Tag: Pairs Trading

Mean Reversion Strategies in Python (Course Review)

This post contains affiliate links. An affiliate link means Blackarbs may receive compensation if you make a purchase through the link, without any extra cost to you. Blackarbs strives to promote only products and services which provide value to my business and those which I believe could help you, the reader. In this post I will be reviewing the course “Mean Reversion Strategies by Dr. E.P. Chan” (<—affiliate link, use discount code LONGSHORT for an additional 5% off at checkout). First off, f

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BACKTESTING THE IMPLIED VOLATILITY STRATEGY WITH QUANTOPIAN (5/20/16)

FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE To see the origin of this series click here. To summarize, the strategy calculates a SKEW measure using ATM calls and OTM puts for a collection of ETF symbols. It then sorts the symbols into quintiles based on the SKEW factor. Using daily close/close log return calculations for this strategy has shown exceptional performance as can be seen here. However, translating a successful dail

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BACKTESTING THE IMPLIED VOLATILITY STRATEGY WITH QUANTOPIAN (4/09/16)

To see the origin of this series click here. To summarize, the strategy calculates a SKEW measure using ATM calls and OTM puts for a collection of ETF symbols. It then sorts the symbols into quintiles based on the SKEW factor. Using daily close/close log return calculations for this strategy has shown exceptional performance as can be seen here. However, translating a successful daily strategy with no transaction costs and perfect trading fills into a robust strategy that can execute and perfo

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BACKTESTING THE IMPLIED VOLATILITY STRATEGY WITH QUANTOPIAN (2/27/16)

#block-yui_3_17_2_5_1456621692348_14798 .social-icons-style-border .sqs-svg-icon--wrapper { box-shadow: 0 0 0 2px inset; border: none; } FOR A DEEPER DIVE INTO ETF PERFORMANCE AND RELATIVE VALUE SUBSCRIBE TO THE ETF INTERNAL ANALYTICS PACKAGE HERE To see the origin of this series click here. To summarize, the strategy calculates a SKEW measure using ATM calls and OTM puts for a collection of ETF symbols. It then sorts the symbols into quintiles based on the SKEW factor. Using daily close/cl

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