The Philosopher's Stone
As traders will know, the Vix trades in a range: it mean reverts. Therefor you can profit by buying Vix Put options at the top of the range and Vix Calls at the bottom. Or that's the theory. The attached back test generates a CAGR of 19% for a maximum drawdown of 27% Here is … Continue reading Range Trading Vix Options
Here is a trend following system coded in Python.
I have recently had much fun with "Simple Trading Systems using Simple Python Code"
My interview with The Investors Chronicle took place on January 16th 2016 and I have not changed my view.
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.
Teamwork my arse. Hell is definitely other people.
Myopia, or nearsightedness is a common affliction among those who seek to profit from the financial markets. All too often practitioners, professional and neophyte alike, head straight into back-testing code and fail to think about the big picture. You can only think about the big picture in investment by considering “history”. In financial markets as … Continue reading Investment Myopia
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.
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.
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.
