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Feedback on UVXY trading using VIX and VVIX
Deric Horn
edited Dec 18, 2017
Seeking Help Getting Started

I'm just coming up to speed on the Quantopian SDK. This is my first attempt a writing a quant, and I'd like to ask for feedback.

I tried to use ratios of the VIX and VVIX to outperform XIV while keeping the beta < 1.0. I toggle between shorting UVXY with 80% of capital, and going all cash.

Ideally I'd like to further reduce risk by adding options or VIX futures into the mix. (Any code on how to get that info is appreciated)

I'd appreciate feedback from experienced quant developers. What else needs to be done, ideas how to lower beta, etc.

1 response
Peter Bakker
Jan 7, 2018

I would suggest a few things: It's very hard to short UVXY as its expensive and that negative return is not incorporated (you could try to mimic it in the slippage model) . Further, my experience live trading these strategies is that you want to prevent trading in the first 15 minutes/30 minutes as the pricing seems to be all over the place. Finally to proof the model I would buy something at - vixRatio/vvixRatio > 1.15: - that mines the upswing

just some thoughts

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