VMIN is a new volatility ETF that uses weekly futures than the monthly one. It's too short a time period to say anything about this algorithm, but it does handle multiple dips last year like a champ.
You may be seeing an anomaly because of the low trading volume of VMIN and the interplay with order rounding because of the low $1000 starting value in your backtest.
Here's the same algorithm but with $10,000 starting capital and the following line of code added (to minimize effects from orders not being filled).
set_slippage(slippage.FixedSlippage(spread=0.0))
Note the 39% volatility and 20% drawdown. Much higher than the backtest using $1000 starting capital. It does have a 155% return though.
Here's the same backtest but trading XIV instead of VMIN.
This has 30% volatility and 16% drawdown (vs 39% and 20% using VMIN). It does have lower returns though... 129%.
Not making any statement about which ETF to trade but simply highlighting that maybe the original backtest may not have been an accurate comparison. It would be interesting to analyze and understand how the unfilled orders in the first backtest ($1000 starting cash and default slippage) worked to cut the drawdown in half. Maybe incorporate that anomaly as part of the algorithm code?
Exception: Problem reaching https://www.quandl.com/api/v3/datasets/YAHOO/INDEX_VIX.csv
Anyone have a solution?
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