Will SVXY & UVXY Splits Be Adjusted In Live Trading Algorithms?

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Will SVXY & UVXY Splits Be Adjusted In Live Trading Algorithms?

posted Sep 18, 2018

I was wondering if these splits will be accounted for at the end of the day because right now most of my algorithms just went up 300% because of the splits. Obviously that would be great if they were up 300%. However I am live trading these algorithms so I can get an accurate sense of how they will perform in live market conditions. I hope that these splits are adjusted for because I do not want to have to go through and restart all of them at the new price as I will lose all of the previous data that they have collected (including returns). I appreciate any feedback.

4 responses

+1

I am surprised at this. VXX has regular reverse splits. But the short VIX funds?

Yes, quite unusual. I think it is because volatility has been inching up ever since the February XIV explosion. VXX has always went down in the past because volatility kept going down. However now that volatility is back, these short ETFs need to bring their prices back up.

But it doesn’t explain the increase in UVXY though, maybe they just wanted to increase them both at the same time.

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In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.