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MonkeyMarkets's avatar

Ah, I was just now messing around with a volatility of volatility strategy in QM, basically holding SVXY when the volatility of SVXY is low or declining. Also, could you explain Trend Clarity sometime? https://quantmage.app/grimoire/cc6c07b2545dfe94500ae6025f1d9beb

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hydromod's avatar

Boy does this resonate with me. I did exactly the same kind of thing, fitting predictive relationships to a back sample. Various VIX durations. Very nice edge in sample.

But it turned that predictability was zero for even one day in the future, much less a week.

-Hydromod

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