Archivo mensual: abril 2017

SP500 QUANTITATIVE HEDGE

AIMED AT PROFESIONAL PORTFOLIO MANAGERS

The S&P500 QUANTITATIVE HEDGE is a new modality of automatic trading systems designed to perform a risk-hedging function, when combined with the purchase of EEUU shares. For that purpose S&P500 QUANTITATIVE HEDGE trading systems used only short positions on the MINI S&P500 futures contract . Trading with index futures contract  reduces the cost of hedging, compare to taking short positions on stocks, or other traditional long – short trading strategies.

SP500 QUANTITATIVE COVERAGE PROYECT                 Download PDF

https://ampfutures.isystems.com/System/PerformanceSheet?Id=17629

No es el objeto del Blog ser una recomendación o asesoramiento de compra o venta de instrumentos financieros, quedando la responsabilidad en manos del propio inversor. El autor de este Blog, no será en ningún caso responsable de los daños o perjuicios económicos que puedan derivarse del uso de la información publicada en este Blog. La operativa en los mercados financieros pueden generar importantes pérdidas o beneficios patrimoniales. Requiere conocimiento, y buen juicio.

 

 

 

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Archivado bajo SISTEMAS AUTOMATICOS DE TRADING

WHY PURE QUANTS DO NOT BELIEVE IN TECHNICAL ANALYSIS ?

“Quantitative traders look for the underlying distribution that generates prices, technical traders seek to analyze only one of the possible realizations of the stochastic process, that is, the graphic that is seen It’s just one of the infinities that could have been”.

Here I leave you a time series random generator (excel file), in which you can check for yourself how we can generate all figures of technical analysis randomly.

Resistances, trends, head and shoulder …

 

RANDOM TIME SERIES GENERATOR   dowload excel file

( REPEATLY PRESS F9 FROM THE COMPUTER KEYBOARD TO VIEW ALL FIGURES )

 

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Archivado bajo EL ANALISIS CUANTITATIVO

THE GOLDEN TRADING RULE

The simplest Golden Trading Rule that obtains a sharpe ratio > 1 in the last ten years:

-In contexts of medium / high market volatility periods (VIX level > 20%)

    Weight the portfolio          75% CTA trend index    &   25% SP500

-In contexts of low market volatility periods  (VIX level <20%)

   Weight the portfolio              50% SP500   &    50% CTA trend index

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Archivado bajo Commodity Trading Advisor CTA, SISTEMAS AUTOMATICOS DE TRADING

GENERATING ALPHA detecting the best companies, using quantitative methods

The case of Inditex.

THE QUANTUM TIME MACHINE     (English version)       download pdf

IGBM long term strategy  (English version)       download pdf

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Archivado bajo Commodity Trading Advisor CTA