Overview

This project, developed during my Columbia Business School course on systematic investment strategies, explores the integration of three advanced trading methodologies: RSI-based, F1-VIX-based, and regime-based strategies. The combined strategy optimizes performance by leveraging the unique strengths of each component while maintaining robust risk management across diverse market conditions.

https://docs.google.com/presentation/d/1uSdDKDbTYyLyRzxXDv16fHUaBRsdzD3Q/edit?usp=sharing&ouid=113612208886708933957&rtpof=true&sd=true

Key Features

  1. RSI-Based Strategy: Utilizes momentum signals derived from the Relative Strength Index (RSI) to anticipate and capitalize on trends in the volatility term structure. Positions are adjusted dynamically based on overbought, oversold, or neutral market conditions.
  2. F1-VIX-Based Strategy: Focuses on the relationship between the first VIX future (F1) and the spot VIX index to predict shifts in volatility term structures. The strategy identifies steepening or flattening trends for informed trading decisions.
  3. Regime-Based Strategy: Categorizes market environments (e.g., contango, backwardation, A shape, V shape) to tailor trading positions. This methodology adapts dynamically to structural market patterns, providing stability during volatile periods.
  4. Combined Approach: Allocates 50% to F1-VIX, 16.67% to RSI, and 33.33% to regime-based strategies, achieving an annual return of 20.28% with low volatility of 9.7% during the training period (2007–2017). This integrated method enhances diversification and mitigates downside risks.

https://drive.google.com/file/d/1NUqIDbsUSUs-fZRbV6PP7ewyc3VCHXFn/view?usp=sharing

Performance Highlights

Insights and Contributions