Don't hate on moving averages! They've been doing wonders on XIV for me ;)
This was my first XIV strategy ever when I first discovered the wonderful world of volatility trading back in 2015.
Apply 2 exponential moving averages (EMA) on XIV at the 30-minute interval. EMA3 = 3-period EMA, EMA9 = 9-period EMA. When EMA3 crosses over EMA9, buy XIV. When EMA3 crosses under EMA9, sell XIV.
If you're bold, hold VXX after selling XIV (toggle 1 on line 17).
Enjoy! Any improvement is welcome as always. For collaboration requests, please email: [email protected]
Shout out to Jacob Lower for porting this algo from PowerLanguage to Python!