Ernie Chan's Description Intraday Share Price Volatility and Leveraged ETF Rebalancing
My first stab at quantopian stuff, this needs to be run on minute data since it does intraday time comparisons. The articles above describe the strategy. Though the backtest results are debatable of late, we've been in a low volatility regime.
Im not sure how that graph was produced - even though I fixed the error - the results I was getting were very different.
Since this is a really old ago, I rewrote it for "modern quantopian". The only difference is that I trade SPXL instead of SPY since the whole point of the article was to use leveraged ETFs.
@Mohammad
If my understanding about Chan and Prof Shum's paper is correct, this algorithm might need a list of leveraged ETFs for re-balancing. I think the best way to implement this algorithm is to sort a list of ETFs and find the max gain/lost at 2:15pm. Then long/short the best/worse ETF in the list.
Here is my list
context.stocks = {sid(32270), sid(38533), sid(35021), sid(39215), sid(32272), sid(39214), sid(33270), sid(33263), sid(33265), sid(33268),sid(33261), sid(33264), sid(33262), sid(33266), sid(32268), sid(27846), sid(32382), sid(38532), sid(32267), sid(32384), sid(39212), sid(32265), sid(39211), sid(33278), sid(41576), sid(39369), sid(33279), sid(41574), sid(33276), sid(36386), sid(33272), sid(36385), sid(33277), sid(33275), sid(39377), sid(33274), sid(33281), sid(33271), sid(33280), sid(33273)}
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2161057
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