Welcome to my online repository of research and insights on automated trading system developmentOr a case for going short VIX despite high bullish consensus?
I have been going on about roll yield and term structure for a few posts, and through two very concrete examples we’ll see how it can affect your trading and system development
A reader recently mentioned a paper (pdf by Sloyer and Tolkin) presenting a theoretical [...]
Entries Tagged as 'Instruments'
VIX, Peso… Sometimes you just cannot trade it!
August 9th, 2010 · 5 Comments · Futures
Tags: peso·roll yield·VIX
Better Trend Following via improved Roll Yield
July 26th, 2010 · 26 Comments · Futures, Strategies, Trend Following
To round off a series on backwardation, contango and roll yield (posts 1, 2 and 3), let’s put all this info together and use it in an innovative trading strategy to show how it can improve the performance of a Trend Following system by optimising its roll yield component (note: this could also be applied [...]
Tags: DB·roll yield
Roll Yield and Commodity Yield Curve
July 19th, 2010 · 2 Comments · Data, Futures
We have seen previously that backwardation and/or contango can induce a fairly large drift between the performance of an instrument’s spot market and its corresponding futures market.
This phenomenon can be described as roll yield of futures trading and I suggested it was one of the four components in Trend Following returns. As per that last [...]
Tags: roll yield·yield curve
Crude Oil, Contango and Roll Yield for Commodity Trading
June 8th, 2010 · 2 Comments · Futures
We have already discussed how roll yield can negatively affect the overall return of a commodity holding The impact of contango or backwardation can be relatively large compared to the overall return.
Petroleum has unfortunately been in the news lately. Nevertheless, Crude Oil performance last year gave us a good illustration of the impact that contango/backwardation [...]
Tags: backwardation·contango·rollover
MMDI Portfolio Filter in Trading Blox
February 2nd, 2010 · 4 Comments · Backtest, Futures, Software, Strategies
David Varadi, from the very good CSS Analytics blog, pointed me to his interesting findings on a Mean Median Divergence Indicator (MMDI) he devised as a replacement to the standard MACD.
I wanted to test the MMDI as a follow-up to Moving Median: a better indicator than Moving Average?. This also provided a good opportunity to [...]
Mammoth Hedge Fund moves into Trend Following
January 28th, 2010 · 5 Comments · Futures, Trend Following
AQR is a top hedge fund, managing around $24B in Assets. Lately, they have been making noise about their moving into the Managed Futures space (a.k.a. Trend Following). They seem to be working at institutional investor’s acceptance of trend following as an “investment” concept. They might just be trying to catch up with another mammoth [...]
Tags: AQR·research paper
