Blog Archives

Trading Mean Reversion with Augen Spikes

October 14, 2011
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Trading Mean Reversion with Augen Spikes

One of the more interesting things I have come across is the idea of looking at price changes in terms of recent standard deviation, a concept put forward by Jeff Augen. The gist is to express a close to close return as a function of the standard devia...

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Jeff Augen Volatility Spike Code in R

October 2, 2011
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Jeff Augen Volatility Spike Code in R

Jeff Augen has written many excellent books on options trading, including&nb...

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Adding a volatility filter with VIX

October 2, 2011
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Adding a volatility filter with VIX

We saw in the basic system how we could add a factor, namely the 200 day moving average, to improve the overall performance of our system. You could spend a lot of time playing with different moving averages, and different combinations of crossovers if...

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