Blog Archives

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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The Kelly Criterion — Does It Work?

September 29, 2017
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The Kelly Criterion — Does It Work?

This post will be about implementing and investigating the running Kelly Criterion — that is, a constantly adjusted Kelly Criterion … Continue reading →

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Leverage Up When You’re Down?

September 5, 2017
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Leverage Up When You’re Down?

This post will investigate the idea of reducing leverage when drawdowns are small, and increasing leverage as losses accumulate. It’s … Continue reading →

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Let’s Talk Drawdowns (And Affiliates)

August 1, 2017
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Let’s Talk Drawdowns (And Affiliates)

This post will be directed towards those newer in investing, with an explanation of drawdowns–in my opinion, a simple and … Continue reading →

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