Blog Archives

GARCH and a rudimentary application to Vol Trading

December 3, 2018
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GARCH and a rudimentary application to Vol Trading

This post will review Kris Boudt’s datacamp course, along with introducing some concepts from it, discuss GARCH, present an application … Continue reading →

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Principal Component Momentum?

September 17, 2018
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Principal Component Momentum?

This post will investigate using Principal Components as part of a momentum strategy. Recently, I ran across a post from … Continue reading →

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A Review of James Picerno’s Quantitative Investment Portfolio Analytics in R

August 17, 2018
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This is a review of James Picerno’s Quantitative Investment Portfolio Analytics in R. Overall, it’s about as fantastic a book … Continue reading →

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A Different Way To Think About Drawdown — Geometric Calmar Ratio

May 4, 2018
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This post will discuss the idea of the geometric Calmar ratio — a way to modify the Calmar ratio to … Continue reading →

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Creating a Table of Monthly Returns With R and a Volatility Trading Interview

February 20, 2018
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This post will cover two aspects: the first will be a function to convert daily returns into a table of … Continue reading →

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Which Implied Volatility Ratio Is Best?

January 24, 2018
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Which Implied Volatility Ratio Is Best?

This post will be about comparing a volatility signal using three different variations of implied volatility indices to predict when … Continue reading →

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Replicating Volatiltiy ETN Returns From CBOE Futures

January 12, 2018
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Replicating Volatiltiy ETN Returns From CBOE Futures

This post will demonstrate how to replicate the volatility ETNs (XIV, VXX, ZIV, VXZ) from CBOE futures, thereby allowing any … Continue reading →

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(Don’t Get) Contangled Up In Noise

December 21, 2017
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(Don’t Get) Contangled Up In Noise

This post will be about investigating the efficacy of contango as a volatility trading signal. For those that trade volatility … Continue reading →

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Comparing Some Strategies from Easy Volatility Investing, and the Table.Drawdowns Command

November 14, 2017
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Comparing Some Strategies from Easy Volatility Investing, and the Table.Drawdowns Command

This post will be about comparing strategies from the paper “Easy Volatility Investing”, along with a demonstration of R’s table.Drawdowns … Continue reading →

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The Return of Free Data and Possible Volatility Trading Subscription

October 23, 2017
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The Return of Free Data and Possible Volatility Trading Subscription

This post will be about pulling free data from AlphaVantage, and gauging interest for a volatility trading subscription service. So … Continue reading →

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