Hi,
I have an algorithm backtested in Excel that returns significantly higher returns than buy and hold with much lower drawdowns. I am a novice in Python programming, and believe that it will take an experienced Quantopian developer no more than a few hours to create it.
Any takers that want to collaborate to implement this algorithm?
Thanks much in advance.
Hi Macro Investor,
I am interested. Shoot me an email at [email protected]. I will be available to chat as early as this Tuesday.
Thanks
Thanks much Frank. The algorithm is simple and is explained here.
Step 1. Define R = average(F1/V,F2/F1) - 1 where
V = VIX
F1 = first month VIX future
F2 = second month VIX future
If R < 6.5% hold XIV else hold UVXY.
In my backtest from the time UVXY is available for trading this yields 200% annual returns with 39% max drawdown, compared to 41% annual return for XIV buy and hold with 68% max drawdown which is a significant improvement.
Would much appreciate if you can create this in Quantopian for me.
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