Mining for Three Day Candlestick Patterns
I’ve been thinking a lot about candlestick patterns lately but grew tired of trying to generate ideas and instead decided to mine for them. I must confess I didn’t expect much from such a simplistic approach, so I was pleasantly…
A Quick Look at Bitcoin Returns
Bitcoin seems to be all the rage these days, and I’m jumping on the bandwagon. Quandl tweeted about their bitcoin data today so I decided I’d have a look at it. I have tested a bunch of popular/”standard” ideas, and the results…
Heuristics for Managing Model Risk
Model risk is the risk that a model is, or will become, unable to perform the tasks it was designed to do. In terms of trading, this can be the risk that a set-up stops working, the risk that a…
Doing the Jaffray Woodriff Thing (Kinda), Part 1
Jaffray Woodriff, who runs QIM, a highly successful systematic fund, has provided enough details about his data mining approach in various interviews (particularly the one in the excellent book Hedge Fund Market Wizards) that I think I can approximate it. Even…
The VIX:VXV Ratio
The VXV is the VIX’s longer-term brother; it measures implied volatility 3 months out instead of 30 days out. The ratio between the VIX and the VXV captures the differential between short-term and medium-term implied volatility. Naturally, the ratio spends most…
Holiday Effects in the Chinese Stock Market
Various holiday effects are well documented for developed countries’ stock markets, typically showing abnormal returns around thanksgiving, Christmas, New Year, and Easter. Do similar effects exist in the Chinese stock market? In this post I’ll take a look at returns…
IBS and Relative Value Mean Reversion
I’m writing a paper on the IBS effect, but it’s taking a bit longer than expected so I thought I’d share some of the results in a blog post. The starting point is a paper by Levy & Lieberman: Overreaction of…
A Quick Look at IB’s Equity Index CFDs
I recently got a mail from IB touting their new lineup of equity index CFDs. As I trade a lot of equity index ETFs I thought I’d take a look at them, in case I could get away with lower…
Hedging VIX ETP Strategies Using SPY
Introduction A quick intro to VIX ETPs (some are ETFs, others are ETNs)1 before we get to the meat: the VIX itself is not tradable, only futures on the VIX are. These futures do not behave like equity index futures which…
Consecutive Up or Down Days, NASDAQ 100 Edition
Just a short post today. Jack Damn has been tweeting about consecutive up/down days lately, which inspired me to go looking for a potential edge. The NASDAQ 100 has posted 6 consecutive up days as of yesterday’s close. Is this a signal…
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