Holding this volatility pair through October

Positions //

At the end of September, I resumed my short Barclay’s Bank iPath S&P 500 VIX Short-Term Futures (VXX) - long Barclay’s Bank iPath S&P 500 VIX Mid-Term Futures (VXZ) strategy.  Mid-term VIX futures (VXZ) were less elevated and provided a better hedge for VXX.  I will hold

Quantitative investing

Algorithmic and mathematical approaches to measure and predict market behaviour for the purpose of building a profitable investing system.