A simple VIX Strategy

A simple, yet untradable (unstable), VIX Strategy using two ETFs.

It has a simple binary (all or nothing) allocation:

1. long vol (buy VXX), 

2. short vol (buy XIV),

3. none.

Signal is just the standard RSI but used as a momentum (rather than a contrarian) indicator. Levels are also those standard to indicate overbought or oversold securities (i.e. 85, 70, 30, 15).

Strategy is, however, a pie in the sky... a simple daily VIX/VXV ratio signal still more stable/reliable.

Update Backtest

Another idea for VIX strategy, low DD, high performance..

Hello, I'm tryng to backtest alex meuci strategy until february 2018, because of termination of XIV and I can't.  Runtime Error: A data subscription for type 'PythonQuandl' was not found. Also I want to test this strategy but only with VXX. short VXX under 0.95 and long VXX above 1.05. How I should write these code. 



Just tried to re-run the first algo I posted above (VIX by RSI) - by limiting the backtesting to end of Jan 2018 (i.e. self.SetEndDate(2018,1,20)) - and it did work as before. 

Gabriel, why do not you try and use long positions in ZIV (which shorts mid-curve VIX futures, rather than shorting VXX) for a safer and, potentially, easier way to hedge vol spikes with either front VIX futures (now available) or VXX calls? 

If I have time will try to post such an example later.


Thanks for the advice, but I want to backtest the system with short VXX because I already have wich ratios VIX/VXX are optimal. How could I change the code to allow short VXX and long VXX. I'm still learning the documentation. Thanks anyway for the advice. Later I will try with ZIV.


Hello, again. I've proved what you said with the first strategy with RSI, but with the second wich I'm more interested in, it doesn't work.
It show this message:Runtime Error: A data subscription for type 'PythonData' was not found.

Update Backtest


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