Algo-Development
vix term structure algo - contango/backwardation trading
·776 words
been researching VIX term structure trades.
contango vs backwardation. predictable patterns.
finally got an algo working.
the concept # contango: front month VIX < back month VIX
pre-election algo adjustments - sizing down, hedges up
election tuesday.
time to adjust.
the problem # elections = regime uncertainty.
policies change. sectors rotate. vol spikes.
sector rotation algo - implementation with relative strength scoring
been working on a sector rotation algo.
concept: own the strongest sectors, short the weakest.
simple in theory. complex in implementation.
the core idea # sectors rotate in predictable cycles.
earnings volatility filter - implementation and early results
·733 words
been running the earnings volatility filter for a week now.
early results are promising.
the problem # earnings = binary events. stock moves 5-10% or nothing.