First off, for the hiring managers out there, after about a one-year contracting role at Bank of America doing some … Continue reading →

This post will detail a rather important finding I found while implementing a generalized framework for momentum asset allocation backtests. … Continue reading →

This post will display some robustness results for KDA asset allocation. Ultimately, the two canary instruments fare much better using … Continue reading →

This post will introduce KDA Asset Allocation. KDA — I.E. Kipnis Defensive Adaptive Asset Allocation is a combination of Wouter … Continue reading →

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

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

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

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

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

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

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

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

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