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About Vangelis

Vangelis has a B.A. in Economics from Cornell University and an M.F.A. in Film producing/financing from the University of Southern California. After the 2008 crisis he devoted his time to researching, trading and blogging about quantitative strategies. He has built, run and tested literally thousands of trading systems using Matlab, Python, C#, QuantShare and Amibroker. His "Sanz Prophet" quantitative blog has been part of the "Whole Street" quant blog aggregator since inception. Vangelis is series 65 certified.

QuantTrader portfolio trading software – Backtest and run trading strategies right on your desktop

Logical Invest's QuantTrader Software A QuantTrader subscription is our state-of-the-art solution for professional investors. You can run our QuantTrader software right on your PC. Logical Invest QuantTrader QuantTrader is C++ based proprietary software used to calculate and backtest the Logical Invest investment strategies. All Logical-Invest strategies are included. The user has the ability to tweak the parameters of the strategies to their needs. They can perform full backtests of a strategy for as far back as data is available. They can instantly generate updated trading signals (rebalancing instructions) on any day [...]

The Logical-Invest monthly newsletter for August 2016

Logical Invest Investment Outlook August 2016 Our top year-to-date strategies: The Leveraged Universal strategy with 40.6% return. The Maximum Yield strategy with 34.3% return.  The World Top 4 with 20.6% return. SPY, the S&P500 ETF, returned 7.6%, year-to-date. News: Our in-house software is available for licensing to professional clients. We are looking for registered investment advisers and wealth managers to partner with.   Market comment: Sentiment across mainstream media remains cautious despite the S&P500 index breaking to a new all time high, on July 8th. Many investors continue to perceive both the S&P and Treasuries as overpriced and due for a correction. [...]

Permanent Portfolio – Will We Ever Kill The Bug?

An analysis of Harry Browne´s Permanent Portfolio and further enhancements towards:  A Permanent Portfolio ETF Rotation Strategy employing Momentum, Mean Reversion, and Volatility Targeting. It’s not just cars. It’s investment strategies like the permanent portfolio, too. Vintage "all-weather" investment strategies are often simple, easy to execute and give amble 'out-of-sample' data. In other words one can see how they performed in life years after they have been proposed. And like the VW bug, they are "safe" choices. Tried and true. Can you imagine a 1965 VW running in the [...]

The Logical-Invest monthly newsletter for November 2015

Logical Invest Investment Outlook November 2015 September and October have traditionally been the most volatile months of the year. This year was no exception. Investors were shaken by sharp declines in the equity markets as volatility returned with a vengeance.  The simultaneous fall in equities, bonds, commodities and foreign currencies have left a lot of portfolios with flat or negative returns for the year. Many investors are now wondering on how to move forward. Students of historical data and seasonality know that these two months often present the best [...]

The NASDAQ 100 Meta-Strategy – Stock Selection and Compact Meta-Strategy

Intelligent Algorithms run two prallel sub-strategies. Meta- layer chooses between the two sub-strategies based on current market conditions. Variable allocation to Treasuries provides protection from large drawdowns. This strategy is a good fit for investors that want to invest intelligently in the U.S. equity market as well as for stock-pickers looking for a rules-based growth strategy. The strategy can also complement our existing strategies and can work well with our more conservative strategies like BRS (bond rotation), the BUG or with non-U.S. equity strategies like World Top 4.

Commitment of Traders: The bigger picture on investments

We often we concentrate on U.S. indexes and Treasuries and miss the bigger picture in our investments. Here are some interesting charts of the Commitment of Traders to remind us of the current state of the market and keep track of our investments. Keep in mind that unlike equities, forex and commodity prices do have a strong impact on the real economy and imbalances are hard to bear by the respective economies, thus affecting our investments. Commitment of Traders (COT) help to track investments The bottom pane shows Commitment [...]

Logical-Invest review @ Daily Fintech

With a lot of hype about FinTech these days, we´re happy to have received a positive review from one of the most important FinTech blogs. What is FinTech? Here the definition of FinTech by Investopedia: Fintech is a portmanteau of financial technology that describes an emerging financial services sector in the 21st century. Originally, the term applied to technology applied to the back-end of established consumer and trade financial institutions.             A review of Logical Invest by Efi Pylarinou @ Daily Fintech "Logical-Invest offers actionable portfolio [...]

The end of the turn of the month effect? Strategy and re-balancing during end-of-month

Historically and up to 2013, equities have exhibited a positive bias during the end of the month, called the turn of the month effect. Is the turn of the month effect still effective? Here is an turn of the month effect example of buying the SPY etf on the first down-day after the 23rd and selling on the first up-day of the next month . Trading is at the same day close. Turn of the month effectinvesting has been well documented in academic papers as well as blogs. The [...]