Not as good as my Robin Hood VIX Asylum. However, this has very few moving parts and should be simple to emulate on my laptop with live broker data that is not 15 minutes old.
Includes trailing stop loss and UVXY after big SVXY gains anticipating whiplash. Still appears that it will be easy to implement using live data on my laptop.
Unfortunately the exposure of SVXY (and UVXY) changed in early March 2018. So this algo reflects parameters that do better with the new SVXY. I changed the settings to:
Buy Triggers: Profit 0.02 Loss -0.01
Trailing Stop Loss is still -0.03
These are the settings I am using in live trading on my laptop trying to copy the behavior of this algorithm.
Slight update I changed StopLoss = -0.03 to .StopLoss = -0.0275.
@Nicholas,
I built a custom python framework on my laptop that tries to behave the same as this algorithm. I am using Robinhood command line API at https://github.com/sanko/Robinhood/blob/master/Order.md#place-an-order . I also am using TCL / Expect for some of the command line automation. I also am trading ETHereum in the same algo by automatically interacting with the Robinhood website at https://robinhood.com/crypto/ETH . A couple of Python modules are helpful in doing all this. https://pyautogui.readthedocs.io/en/latest/keyboard.html and https://pypi.org/project/clipboard/0.0.4/ .
Thanks Charles can you explain more on your buy signals? I’m a little rusty on my python at the moment I see the .02 are you buying when the symbol goes up 2%?
Thanks for all your help
@Zenothestoic, did you replace your XIV with SVXY? What kind of rolling positions do you use? anything that can be codified here?
@zenotastic, I made an algo where you can test options in Quantopian.
What type of strangle do you enter each month? Based on the steepness of the curve or just around the spot?
Yeah, it seems that a strangle on VXX (or SVXY) is relatively "expensive"....and really only has a good "chance" of making money on the VIX spikes. I can see where it would have done good semi recently (with good timing on the spikes) but if VIX continues to stabilize I would think the # of profitable strangles will drop over time....Dont get me wrong: I'm very interested in the concept, but never quite found the data to help prove there was a solid timing/rollover/price points would consistently profit.
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