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Using Fair Volatility (VIX) Estimate Model & Indicator

See -> http://thirdeyemarketanalyst.blogspot.jp/2013/08/fair-volatility-vix-estimate-model_19.html

This model calculates more realistic volatility than historical volatility(close to close).

3 responses

I tried a strategy with XIV as a benchmark.

I attached a case using simple historical volatility as reference.
You can see that the Fair Volatility model is clearly superior.

Slightly modified the source code for my understanding and run with only VXX, instead of 6 instruments employed in the original code.