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XIV Assault (awesome moving average strategy for XIV/VXX)

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!

3 responses

I'm happy to announce that this algo, along with all my other volatility algos, has survived Black Monday 2018!

Here's a screenshot of all my volatility algos taken after the market closed on February 5, 2018. They are set up on MultiCharts. Note the +50% VXX trade on the top right chart.

I guess the algo was kind of getting killed since July?