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XIV/VXX pair trade

seems too good to be true . the period between jan 2012 and August 2015

the sharpe seems too high

5 responses

Why not just short VXX?

Obviously, quantopian is calculating these sharpes wrong. it's nowhere near that high

If we just short the vix, the max draw down is quite high.

The problem s that you cannot trade the Vix index but only Vix futures.
That is why your backtest seems so beautiful.

I stumbled to this thread and thought it would be a good idea to post a longer term backtest. I can only guess what 2007 would look like if both etfs would have been available then...