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4

You could compare it, over the historical period of interest, to 1000 randomly generated VIX strategies which are: Flat on 60 Percent of days (randomly chosen days) Long VIX futures on 20% of days Short VIX futures on 20% of days (You would adjust these percentages to the characteristics of your strategy. I guessed these values from your comment). The ...


4

If you are developing this strategy to use personally, I would benchmark it against your next best option. If the strategy has been developed to attempt to manage other peoples money I would benchmark it against the HFRX RV: Volatility Index. This is an index of alternatives that a Vol investor would consider versus investing in your strategy. From HFRX ...


6

If your strategy truly has no directional bias, then the benchmark should be cash (ie whatever you would earn using the capital in your trading account and taking no risk).


4

As clarified by you in the comments, I haven't come across duplicate tickers at least not in Bloomberg or the Indian exchange websites. Example of GOOG and GOOGL mentioned in the comment, represent Alphabet Inc Class C and Alphabet Inc Class A respectively. Class A shareholders enjoy voting rights whereas Class C shareholders don't (see here). Hence there ...


3

It depends what you are doing: asset allocation, classifier/regression modelling, etc. In any case can shift the weights of the allocation, change the regressors, etc. Nevertheless, it belongs to the family of backtesting sampling bias.


1

Yes. We should indeed say that the Garch part of the model does not help to predict the Direction of the movement (this is given by the expected drift of the Arma, which gives the conditional mean of the return process) but helps to predict the size of the deviation of the next period return from the expected Arma drift. It is a measure of the squared size ...


3

If you already have a strategy generating potential long and short positions, you may want to check Chapter 10 of Marcos López de Prado's book Advances in Financial Machine Learning. It describes a number of strategies that include a budgeting approach where you only rely on the number of concurrent long and short positions to optimize position sizing. If ...


1

where can I start my research from? Searching for asset allocation papers and portfolio construction papers will yield far better results. Here are a few papers you may find interesting to get you started: Optimal Trade Sizing in a Game with Favourable Odds: The Stock Market A Quantitative Approach to Tactical Asset Allocation


2

You have to consider seriously to use portfolio construction, at least for risk management purposes. To start with, you should "backtest" the risk you are taking with your current "proportional strategy". What would have been: the volatility of your portfolio (ie your aggregated positions) in the past? your maximum loss (max draw down) in the past with this ...


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