The VIX Surge of Feb 2018 Volatility trading has become a popular niche in investing circles over the last several years. It is easy to understand why: with yields at record lows it has been challenging to find an alternative to equities that offers a respectable return. Volatility, however, continues to be volatile (which is a…
QUANTITATIVE RESEARCH AND TRADING
Volatility Trading Styles
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Stock Price Range Forecasts Range forecasts are produced by estimating the parameters of a Geometric Brownian Motion process from historical data and using the model to project a large number of sample paths for the stock price over the coming month and year. For example, this is a range forecast for Netflix, Inc. (NFLX) as at 7/27/2018 when the price…
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The Worst Volatility Scare for Years February 2018 was an insane month for stocks, wrote CNN: A profound inflation scare. Not one but two 1,000-point plunges for the Dow. And a powerful comeback that almost went straight back up. The CNN story-line continues: The Dow plummeted more than 3,200 points, or 12%, in just two weeks. Then…
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Magicicada is the genus of the 13-year and 17-year periodical cicadas of eastern North America. Magicicada species spend most of their 13- and 17-year lives underground feeding on xylem fluids from the roots of deciduous forest trees in the eastern United States. After 13 or 17 years, mature cicada nymphs emerge in the springtime at any given locality, synchronously and in tremendous numbers. Within two months of the original…
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A few weeks ago I wrote an extensive post on a simple momentum strategy in E-Mini Futures. The basic idea is to buy the S&P500 E-Mini futures when the contract makes a new intraday high. This is subject to the qualification that the Internal Bar Strength fall below a selected threshold level. In order words, after a…
New Algotrading Platform
Systematic Strategies is pleased to announce the launch of its new Algo Trading Platform. This will allow subscribers to follow a selection of our best strategies in equities, futures and options, for a low monthly subscription fee. There is no minimum account size, and accounts of up to $250,000 can be traded on the…
Protected: Systematic Strategies Fund – June 2018
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Canonical Correlation Analysis Emerging Markets
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Momentum trading strategies span a diverse range of trading ideas. Often they will use indicators to determine the recent underlying trend and try to gauge the strength of the trend using measures of the rate of change in the price of the asset. One very simple momentum concept, a strategy in S&P500 E-Mini futures, is described in the following…
Finding Alpha in 2018
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