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200% Annual Returns 19% DD needs to be ported.

Hi guys thought Id post this here see if anyone can port it from Quantopian, Was able to get the strategy to about 200% annual returns and 20% DD, or 100% annual and 10% DD. Looks like a very good strategy, and in quantopians backtests survived all the crazy vix stuff. 

https://www.quantopian.com/algorithms/5a9f43d39b6b6d23827afe7c
Update Backtest








page not found can you post the code
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Try this sorry:

https://www.quantopian.com/posts/nice-n-steady-low-vol-high-dividend-with-a-vol-kicker
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Yeah code snippet makes the thread to long, the above should work now though. 

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About 8000% Annual and 25% DD with XIV lol, would of actually survived the day of the blow up as it bought in the morning and sold around 1PM. 

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Also curious to back test it here, in Quantopian Stop Orders seem to not fill 100% which is weird given it's supposed to turn into a Market Order once the Stop Price is hit. 

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Stops were fine they were just not being filled because price never hit them. 

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This does not reflect the long term performance of U.S. Equities as it only backtested after the crisis has recovered and prices went up strongly. It needs to be backtested including 2007-2008.

When trying to backtest it on Quantopian, I got this error:

Exception: inputs are all NaN
There was a runtime error on line 565.

which refers to this line in the script

rsi_signal, rsi7_actual, rsi2_actual = checkRSI(context, data)
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Hi Huy Hoang ,

Supposedly according to the author he backtested it than and it performed fine, lastly majority of the gains come from VIX ETFs, only thing I can see is DD being higher in 08 potentially. 

What date are you trying to backtest? It's probably because you are going to far back where there is no data, because i can backtest fine.

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Update Backtest





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