I used the Quantopian IDE and Research environment to replicate the study presented by Ernest Chan at QuantCon this year.
Attached is a notebook which gives a brief summary of his talk, two derived strategies, their rationale, and their performances over the past 7 years. Click clone on this notebook and press shift+enter on each cell to reproduce the study.
The GARCH model and algorithm logic I used to replicate the study are rudimentary. Clone the algorithm below and see what happens with a more sophisticated model that trades a wider range of securities using different signals. For an overview of GARCH models, check out the Quantopian Lecture on the topic.