Now that I’ve refined my bull and sideways market strategies quite a bit, I need to start really thinking about what I need to do during bear markets or corrections. I’m going to consider bear market strategies on specifically equities and volatility. The nuances with a bear market are quite different compared to a bull…
I always knew algorithmic trading was an iterative process, but it’s really become interesting lately as I continue to refine my short volatility algorithms. With my most recent iteration, I’ve realized that after a stop-loss has been triggered intraday, there could potentially be a buy-back opportunity at the end of the day from when VXX…
I’m revisiting my core strategies for my portfolio again, i.e., momentum tactical allocation and short volatility, but this time I’ve decided to experiment with a one day stop loss rule of 2% on the short volatility holdings. The results actually turned out much better than I expected in that it severely minimized draw-down as well…
I’m revisiting my full portfolio algorithm again in back-testing, but this time with the adjustment of using the normalized ratio for shorting volatility rather than the simple Spot VIX over the Front Month future settlement. It improves the algorithm quite a bit by reducing both the Max Drawdown as well as the Beta of the…
Similar to what I did for SPY in my previous post, I decided to do the same thing for TLT since I’m doing a variation of the couch potato strategy of holding broad equity and fixed income instruments.
Table of Sortino Ratios for Different Time Periods
Sortino Heat Maps Across Different Time Windows
