Tag: market neutral

AWS Trading Part 2 - The Strategy

The code and diagrams for the strategy can be found on github. AWS Trading Part 2 Youtube video is here. Introduction In part 1 youtube video link we covered the data pipeline portion of the AWS trading bot architecture. I demonstrated how to set up your AWS environment, including creating a simple dynamoDB database to hold our price and strategy data. Then we walked through the data pipeline code in detail including how to grab the data and populate our db with it. In this post we’ll cover t

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Backtesting the Implied Volatility Long/Short Strategy (12/31/16)

Post Outline * Strategy Summary * References * 4-Week Holding Period Strategy Update * 1-Week Holding Period Strategy Updated (Target Leverage=2) Strategy Summary This is a stylized implementation of the strategy described in the research paper titled "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns" by Yuhang Xing, Xiaoyan Zhang and Rui Zhao. The authors show that their SKEW factor predicts individual equity returns up to 6 months! ABSTRACT Stocks exhi

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Backtesting the Implied Volatility Long/Short Strategy (12/06/16)

Post Outline * Strategy Summary * References * 4-Week Holding Period Strategy Update * 1-Week Holding Period Strategy Updated (Target Leverage=2) Strategy Summary This is a stylized implementation of the strategy described in the research paper titled "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns" by Yuhang Xing, Xiaoyan Zhang and Rui Zhao. The authors show that their SKEW factor predicts individual equity returns up to 6 months! ABSTRACT Stocks exhi

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Backtesting the Implied Volatility Long/Short Strategy (11/16/16)

Post Outline * Strategy Summary * References * 4-Week Holding Period Strategy Update * 1-Week Holding Period Strategy Updated (Target Leverage=2) Strategy Summary This is a stylized implementation of the strategy described in the research paper titled "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns" by Yuhang Xing, Xiaoyan Zhang and Rui Zhao. The authors show that their SKEW factor predicts individual equity returns up to 6 months! ABSTRACT Stocks exhi

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Does Factor Rank Matter for the Implied Volatility Skew Strategy?

Post Outline * Strategy Summary * Results * Conclusions/Analysis Strategy Summary First, if you're unfamiliar with the Implied Volatility Skew Strategy you can find a recent deep dive into the strategy and its performance here. In this short post, I look at the effect of using only the top N ranked ETFs from each Long/Short portfolio. In this case, N is equal to 3. This is an arbitrary selection and this study could be done with the top 1, 2, 4, etc. This differs from the original strate

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Backtesting the Implied Volatility Long/Short Strategy (10/18/16)

Post Outline * Strategy Summary * References * 4-Week Holding Period Strategy Update * 1-Week Holding Period Strategy Updated (Target Leverage=2) Strategy Summary This is a stylized implementation of the strategy described in the research paper titled "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns" by Yuhang Xing, Xiaoyan Zhang and Rui Zhao. The authors show that their SKEW factor predicts individual equity returns up to 6 months! ABSTRACT Stocks exhi

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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 Strategy Summary This is a stylized implementation of the strategy described in the research paper titled "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns" by Yuhang Xing, Xiaoyan Zhang and Rui Zhao. The authors show that their

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Backtesting the Implied Volatility Long/Short Strategy (9/27/16)

Post Outline * Strategy Summary * References * 4-Week Holding Period Strategy Update * 1-Week Holding Period Strategy Updated (Target Leverage=2) Strategy Summary This is a stylized implementation of the strategy described in the research paper titled "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns" by Yuhang Xing, Xiaoyan Zhang and Rui Zhao. The authors show that their SKEW factor predicts individual equity returns up to 6 months! ABSTRACT Stocks exhi

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Backtesting the Implied Volatility Long/Short Strategy (9/20/16)

Post Outline * Strategy Summary * References * 4-Week Holding Period Strategy Update * 1-Week Holding Period Strategy Updated (Target Leverage=2) Strategy Summary This is a stylized implementation of the strategy described in the research paper titled "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns" by Yuhang Xing, Xiaoyan Zhang and Rui Zhao. The authors show that their SKEW factor predicts individual equity returns up to 6 months! ABSTRACT Stocks exhi

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Backtesting the Implied Volatility Long/Short Strategy (9/14/16)

Post Outline * Strategy Restart * Strategy Summary * References * 4-Week Holding Period Strategy Update * 1-Week Holding Period Strategy Updated (Target Leverage=2) Strategy Restart After a ~2 month pause, the implied volatility long/short strategy has returned! If you were previously unaware this strategy relied on aggregating free options data via the now defunct Yahoo Finance Options API. After some time I was able to track down another free, reliable, source for options data via Bar

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Institutional Level Long/Short Strategies in Quantopian (OCF/EV)

Post Outline * Background * Strategy Summary * Implementation Details * Strategy Results and Analysis * References (Notes) Background Recently I was blessed with an introduction to S&P Global-Market Intelligence's Director of Business Development, Matt Morrissy and gifted a trial membership to the S&P Capital IQ platform [1]. Specifically, I was given an opportunity to review and provide feedback for their "Alpha Factor Library." Their team, the Quantamental Group [2], has researched an

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Updating the Implied Volatility L/S Strategy (6/21/2016)

There are two versions of this strategy that I have previously tracked and reported. The original strategy consists of forming weekly portfolios each held for a period of four (4) weeks before being liquidated. The second strategy is a higher frequency version which forms weekly portfolios with a holding period of one (1) week. Thus far, both strategies have exceeded expectations. Their apparent theoretical success is so far beyond expectations it required much deeper investigation and better si

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