“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…

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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,…

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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…

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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.…

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Shorting VXX Using VIX Futures Ratio

Strategy This strategy is almost identical to my previous post, except with the difference being we will actually use the VIX Futures’ Term Structure this time to know exactly what the contango between the Front and Second month contracts are. Essentially, we will take the settlement prices of the previous day’s First and Second month…

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