Backtesting the Implied Volatility Strategy - A Deeper Dive (10/03/16)

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Backtesting the Implied Volatility Strategy - A Deeper Dive (10/03/16)

Post Outline

  • Strategy Summary
  • References
  • 4-Week Holding Period Strategy Update
  • 1-Week Holding Period Strategy Updated (Target Leverage=2)
  • Deep Dive into the Weekly Strategy using Quantopian's Pyfolio
  • Strategy Concerns
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