Cesar Alvarez

Author Archives: Cesar Alvarez

November 16, 2016

Is synthetic XIV/VXX data safe to use?

I have done several posts about trading XIV & VXX. In these posts (here, here and here) I refer to using synthetic data before these ETFs started trading. I supported the use of the data due to the very high correlation of daily returns during the overlap period. With a correlation of .97, I thought great the data should be good to use for backtesting.

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November 6, 2016

Nine days down. How bad is that?

As anyone who pays attention to the market, the S&P500 is down nine days in a row. I had several people write me about this. I was talking to a trading friend over the weekend about this. Nine days down seems bad. Let us put this in a broader context. How far have we come down in those nine days? Only 3.07%. Now that got me thinking is 3.07% in nine days that bad?

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October 26, 2016

VXX & XIV Strategies

My recent research has been on the volatility Exchange Traded Products. My focus has been on long trades using VXX and XIV. Although VXX has a very strong downtrend, I am not a fan of developing short strategies on it due to the huge upside risk.  I wrote about XIV here and expressed some of the dangers of trading these ETFs.

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October 10, 2016

Presenting in Dallas and Austin, Texas

I will be in Texas next week giving presentations. Click the links below for more details. I hope to see some readers there.

October 17, 2016 Austin Market Technicians Association

For more information see https://www.mta.org/event-registration/austin-chapter-meeting-featuring-cesar-alvarez/

 

October 18, 2016 Dallas Association for Technical Analysis

For more information see http://www.afta-dfw.org/schedule.htm meeting #2.

 

Good quant trading,

September 28, 2016

Taming High Return and High Risk

I was at a recent talk of the Northwest Traders and Technical Analysts group where they presented a VXX strategy with some huge return and drawdown numbers. Trading this would be very difficult. This got me thinking. If I had a strategy like this, how could I tame the numbers? Through the years, I have seen various ideas about how to do this but never looked into it. Searching the web one can find various volatility ETF strategies with very high returns and high drawdowns. I found one that looked interesting and had lots of potential for optimization and improvement. Then, I optimized the hell out of it searching for a variation with over 100% CAGR. I found one but I would never trade it because I over fit the data. I needed to something to work with.

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September 12, 2016

Ask Me Anything Video for 9/12/2016

In this short five minute video I will answer the following questions:

  • I am interested in knowing a little bit more about your own trading. What types of strategies are you trading?
  • Why do you not manage outside money?
  • What are the trading books you recommend?

Do you have a trading or AmiBroker or other question you want me to answer? If so, either add it to the comments below or fill in the form.

Send me your question.

Only Question filled required.

Your email is protected. I hate spam as much as you do. Well, I do like the kind you eat.

Good Quant Trading,

September 7, 2016

Strategy Up/Down Capture

A reader sent this interesting link about Up/Down Capture. The great part about this article it is something I have intuitively known about my trading strategies but never tried to quantify. This was the bump I needed to investigate this concept. When the SPY moves up on average how much does my strategy profit? When the SPY moves down how much does my strategy lose? I had fun creating an interactive spreadsheet where you can change the numbers and see the results for your own strategy. This is one of the best spreadsheets I have done for the site.

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