Uses 3 and 6 day simple moving average crossovers to long or short TVIX. Each position is hedged with the less leveraged UVXY which takes the opposite position of TVIX.
Returns are inflated due to the recent sell off, but were still at 700% before VIX spiked.
Any ideas for helping with the large draw downs?
Figured out how to properly hedge and apply it to a portfolio. I applied this strategy with some modifications to the "Quality Companies in an uptrend" base algorithm, replaced the bond module with the vix module with a lesser leverage and its looking like the best backtest on the thread.
I wonder what if you use just index SPY or QQQ, or 3x leverages of those instead of
Quality Companies in an uptrend
Just a quick check how it looks with QQQ and not with "Quality Companies in an uptrend". I ran it before 2/20/2020 recent crash
I mean this is definitive no? The safety asset is SPY and I used SPY as a bench mark to see for once and for all how good this is as a tail risk hedge. Id say decent.
Max drawdown 47% is very painful. I'd rather be with 25% than with 47%.
Would be interesting to see if this is possible to smooth that drawdown in Oct-Dec 2018. That seems very tough part for timing properly.
What data quantopian uses for TVIX
you use context.tvix= sid(40515)
but when I go to Yahoo, it is totally different numbers
https://finance.yahoo.com/quote/TVIX/
is quantopian data reliable ?
Yes it is reliable. The numbers on yahoo are crazy because every time ETF crashes (it bottomed out several times last bull market) they reverse split 20:1 or 10:1. Yahoo adjusts this price historically for splits, Im pretty sure the quantopian prices are unadjusted since the price of TVIX isn't millions of dollars in 2011 during the back test.
Mike,
Ok. I've looked more into this. Short selling TVIX is definitely most scaring part. I do not think I can short sell TVIX and sleep well :)
@Vladim @Alex The purpose of the hedging is to allow you to sleep whilst shorting/longing TVIX. The hedge ratio is a factor that determines how much to hedge the TVIX bet with the opposite bet with a lesser leveraged VIX ETF (UVXY). There are 3 factors that comprise the hedge factor. %change from 3 day MA, % change from 6 day MA, and the 3 day return of TVIX. The more volatile TVIX has been behaving, the higher the hedge ratio will be. Thus, you wont get burned when TVIX isnt behaving according to the crossover model.
@Mike,
Right, I just was thinking about it, you have protection, it works like options spread. I actually like it with pair with index more and more.
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