Blog Archives

Gas price seasonality

February 18, 2010
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Gas price seasonality

Last spring I read “Quantitative Trading” by Ernest P. Chan. In his book, he suggested to buy gas futures contract at the end of February and sell it later, in March. Today, I decided to test this strategy by using R-language. The most important thing for such investigation is data. For this purpose, I used this

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Sugar price seasonality

February 16, 2010
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Sugar price seasonality

Recently, Orion securities have issued a “BUY” recomendation for Cugar ETF. Because, neither I follow the recommendations nor I’m big fan of TA (I have to admit, that I was…), I decided to check sugar price seasonality. Voila, the mean of monthly returns are presented in the graph. February, April and May tend to be negative

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Go long on close and sell on open

October 29, 2009
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Go long on close and sell on open

I found a description of supposed to be profitable strategy on Bloomberg. The strategy is simple – buy S&P500 index on close and sell it on next day open. So, I tested this claim and got nice P/L curve: Yes, since 1993 this strategy has generated the profit >300%. But, neither commissions or slippage are included:) Let’s

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Oil vs gas

October 5, 2009
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Oil vs gas

Recently, friend of my, got investment advise from his broker – long gas, because the price of gas is very low compared to oil. The broker didn’t indicate neither profit target or stop loss… I got hooked on the idea. First of all, I ran linear regression on monthly prices of oil and gas from 01-12-1993 to

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High yield spread

September 23, 2009
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High yield spread

Last week I had opportunity to participate at NYU, where one of the lecturers was Z-score man’s. He spent same time talking about the high yield spread as measure of the macro economy. Then spread is high (junk bonds become very cheap and Treasuries become ‘gold’) -  crisis is right here. Intuitively, it is similar

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First 15 min. volatility impact on the day’s volatility

August 14, 2009
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First 15 min. volatility impact on the day’s volatility

One night I was hooked on this post at elitetrader. I spent couple of hours to find, that a guy is cheating a bit and he didn’t reveal his strategy. Not big deal – free lunch is rear. So, I googled about that guy and one thing catch my attention. In one of his post

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