Understanding why we use backtested data in our webApp Our new ‘home’ is a place to evaluate current strategies and design new portfolios going forward. The data we use is backtested data based on the latest strategy parameters. The reason we do that is to be able to see how each strategy would have performed at current parameters so that we can then combine them into a portfolio. In essence, our new tools are forward looking tools … Read more
Why trade inverse volatility? Since 2011, trading inverse volatility has been the one of the most rewarding investment strategy in the markets with annual returns well above 30%, depending on the instruments used. Can I trade this? If you can trade ETFs in your account, you can trade an inverse volatility strategy. VIX is the CBOE Volatility Index, a popular measure of the implied volatility of S&P 500 index options; Often referred to as the fear index or the … Read more
This is the monthly monthly Logical-Invest newsletter for September 2015. Strategy performance overview: symbol close year to date % ▴ 3 month % 1 month % 1 day % 60 day volatility 60 day correlation 3 month Sharpe 12 month Sharpe 36 month Sharpe WORLD-TOP4 273.40 2.59 -7.21 -5.04 -0.55 12.18 0.71 -2.86 1.68 2.74 AGG 108.92 0.18 0.11 -0.34 -0.07 3.80 -0.39 0.17 0.57 0.69 GSRLV 473.69 -0.77 -4.83 -4.80 -1.03 11.23 0.86 -2.12 0.60 1.88 BRS … Read more