035 – Trading the VIX & using Fundamental data in trading models – Andrew Gibbs

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Andrew Gibbs has been involved in the financial markets since 2001 and is the founder and CEO of Halifax New Zealand.

Andrew has extensive experience in all forms of equity and derivative contracts, managing millions of dollars and trading a number of markets around the world.

In this episode we discuss volatility and methods to trading the VIX plus the benefits and methods of including fundamental data in technical quant models.

Topics discussed

  • Instruments you can use to trade volatility and the benefits or disadvantages of each
  • What makes the VIX attractive to trade and why it often trends over time
  • The types of trading styles that suit the VIX
  • The dangers of trading volatility products
  • Seasonality in the VIX
  • How to get started building volatility trading models
  • Fundamental data and the types of fundamental datasets that work well in quantitative models
  • Why some fundamentals work better than others
  • The frequency of fundamental data release and how that dictates trading model style
  • How to account for revisions to data
  • The impact of including fundamental data can have on trading results
  • Technical vs Fundamental data and which tends to be more robust
  • Issues with fundamental data and company reporting accuracy
  • How to reduce the chances of investing in a company that is likely to go bust
  • Combining fundamentals and technical data and how to test
  • How to get started building fundamental quant models

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Resources mentioned in this episode

  • Andrew can be followed on his website Halifax Online or by email
  • The software he uses for testing fundamental data models is Portfolio123
  • Recommended books:
LongTermSecretsShortTermTradingUnholyGrailsRyanJones

Video: Systems Trading with Fundamental & Technical Analysis

https://www.youtube.com/watch?v=JswLWrbP55g

Quotes

Top tips from this episode

  • Including fundamental data in technical quant models – A lot of research has been completed identifying edges using fundamental data and by combining fundamental and technical analysis Andrew has created systems with a substantial edge over purely technical analysis models. If you’d like to know more I’ve added a video on the show notes page (see above) where Andrew goes through it in detail, showing the application of fundamental data and even some of the return of these models. I highly recommend you take a look.

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