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XIV/VXX Pair Trade

Sharing full 2011-01-01 to 2016-06-17 backtest.

Daily rebalance of XIV/VXX pair trade (60% long XIV, 40% short VXX) or (60% long VXX, short 40% XIV) based solely on PsychSignal's Twitter bull_minus_bear intensity sentiment on StockTwits of SPY.

Revert signal's long or short of the pair trade if drawdown exceeds 18% from peak and so on...