"Near Bulletproof indicator"? Constructing JPMorgans Trading Strategy [in Python] 📈VIX/S&P500

Опубликовано: 15 Май 2022
на канале: Algovibes

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In this video we are constructing a Trading Strategy presented by JPMorgan Strategists in Python. The strategy buys the S&P500 and holds it for 6 months when the VIX (Cboe Volatility Index) rises by more than 50% of it's 1-month moving average.

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It should be noted that the last 2 mean returns are NOT YET finalized. The November signal has to be evaluated at May 26 and the January signal at July 25.

Bloomberg article:
https://www.bloomberg.com/news/articl...

How are stock returns calculated and cumultated:
• How To Calculate Stock Returns [Excel...

DISCLAIMER:
THIS VIDEO IS NOT AN INVESTMENT ADVICE AND IS FOR INFORMATIONAL AND EDUCATIONAL PURPOSES ONLY!

#Python #Trading #Strategy #VIX #S&P500