VIX Index Low Streaks

I came across an interesting article here giving some more history into low VIX levels. Overall, a quick summary of the results are just: Since the U.S. Election of 2016, the S&P 500 has surged higher, while implied volatility (the VIX) has plummeted. While super low volatility periods seem unsustainable, they have the tendency to…

Portfolio Strategies Refinement

It’s been officially two years since I’ve started my algorithmic investing/trading journey approach and I’ve definitely learned a lot so far. After running another portfolio review, I’m simplifying things again into things that work and things that didn’t work for me. I’ve dabbled in holding dividend aristocrat names, however, the idiosyncratic risk is just too…

Macro Economic Indicators

After watching this video from Ray Dalio on the economy, I wanted to investigate further into a few major indicators for how the economy is doing so that I can get a better sense of when to reduce my risk exposure within my portfolios. From this¬†blog post, I’ve pulled and plotted (after scaling all the…

Crypto Moving Average Backtesting

Lately, I’ve been getting involved in the cryptocurrency frenzy. However, I do sincerely believe that the intrinsic value of these currencies are nowhere near their current dollar values; personally, it feels like another “tulip mania”. That aside, there’s still an opportunity to make some profits with these currencies by trading them and so far, it…

SPX Options Testing

It’s been a while since my last post; I’ve just gotten super busy with my move from Toronto to Los Angeles and basically uprooting my life. However, I’ve managed to keep monitoring and researching my portfolio throughout my relocation and after doing some review, one of my biggest earners is short SPX puts. With this…

Automated Full Portfolio Back-Test V3

This is the third iteration of my fully automated total portfolio strategy, which I’ve actually deployed and has been performing quite well since launch. It’s very similar to my old strategy, however, this iteration has been geared toward reducing drawdown even further. Specifically, I’ve incorporated the 2% stop-loss for my short volatility positions and then…