A quick example on using next day open-to-open returns for Tactical Asset Allocation.
QuantStrat TradeR
by Ilya Kipnis
2y ago
First off, for the hiring managers out there, after about a one-year contracting role at Bank of America doing some analytical reporting coding for them in Python, I am on the job market. Feel free to find my LinkedIn here. This post will cover how to make tactical asset allocation strategies a bit more realistic with regards to execution. That is, by using next-day open-to-open rather than observe-the-close-get-the-close, it’s possible to see how much this change affects a strategy, and potentially, something that I think a site like AllocateSmartly could implement to actively display in thei ..read more
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A Review of Modern Asset Allocation For Wealth Management, by David M. Berns, PhD
QuantStrat TradeR
by Ilya Kipnis
3y ago
This post will be a review of the book Modern Asset Allocation for Wealth Management, by Dr. David Berns, PhD. The long story short is that I think the book is a must-read for a new and different perspective on asset management, though there are some things I’d like to see that could be very easily covered with a second edition. In my opinion, rather than provide a single how-to portfolio like some other books, such as Meb Faber’s Ivy Portfolio, or Adaptive Asset Allocation (both of which are fairly good reads), MAAWM submits a completely new way of thinking about portfolio construction–namely ..read more
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Two Different Methods to Apply Some Corey Hoffstein Analysis to your TAA
QuantStrat TradeR
by Ilya Kipnis
3y ago
So, first off: I just finished a Thinkful data science in python bootcamp program that was supposed to take six months, in about four months. All of my capstone projects I applied to volatility trading; long story short, the more advanced data science techniques underperformed more quant-specific techniques. Is there a place for data science in Python in the world? Of course. Some firms swear by it. However, R currently has many more libraries developed specifically for quantitative finance, such as PerformanceAnalytics, quantstrat, PortfolioAnalytics, and so on. Even for more basic portfolio ..read more
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A Python Investigation of a New Proposed Short Vol ETF–SVIX
QuantStrat TradeR
by Ilya Kipnis
3y ago
This post will be about analyzing SVIX–a proposed new short vol ETF that aims to offer the same short vol exposure as XIV used to–without the downside of, well, blowing up in 20 minutes due to positive feedback loops. As I’m currently enrolled in a Python bootcamp, this was one of my capstone projects on A/B testing, so, all code will be in Python (again). So, first off, with those not familiar, there was an article about this proposed ETF published about a month ago. You can read it here. The long story short is that this ETF is created by one Stuart Barton, who also manages InvestInVol. From ..read more
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A Tale of an Edgy Panda and some Python Reviews
QuantStrat TradeR
by Ilya Kipnis
3y ago
This post will be a quickie detailing a rather annoying…finding about the pandas package in Python. For those not in the know, I’ve been taking some Python courses, trying to port my R finance skills into Python, because Python is more popular as far as employers go. (If you know of an opportunity, here’s my resume.) So, I’m trying to get my Python skills going, hopefully sooner rather than later. However, for those that think Python is all that and a bag of chips, I hope to be able to disabuse people of that. First and foremost, as far as actual accessible coursework goes on using Python ..read more
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How You Measure Months Matters — A Lot. A Look At Two Implementations of KDA
QuantStrat TradeR
by Ilya Kipnis
3y ago
This post will detail a rather important finding I found while implementing a generalized framework for momentum asset allocation backtests. Namely, that when computing momentum (and other financial measures for use in asset allocation, such as volatility and correlations), measuring formal months, from start to end, has a large effect on strategy performance. So, first off, I am in the job market, and am actively looking for a full-time role (preferably in New York City, or remotely), or a long-term contract. Here is my resume, and here is my LinkedIn profile. Furthermore, I’ve been iterating ..read more
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KDA–Robustness Results
QuantStrat TradeR
by Ilya Kipnis
3y ago
This post will display some robustness results for KDA asset allocation. Ultimately, the two canary instruments fare much better using the original filter weights in Defensive Asset Allocation than in other variants of the weights for the filter. While this isn’t as worrying (the filter most likely was created that way and paired with those instruments by design), what *is* somewhat more irritating is that the strategy is dependent upon the end-of-month phenomenon, meaning this strategy cannot be simply tranched throughout an entire trading month. So first off, let’s review the code from last ..read more
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Right Now It’s KDA…Asset Allocation.
QuantStrat TradeR
by Ilya Kipnis
3y ago
This post will introduce KDA Asset Allocation. KDA — I.E. Kipnis Defensive Adaptive Asset Allocation is a combination of Wouter Keller’s and TrendXplorer’s Defensive Asset Allocation, along with ReSolve Asset Management’s Adaptive Asset Allocation. This is an asset allocation strategy with a profile unlike most tactical asset allocation strategies I’ve seen before (namely, it barely loses any money in 2015, which was generally a brutal year for tactical asset allocation strategies). So, the idea for this strategy came from reading an excellent post from TrendXplorer on the idea of a canary uni ..read more
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GARCH and a rudimentary application to Vol Trading
QuantStrat TradeR
by Ilya Kipnis
3y ago
This post will review Kris Boudt’s datacamp course, along with introducing some concepts from it, discuss GARCH, present an application of it to volatility trading strategies, and a somewhat more general review of datacamp. So, recently, Kris Boudt, one of the highest-ranking individuals pn the open-source R/Finance totem pole (contrary to popular belief, I am not the be-all end-all of coding R in finance…probably just one of the more visible individuals due to not needing to run a trading desk), taught a course on Datacamp on GARCH models. Naturally, an opportunity to learn from one of the mo ..read more
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Principal Component Momentum?
QuantStrat TradeR
by Ilya Kipnis
3y ago
This post will investigate using Principal Components as part of a momentum strategy. Recently, I ran across a post from David Varadi that I thought I’d further investigate and translate into code I can explicitly display (as David Varadi doesn’t). Of course, as David Varadi is a quantitative research director with whom I’ve done good work with in the past, I find that trying to investigate his ideas is worth the time spent. So, here’s the basic idea: in an allegedly balanced universe, containing both aggressive (e.g. equity asset class ETFs) assets and defensive assets (e.g. fixed income asse ..read more
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