Publications by Ilya Kipnis
Creating a VIX Futures Term Structure In R From Official CBOE Settlement Data
This post will be detailing a process to create a VIX term structure from freely available CBOE VIX settlement data and a calendar of freely obtainable VIX expiry dates. This has applications for volatility trading strategies. So this post, as has been the usual for quite some time, will not be about a strategy, but rather, a tool that can be use...
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Constant Expiry VIX Futures (Using Public Data)
This post will be about creating constant expiry (E.G. a rolling 30-day contract) using VIX settlement data from the CBOE and the spot VIX calculation (from Yahoo finance, or wherever else). Although these may be able to be traded under certain circumstances, this is not always the case (where the desired expiry is shorter than the front month’...
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The Marcos Lopez de Prado Hierarchical Risk Parity Algorithm
This post will be about replicating the Marcos Lopez de Prado algorithm from his paper building diversified portfolios that outperform out of sample. This algorithm is one that attempts to make a tradeoff between the classic mean-variance optimization algorithm that takes into account a covariance structure, but is unstable, and an inverse volat...
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Testing the Hierarchical Risk Parity algorithm
This post will be a modified backtest of the Adaptive Asset Allocation backtest from AllocateSmartly, using the Hierarchical Risk Parity algorithm from last post, because Adam Butler was eager to see my results. On a whole, as Adam Butler had told me he had seen, HRP does not generate outperformance when applied to a small, carefully-constructed,...
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An Out of Sample Update on DDN’s Volatility Momentum Trading Strategy and Beta Convexity
The first part of this post is a quick update on Tony Cooper’s of Double Digit Numerics’s volatility ETN momentum strategy from the volatility made simple blog (which has stopped updating as of a year and a half ago). The second part will cover Dr. Jonathan Kinlay’s Beta Convexity concept. So, now that I have the ability to generate a term ...
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Let’s Talk Drawdowns (And Affiliates)
This post will be directed towards those newer in investing, with an explanation of drawdowns–in my opinion, a simple and highly important risk statistic. Would you invest in this? As it turns out, millions of people do, and did. That is the S&P 500, from 2000 through 2012, more colloquially referred to as “the stock market”. Plenty of peo...
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Leverage Up When You’re Down?
This post will investigate the idea of reducing leverage when drawdowns are small, and increasing leverage as losses accumulate. It’s based on the idea that whatever goes up must come down, and whatever comes down generally goes back up. I originally came across this idea from this blog post. So, first off, let’s write an easy function that ...
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The Kelly Criterion — Does It Work?
This post will be about implementing and investigating the running Kelly Criterion — that is, a constantly adjusted Kelly Criterion that changes as a strategy realizes returns. For those not familiar with the Kelly Criterion, it’s the idea of adjusting a bet size to maximize a strategy’s long term growth rate. Both https://en.wikipedia.org/...
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The Return of Free Data and Possible Volatility Trading Subscription
This post will be about pulling free data from AlphaVantage, and gauging interest for a volatility trading subscription service. So first off, ever since the yahoos at Yahoo decided to turn off their free data, the world of free daily data has been in somewhat of a dark age. Well, thanks to http://blog.fosstrading.com/2017/10/getsymbols-and-alpha...
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Comparing Some Strategies from Easy Volatility Investing, and the Table.Drawdowns Command
This post will be about comparing strategies from the paper “Easy Volatility Investing”, along with a demonstration of R’s table.Drawdowns command. First off, before going further, while I think the execution assumptions found in EVI don’t lend the strategies well to actual live trading (although their risk/reward tradeoffs also leave a ...
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