Bad volatility ETP Data?

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Bad volatility ETP Data?

posted Oct 4, 2016

Seeking Help Using Data ETFs

I'm concerned the data for XIV, UVXY and TVIX is not correct. From what I see in the attached backtest, the values are frequently at levels never actually seen. Am I missing something or is the data adjusted and compensated for large values (in the case of UVXY and TVIX) in the past?

Since vol strategies seem popular around here, I can't imagine this hasn't been noticed before, so what I am not considering? The price seems to not correlate with the values I find elsewhere.

In the backtest, I've plotted the values for XIV, UVXY and TVIX and just moving the mouse over the history you can see the values don't make sense; assuming you are familiar with the products.

3 responses

Simon Thornington

Data is only back-adjusted up to that point in time in the simulation. It is not back-adjusted considering splits in the "future" of that time point. This means that from one day to the next, the results of data.history may change, but will always be identical to what you would have gotten had you been live-trading through that entire period.

I compared the UVXY series (price2) to a series of "as-traded" prices that I have from Norgate. The overall shape is correct (big jumps are the reverse splits), but the older prices are a bit off. The highst point, 2/5/14, shows as 102.61 above, whereas Norgate shows 102.83. I happen to also have a NxCore tape from that date, and it confirms that 102.83 was the official close. The last trade prior to 16:00:00 was at 103.20. If Quantopian's supplier for 1-min historical bars is giving them adjusted price data and the "as-traded" prices come from repeatedly dividing for each reverse split, it's possible that these discrepancies could be caused by rounding error.

After going back through the data more carefully, I can see the issue was with my understanding of how splits are handled.

I understand now and the data is OK.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.