A quick example on using next day open-to-open returns for Tactical Asset Allocation.
First off, for the hiring managers out there, after about a one-year contracting role at Bank of America doing some … Continue reading →
Articles by Ilya Kipnis
Two Different Methods to Apply Some Corey Hoffstein Analysis to your TAA
So, first off: I just finished a Thinkful data science in python bootcamp program that was supposed to take six … Continue reading →
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A Tale of an Edgy Panda and some Python Reviews
This post will be a quickie detailing a rather annoying…finding about the pandas package in Python. For those not in … Continue reading →
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How You Measure Months Matters — A Lot. A Look At Two Implementations of KDA
This post will detail a rather important finding I found while implementing a generalized framework for momentum asset allocation backtests. … Continue reading →
KDA–Robustness Results
This post will display some robustness results for KDA asset allocation. Ultimately, the two canary instruments fare much better using … Continue reading →
Right Now It’s KDA…Asset Allocation.
This post will introduce KDA Asset Allocation. KDA — I.E. Kipnis Defensive Adaptive Asset Allocation is a combination of Wouter … Continue reading →
GARCH and a rudimentary application to Vol Trading
This post will review Kris Boudt’s datacamp course, along with introducing some concepts from it, discuss GARCH, present an application … Continue reading →
Principal Component Momentum?
This post will investigate using Principal Components as part of a momentum strategy. Recently, I ran across a post from … Continue reading →
A Review of James Picerno’s Quantitative Investment Portfolio Analytics in R
This is a review of James Picerno’s Quantitative Investment Portfolio Analytics in R. Overall, it’s about as fantastic a book … Continue reading →
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A Different Way To Think About Drawdown — Geometric Calmar Ratio
This post will discuss the idea of the geometric Calmar ratio — a way to modify the Calmar ratio to … Continue reading → [Read more...]
Creating a Table of Monthly Returns With R and a Volatility Trading Interview
This post will cover two aspects: the first will be a function to convert daily returns into a table of … Continue reading →
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Which Implied Volatility Ratio Is Best?
This post will be about comparing a volatility signal using three different variations of implied volatility indices to predict when … Continue reading →
Replicating Volatiltiy ETN Returns From CBOE Futures
This post will demonstrate how to replicate the volatility ETNs (XIV, VXX, ZIV, VXZ) from CBOE futures, thereby allowing any … Continue reading →
(Don’t Get) Contangled Up In Noise
This post will be about investigating the efficacy of contango as a volatility trading signal. For those that trade volatility … Continue reading →
Comparing Some Strategies from Easy Volatility Investing, and the Table.Drawdowns Command
This post will be about comparing strategies from the paper “Easy Volatility Investing”, along with a demonstration of R’s table.Drawdowns … Continue reading →
The Return of Free Data and Possible Volatility Trading Subscription
This post will be about pulling free data from AlphaVantage, and gauging interest for a volatility trading subscription service. So … Continue reading →
The Kelly Criterion — Does It Work?
This post will be about implementing and investigating the running Kelly Criterion — that is, a constantly adjusted Kelly Criterion … Continue reading →
Leverage Up When You’re Down?
This post will investigate the idea of reducing leverage when drawdowns are small, and increasing leverage as losses accumulate. It’s … Continue reading →
Let’s Talk Drawdowns (And Affiliates)
This post will be directed towards those newer in investing, with an explanation of drawdowns–in my opinion, a simple and … Continue reading →
An Out of Sample Update on DDN’s Volatility Momentum Trading Strategy and Beta Convexity
The first part of this post is a quick update on Tony Cooper’s of Double Digit Numerics’s volatility ETN momentum … Continue reading →
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