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,…