Publications by Ilya Kipnis
Several Key PerformanceAnalytics Functions From R Now In Python (special thanks to Vijay Vaidyanathan)
So, thanks to my former boss, and head of direct indexing at BNY Mellon, Vijay Vaidyanathan, and his Coursera course, along with the usual assistance from chatGPT (I officially see it as a pseudo programming language), I have some more software for the Python community now released to my github. As wordpress now makes it very difficult to paste for...
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This function VITAL for portfolio backtesting is now in Python, written with the help of chatGPT4
So, it’s been a little while. But after a couple of years of some grunt work analytics jobs *and* consulting for a $1B AUM fund, I’ve decided that I had a bit more in the tank to share as far as quant content creation–quantent creation (?)–goes. And a function I’ve searched for in Python for a long time now, but never finding it in a pro...
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Trend Vigor Part IV: Shorting and Walk Forward Test
While Trend Vigor has potential on the long end (as seen in part III of this investigation here), as Andreas Clenow has stated in his article “Trend Following Does Not Work On Stocks”, the short side of trend following gets killed in equities. And, since by far and away most of the securities in this backtest were equity-based ETFs (most of t...
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The Continuing Search For Robust Momentum Indicators: the Fractal Adaptive Moving Average
Following from the last post and setting aside the not-working-as-advertised Trend Vigor indicator, we will turn our attention to the world of adaptive moving averages. In this case, I will be working with the FRAMA–the FRactal Adaptive Moving Average. The reason I am starting off with this one is that according to ETFHQ in this post, FRAMA is ...
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FRAMA Part II: Replicating A Simple Strategy
This post will begin the investigation into FRAMA strategies, with the aim of ultimately finding a FRAMA trading strategy with less market exposure, fewer whipsaw trades, and fewer counter-trend trades. This post will also introduce new analytics regarding trade duration. To begin the investigation into developing strategies based on the previous...
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FRAMA Part III: Avoiding Countertrend Trading — A First Attempt
This post will begin to experiment with long-term directional detection using relationships between two FRAMA indicators. By observing the relationship between two differently parametrized FRAMAs and the relationship by virtue of the ATR, it will be possible to avoid counter-trend trading on both sides. We will see this example later: As with TV...
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FRAMA Part IV: Continuing the Long/Short Filter Search
This post examines an n-day median filter for two desirable properties: robustness to outliers and an inherent trend-confirming lag. While this is an incomplete filter (or maybe even inferior), it offers some key insights into improving the trading system. The strategy will be thus: First and foremost, this will be a short-only strategy, due to ...
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FRAMA Part V: Wrap-Up on Confirmatory Indicator/Test Sample
So, it is possible to create a trading system that can correctly isolate severe and protracted downturns, without taking (too many) false signals. Here are the rules: 126 day FRAMA, FC=4, SC=300 (we’re still modifying the original ETFHQ strategy). A running median (somewhere between 150 days and 252 days–seemingly, all these configurations wo...
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Intermission: A Data File For Futures Data (from Quandl)
So between variations of different strategies, for those who have yet to come across it, my IKTrading package has a function called quandClean, which exists to get and clean daily futures data from quandl.com . The exact process can be found on the Revolution Analytics blog on this post. While some of their futures data is quoted in other curren...
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Volatility Histeresis: A First Attempt
So the last time that a FRAMA strategy was tried with price crossovers, the problem was that due to counter-trending failures, the filter that was added missed a lot of good trades, and wound up losing a lot of money during flat markets that passed the arbitrary filter. This trading system tries to rectify those issues by trading a rising FRAMA f...
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