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

Trading floor of New York Stock Exchange

Python Trend Following System 1

Here is a trend following system coded in Python.

Statues of the two symbolic beasts of finance, the bear and the bull, in front of the Frankfurt Stock Exchange.

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.

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.

A 1901 cartoon depicting financier J. P. Morgan as a bull with eager investors

Trend Following Systems

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

NASA Apollo 8 Earthrise By NASA / Bill Anders

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.