Posts Tagged ‘ Low Volatility ’

Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 1

April 23, 2012
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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 1

Analyzing transactions in quantstrat This post will be part 1 of a follow up to the original post, Simple Moving Average Strategy with a Volatility Filter. In this follow up, I will take a closer look at the individual trades of each strategy. This may provide valuable information to explain the difference in performance of the SMA … Continue reading...

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Low Volatility with R

April 12, 2012
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Low Volatility with R

Low volatility and minimum variance strategies have been getting a lot of attention lately due to their outperformance in recent years. Let’s take a look at how we can incorporate this low volatility effect into a monthly rotational strategy with a basket of ETFs. Performance Summary from Low Volatility Test in quantstrat Starting Equity: 100,000 … Continue reading...

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