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New volatility strategy (XIV/SH)
ryan clous
posted Jan 23, 2017

Hey, I'm throwing this out there because I haven't had the time to really work on it, but I think the community should see this. Please also If you guys have any suggestions or alterations please let me know. Thanks again everyone and thank you quantopian for such a great tool. Please note this is only trading off of the the middle line z2 right now, and I will get back to this as soon as I possibly can.

"Went in a different direction with this after talking to a programmer friend of mine and then trying to implement my idea. The ordering logic hasn't been put together yet, but the basis of this is it record the min max minutely z-scores for the last 20 days and trades based off of when it goes above/below 20% and switches positions(long<>short) along ((dma20-dma200)/std200)+-.5 based off trigger logic that rests when the upper/lower line is breached . It looks VERY promising."

1 response
Eric K
Jan 23, 2017

Interesting. But trend following is tricky! Drop down is hard to avoid . So my suggestion is to add different guarding logic(other than z-score) to avoid the huge drop downs.

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