Archives for May, 2012

Feedback: What is the Effect of Hedging Options on the Underlying?

Plot from Theta Suite Result Explorer

More and more investors insist on guarantees on the investments. Theses investments are often created using options or dynamic strategies like CPPI. Recently, these strategies were made available in secularized form: Leveraged Exchange Traded Funds   (LETF) and Exchange Traded Notes (ETN). Also, life insurance instruments often include guarantees on funds like Variable Annuities. In this […]

Originally posted on NewsFeed:
A joint study by academics in Germany and the U.S. sheds new — and disturbing — light on the power of Google. Published today in the latest issue of Philosophical Transactions of the Royal Society A, a bimonthly journal devoted to mathematical, physical and engineering sciences, the study, “Complex dynamics of…

The Easiest Back-Testing of Trading Strategies: MS Excel Pivot Table!

MS Excel Pivot Table in Backtesting of a Trading Strategy

Before using specialized tools for back-testing I propose that one tries the MS Excel Pivot Table first. The pivot table tool is great for inspection, filtering and analyzing large data sets. In this article, I will present how to create a simple timing-based strategy and how to compute its historical performance.

Sell in May and Go Away But Remember to Come Back in September. Really?

Sell in May and go away is an old wisdom which is interesting to analyze. And the continuation “Remember to come back in September” completes this wisdom to a real trading strategy. This strategy is quite old. Many sources say that the original saying comes from traders in the City of London and was “Sell in May […]

Comprehensive List of Free Historical Market Data Sources

Often people ask me where they can find historical data of stock prices, commodities, interest-rates, bonds, fx rates … . In previous posts, we already looked at live data feeds for Matlab, and Excel. Then, we looked at how to load historical data.  Now, we want to focus on where to get the data itself.