Publications by kafka
First 15 min. volatility impact on the day’s volatility
One night I was hooked on this post at elitetrader. I spent couple of hours to find, that a guy is cheating a bit and he didn’t reveal his strategy. Not big deal – free lunch is rear. So, I googled about that guy and one thing catch my attention. In one of his post he mentioned about a stock volatility in the first 15-30 min. and its persiste...
2000 sym 4 img
High yield spread
Last week I had opportunity to participate at NYU, where one of the lecturers was Z-score man’s. He spent same time talking about the high yield spread as measure of the macro economy. Then spread is high (junk bonds become very cheap and Treasuries become ‘gold’) – crisis is right here. Intuitively, it is similar to VIX index, but the ...
1068 sym 2 img
Oil vs gas
Recently, friend of my, got investment advise from his broker – long gas, because the price of gas is very low compared to oil. The broker didn’t indicate neither profit target or stop loss… I got hooked on the idea. First of all, I ran linear regression on monthly prices of oil and gas from 01-12-1993 to 01-09-2009. I was skeptical about �...
1332 sym 8 img
Go long on close and sell on open
I found a description of supposed to be profitable strategy on Bloomberg. The strategy is simple – buy S&P500 index on close and sell it on next day open. So, I tested this claim and got nice P/L curve: Yes, since 1993 this strategy has generated the profit >300%. But, neither commissions or slippage are included:) Let’s consider 0.0007% co...
851 sym 4 img
Sugar price seasonality
Recently, Orion securities have issued a “BUY” recomendation for Cugar ETF. Because, neither I follow the recommendations nor I’m big fan of TA (I have to admit, that I was…), I decided to check sugar price seasonality. Voila, the mean of monthly returns are presented in the graph. February, April and May tend to be negative and June and ...
974 sym 4 img
Gas price seasonality
Last spring I read “Quantitative Trading” by Ernest P. Chan. In his book, he suggested to buy gas futures contract at the end of February and sell it later, in March. Today, I decided to test this strategy by using R-language. The most important thing for such investigation is data. For this purpose, I used this public data: www.eia.doe.gov I...
1770 sym R (1371 sym/1 pcs) 4 img
End of the month investment
It is know, that the first day of the month provides bullish edge. According to Quantifiable edges not all the months are equal. So, I made a test on S&P500 index, from January, 1980 until February, 2010. It is true, March isn’t the best month to run this strategy. Only 3 months have significant results based on p-values: “month 5, p-valu...
947 sym 2 img
Strategy: what if SPY & VIX are up?
Recently, I was busy testing the following strategy: If SPY and VIX daily returns are positive, then short SPY at close and keep it for one day. The strategy is dump simple and it has very good feature – short side. There are not so many successful short side strategies. For testing purpose I used daily Yahoo data from 1995 until present. For c...
1774 sym 4 img
Returns on Easter week and one week after
Inspired by CXO group report, I did a rerun of the same strategy on my data. Easter’s dates can be find at wikipedia. Overall, my results are similar to CXO group’s results. In the graph below, I plotted daily returns on Easter week (Monday to Thursday) from 1982 to 2009. I prefer this way of showing things, where the range, minimum, maximum ...
1222 sym R (1288 sym/1 pcs) 4 img
Predicting April month return
Bespoke blogged about average monthly returns of the DJI and emphasized April. Before jumping on that information, let’s check some weak points. In that post, only average returns are presented. We need at least extreme points (min;max) and confidence ranges. Second problem – the normal market have upward trend and we need to get rid of that....
1411 sym R (509 sym/1 pcs) 4 img