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,…

Decay on VXX is NOT from the Daily Roll

After reading this post, I’ve realized that my trading strategy was built on an erroneous understanding of the VIX products such as VXX and UVXY. It’s actually not the daily roll that causes the decay on these ETFs, but the normal convergence of the Futures price towards the spot price of the underlying instrument as we approach…

Revisiting Short VXX

So after the last two weeks of heavy swings and poor trade timings/decisions, I’ve decided to go back and revisit some of my models. It appears that capping your gains at 5% is not exactly an optimal strategy and that just letting the F1/F2 ratio dictate your entry and exit would make you better off.…

Ego is the Enemy – Part 1: Aspire

This section of the book begins with an introduction on the teachings of Isocrates to his student Demonicus, who was young and ambitious. However, the path of ambition can be dangerous and Demonicus is informed to practice self-control and refrain from haughtiness “and that the best thing which we have in ourselves is good judgement.” Isocrates’…

No adornment so becomes you as modesty, justice, and self-control; for these are the virtues by which, as all men are agreed, the character of the young is held in restraint.

Practice self-control and do not fall under the sway of temper, pleasure, and pain.

Abhor flatterers as you would deceivers; for both, if trusted, injure those who trust them. 

Be affable in your relations with those who approach you, and never haughty; for the pride of the arrogant even slaves can hardly endure.

Be slow in deliberation, but be prompt to carry out your resolves.

The best thing which we have in ourselves is good judgment.

Constantly train your intellect for the greatest thing in the smallest compass is a sound mind in a human body.