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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.

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

https://collective2.com/details/106901765
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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. 

Thanks

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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.

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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.

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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.
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