, Probability, Stock Market, Trading
Cryptocurrency x Multiples - Price on Last Traded Date divided by First Traded Date

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.

Cryptocurrency, ICOs
Harriman House New Investing Rules 1

8 Steps to Profitable Investment

8 Steps to Profitable Investment

Index Trackers, Investment, Simple Investing Rules, Stock Market
Harriman's New Book of Investing Rules

A few Simple Investment Rules are All You Need.

A few Simple Investment Rules are All You Need.

Index Trackers, Simple Investing Rules, Stock Market
Investing Is Simple

Simple Investment Strategies

Investment is extremely simple. Wide diversification and the avoidance of cots and complexity is the way to go.

Index Trackers, Investment, Stock Market

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.

Investment, Stock Market, Technical Analsysis

Where are the Customers’ Yachts?

Who thinks finance, stock broking and fund management are respectable professions dedicated to increasing the wealth of their customers?

Exchange Traded Funds, Stock Market, Trading

Technical Analysis – Embarrassing Nonsense

Technical analysis is nothing less than embarrassing nonsense practiced by fools or knaves.

Charts, Stock Market, Technical Analsysis

Trade as Seldom as Possible

If you want long term investment success, then trade as seldom as possible.

Investment, Stock Market, Trading, Wall Street
Harriman's New Book of Investing Rules

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.

Exchange Traded Funds, Index Trackers, Stock Market

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