New to Quantopian. Need comment on simple XIV/TLT Strategy

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New to Quantopian. Need comment on simple XIV/TLT Strategy

posted May 13, 2016

Seeking Help Getting Started Momentum

Hi,

I'm new to Quantopian. I put up a simple XIV/TLT strategy and would need some comment.

The strategy comes from reading this article:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2369239&download=yes

Instead of using the future term structure, I think I'll just use the SPY MA as an indicator. The rules are simple:

Rebalance weekly.  
If SPY above 200 DMA:  
    long 40% XIV, 60% TLT  
else:  
    long 100% TLT

The result is, to my surprise, very promising. DD is okish, at least to me.

I have some questions:

I think my code is pretty naive. Can you please let me know if there're any obvious mistakes in it?
I want to stress test this. I have a set of XIV simulated EOD data all the way back to 2000. I want to see how it behaves. I know how to use fetch_csv, but I do not know how I can put the simulated XIV price to the data.current[sid(XIV)] where the data does not exist after 12/1 2010. Can someone let me know how to do it?
I found the performance deviate a lot simply by choosing different day of the week (or hours of the day) for rebalancing. Is there any way to reduce this uncertainty? Doing more rebalance helps but I do not want to over do it.
I think simply doing 40%/60% should not be the right way of doing things. Can anyone let me know if there's a better way?

Thanks.

3 responses

Perhaps you may have a look at this existing thread:

https://www.quantopian.com/posts/for-robinhood-trading

Similar returns in comparison to a buy and hold XIV.

Tim,

Thank you very much.

Georges,

I guess the DD is the major concern.

Still wonder how I can use the simulated XIV data to backtest this thing...

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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.