Buy the dip

The following dashboard is based on a research paper titled Buy the Dip by Tom Shohfi and Majeed Simaan - see link.

COVID-19 and the Fear Gauge

In March 2020, we witnessed all-time high levels of volatility. This was reflected by the VIX index, also known as the fear gauge. The spike in volatility came along the large sell-off in the stock market triggered by concerns about the severe economic impact of the COVID-19 epidemic. The plot below utilizes the global data on the confirmed COVID-19 cases, published by Johns Hopkins University (right hand y-axis). The left hand y-axis denotes the cumulative return on the VIX index and the S&P 500 since Jan 2020. We observe that the VIX and the increase rate in COVID-19 are correlated since the global outbreak epidemic (March 2020).

The code and description can be found here.

Text-Based Network

The plot below demonstrates how to construct a text-based network using public available data. The idea to construct a similarity matrix across different firms using the profile description provided by Yahoo Finance. This creates a pairwise similarity matrix in product/operation description. Using such metric, one can construct an adjacency matrix, which can be used to illustrate network relationships.

The code and description can be found here.

Tactical Asset Allocation using Machine Learning

The plot summarizes the performance of a trading strategy that deploys a simple machine learning algorithm. The investigation conducted demonstrates how to construct a machine learning tactical asset allocation strategy using publicly available data and an open source software. The proposed strategy rotates between two ETFs: high risk such as the SPY ETF and low risk such as 7-10 years IEF Treasury ETF. The strategy returns an improved performance over a naive strategy that allocates 60-40 between the SPY and IEF over time.

For further details, see this vignette.