Description
Total position allocation is set to 0.9 of account
[Read More]Portfolio - VSplines
Volatility Wavelet Splines
Description
Using a wavelet based on the specific volatility ETF and then cubic splines to predict forward it’s direction, this decides to go risk on or off.
The system does use wide stops but discretion is up to the practitioner themselves. Take note of the average draw down seen. Care should be taken particularly arround large market events like Fed announcements.
Trading happens on the next Open from the signal day.
Total position allocation is set to 0.85 of account
[Read More]System - OSplinesSOXL
Wavelet Splines
System - IOSplinesNDX
Wavelet Splines
Portfolio - Volatility
Volatility Risk Premium
Description
Realized volatility is a measure of the actual volatility of a financial instrument, such as the S&P 500, over a certain period of time. Implied volatility, on the other hand, is a measure of the expected volatility of a financial instrument, as implied by the current market price of options as with the VIX. The difference between realized and implied volatility can be used to gauge market sentiment and predict future price movements. In general, a difference between the two would indicate that the market expects the volatility of the S&P 500 to be different than it has been in the past. Advancing price formations would generally be associated with a decrease in volatility.
The strategy does not apply stops, discretion is up to the practitioner themselves. Take note of the average draw down seen.
Trading happens on the next Open from the signal day.
Total position allocation is set to 0.85 of account
[Read More]System - IOSplinesTNA
Wavelet Splines
System - IOSplines
Wavelet Splines
System - IOSplinesSPX
Wavelet Splines
Strategy - VRP-NDX
Volatility Risk Premium 2
Strategy - VRP-SPX
Volatility Risk Premium 2
Description
This looks at the difference between realized and implied volatility in the S&P500 for advancing price formations. It decides on the amount of risk to take on based on the past history.
This uses TMF, UBT, UUP, SPY ,SSO and SPXL.
Trading happens on the next Open from the signal day.