As traders will know, the Vix trades in a range: it mean reverts. Therefor you can profit by buying Vix … More
Category: Investment
Python Trend Following System 1
Here is a trend following system coded in Python.
A Simple Mean Reversion System for Stocks
I have recently had much fun with “Simple Trading Systems using Simple Python Code”
Interview with Investors Chronicle
My interview with The Investors Chronicle took place on January 16th 2016 and I have not changed my view.
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.
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.
