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Volatility III - XIV/VXX Strategy. (Another One...)
William Fay
posted Oct 4, 2017
Seeking Help Getting Started Fetcher Collaboration Request ETFs

I wanted to put this out here and see what you all thought. Beta is ULTRA low. A lot of years it comes in negative. Max DD is <30%. I feel like this is the least volatile and most consistent volatility strategy I have seen to date. I'm not certain how it would perform in a bear market as I'm too "dumb" to do that backtest. Let me know your thoughts.

4 responses
William Fay
Oct 4, 2017

When I get home this evening I'm going to post two updated versions of this as replies. I'm going to add the default slippage back to algo, and then I'll post the results of it with and without leverage.

William Fay
Oct 4, 2017

Here is with the default slippage model and no leverage.

William Fay
Oct 4, 2017

And here is with the default slippage and leverage applied. I would like to add margin modeling to this algo to see how that changes things. Interested to know if there are margin calls and what the cost of margin would do to the returns. Anyone know how to go about that?

james hastie
Nov 21, 2017

Hi there, thanks for posting. What was the process that led you to these numbers. 

threshold_bot = 0.9  
threshold_top = 0.95  
ex_top = 1.1  
ex_bot = .856  
vr_top = 19.95  
vr_bot = 12  
vix_top = 24  
vix_bot = 12.25
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