Taking Advantage of Leveraged ETFs

I was doing a little research over the holidays when I encountered an interesting post on the Subreddit WSB. Unfortunately, WSB is now private, so it would be pointless to share the link, however, it did lead me to dig deeper into understanding leveraged ETFs; specifically how they’re structured and what types of drag are…

“January Effect” Research

With less than two weeks left in the current year, I thought it’d be interesting to take a look at the so-called January Effect. In short, the effect is a supposed rally every year in January, which is interesting given the past three years have consecutive negative returns for the month. Another thing to note is also…

SPX Return Summaries Conditioning on VIX

So lately I’ve been revisiting some strategies on premium selling, i.e., selling SPY or SPX puts. This strategy is actually a very profitable one that has low volatility and can be scaled up to larger portfolios without worrying about a massive drawdown. The key is to know when to sell the different option maturities, and…

Slight Tweaking to Current Strategies

With the current US market climate trending towards a rising rate environment, I wanted to slightly tweak my algorithms to move to SHY rather than just straight cash. Although there is very little impact on overall performance, it does improve returns for the Full Portfolio strategy. It actually lowers the performance of just straight shorting VXX,…

Full TFSA Portfolio Backtest

  In moving forward with my goal to fully automate my portfolio, I’ve ran a backtest for my TFSA algorithm which encompasses an asset allocation rotation strategy and a short volatility strategy. The results are quite decent and seems to be able to weather large corrections well. One thing to note is that the algo…

Optimizing Parameters for Quantopian

After finally getting a hang of the Research Notebook and Zipline in Quantopian, I decided to run some optimizations for a couple strategies. For one, since I’ve decided to have my strategies fully automated, I decided to stick with some algorithms that have worked for me. These are the SPY/TLT rotation and shorting VXX. First off,…