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Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 3

May 10, 2012 | rbresearch

In part 2, we saw that adding a volatility filter to a single instrument test did little to improve performance or risk adjusted returns. How will the volatility filter impact a multiple instrument portfolio? In part 3 of the follow up, I will evaluate the impact of the volatility filter on a ... [Read more...]

Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

April 30, 2012 | rbresearch

In the Follow-Up Part 1, I explored some of the functions in the quantstrat package that allowed us to drill down trade by trade to explain the difference in performance of the two strategies. By doing this, I found that my choice of a volatility measure may not have been the ... [Read more...]

Simple Moving Average Strategy with a Volatility Filter

April 18, 2012 | rbresearch

I would describe my trading approach as systematic long term trend following. A trend following strategy can be difficult mentally to trade after experiencing multiple consecutive losses when a trade reverses due to a volatility spike or the trend reverses. Volatility tends to increase when prices fall. This is not ...

[Read more...]

Low Volatility with R

April 12, 2012 | rbresearch

Low volatility and minimum variance strategies have been getting a lot of attention lately due to their outperformance in recent years. Let’s take a look at how we can incorporate this low volatility effect into a monthly rotational strategy with a basket of ETFs. Performance Summary from Low Volatility ... [Read more...]

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Backtest

Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 3

Simple Moving Average Strategy with a Volatility Filter: Follow-Up Part 2

Simple Moving Average Strategy with a Volatility Filter

Low Volatility with R

Backtest

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