23 Dec: Mean Reversion Volatility Strategy

Ever wondered if you can design a profitable trading strategy by trading volatility ETFs ? Well, yes you can. Those ETFs are highly ineffective vehicles on a long term investment horizon. However short term strategies have shown to be a rewarding way to trade these ETFs. Before we move onto strategy design we have to choose two volatility ETFs for backtesting. We will backtest our strategies with VXX and XIV ETFs since they are the most widely traded ones and have enough trading volume to keep our slippage low and guarantee fast order execution.


18 Oct: Video Wall Street Code

A thrilling documentary about a genius algorithm builder who dared to stand up against Wall Street. Haim Bodek aka The Algo Arms Dealer. Haim Bodek is a former Goldman and UBS trader who has come firmly out against how stock exchanges work with high frequency traders. Mr. Bodek had worked with rapid-fire trading firms to give them an unfair edge over everyday investors.