One metric of market stress is the VX Ratio, defined as the ratio of the CBOE VVIX Index to the VIX Index. The former measures the volatility of the VIX, or the volatility of volatility. When markets are very quiet and the VIX Index is low the ratio moves to higher levels. During periods of…
Market Stress Test Signals Danger Ahead
Protected: Systematic Strategies Fund June 2017
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Volatility ETF Trader – June 2017: +15.3%
The Volatility ETF Trader product is an algorithmic strategy that trades several VIX ETFs using statistical and machine learning algorithms. We offer a version of the strategy on the Collective 2 site (see here for details) that the user can subscribe to for a very modest fee of only $149 per month. The risk-adjusted performance of the Collective 2 version…
Futures WealthBuilder – June 2017: +4.4%
The Futures WealthBuilder product is an algorithmic CTA strategy that trades several highly liquid futures contracts using machine learning algorithms. More details about the strategy are given in this blog post. We offer a version of the strategy on the Collective 2 site (see here for details) that the user can subscribe to for a very modest fee of only…
Why Statistical Arbitrage Breaks Down
An extract from my book, Quantitative Research and Trading, to be published in 2017.
Life Expectancy and Economic Wellbeing
Illustrating the power-law relationship between life expectancy and economic wellbeing, as measured by GDP per Capita:
Systematic Strategies is Hiring
Systematic Strategies is recruiting for its new London office, opening in the summer. We will be hiring experienced quantitative researchers, developers and traders who will be engaged in the research and development of medium frequency strategies in equities, derivatives and foreign exchange. More details will be posted on our web site in due course. We currently have opportunities…
Beta Convexity
Around a quarter of a century ago I wrote a paper entitled “Equity Convexity” which – to my disappointment – was rejected as incomprehensible by the finance professor who reviewed it. But perhaps I should not have expected more: novel theories are rarely well received first time around. I remain convinced the idea has merit and may perhaps…
Futures WealthBuilder
We are launching a new product, the Futures WealthBuilder, a CTA system that trades futures contracts in several highly liquid financial and commodity markets, including SP500 EMinis, Euros, VIX, Gold, US Bonds, 10-year and five-year notes, Corn, Natural Gas and Crude Oil. Each component strategy uses a variety of machine learning algorithms to detect trends, seasonal effects and…
Algorithmic Trading on Collective 2
Regular readers will recall my mentioning out VIX Futures scalping strategy which we ran on the Collective2 site for a while: The strategy, while performing very well, proved difficult for subscribers to implement, given the latencies involved in routing orders via the Collective 2 web site. So we began thinking about slower strategies…
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