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On the Predictability of Stock Prices: a Case for High
and Low Prices
Massimiliano Caporin, Angelo Ranaldo and Paolo Santucci de MagistrisI did something similar after reading this article.
https://nstsupport.wardsystemsgroup.com/support/using-vix-to-forecast-the-sp-500-tasc-december-2012/
I am currently using the bowfort datafeed, and it lets you specify other sources to use, so I grabbed an account at Quandl (free) but they do offer premium, they have the VIX data which I then suck in. Just put the API into the config for Bowfort then it could pull the data down.
https://www.quandl.com/search?filters=%5B%22Free%22%5D&query=VIX
Hi StuC , thank you for that , i just signed up for Quandl
Got the Vix continuous futures.
Because I was using the VIX index as the insert other data .
As I am trying to do a portfolio of 30-50 stocks and using the High low probability
to get slow trade signals eg 1 or 2 trades a month per stock , which adds enough trades for a month.
I saw that chart from WSG from Marge , and that was why, ages ago , i have been using VIX as an input. The index is nice but you can not trade it per se , and the futures and options have so much time decay it distorts the answers. So diabolical to use as a hedge with the DIA etf.
So I am trying to use the ANI to predict the percent change in the High and low of the vix to give the trading signals , using as 2 inputs and 5 other inputs in the prediction .
Thanks again for your input , appreciated
Michael.
Something to think about and why using the vix in the underlying inputs is a good idea. I THINK SO .
Volatility-Managed Portfolios
<p class=”note note-list”>76 Pages Posted: 12 Sep 2015 Last revised: 8 Mar 2017</p>
Alan Moreira
University of Rochester – Simon Business School
Tyler Muir
University of California, Los Angeles (UCLA) – Anderson School of Management; National Bureau of Economic Research (NBER)
Date Written: October 25, 2016
Abstract
Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, and investment factors in equities, as well as the currency carry trade. Volatility timing increases Sharpe ratios because changes in factors’ volatilities are not fully offset by proportional changes in expected returns. Our strategy is contrary to conventional wisdom because it takes relatively less risk in recessions and crises yet still earns high average returns. This rules out typical risk-based explanations and is a challenge to structural models of time-varying expected returns.
<center></center>Suggested Citation:
Moreira, Alan and Muir, Tyler, Volatility-Managed Portfolios (October 25, 2016). Journal of Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2659431 or http://dx.doi.org/10.2139/ssrn.2659431
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