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Crowdsourced YAVolS: Yet Another Volatility Strategy - Crowdsourced Algorithm

Hi guys,

I'm trading several Vola algo's and I see a lot of other vola algo's but most of them have enormous drawdowns. I took 3 algo's (Thanks Charles Witt, Mirco Lamperti and myself) and combined them. I took those algo's as they seem to buy and sell at different moments but its easy to add others or change the weighting of an algo.

The algo has some preparation for Futures which worked in alpha but doesn't work now as Q excluded combining pipeline in Future calendars or Futures in Equity calendars... don't understand why as it worked fine in alpha stage.

Anyway: have fun with this ... looking forward to some improvements

cheers, Peter

Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5910276285bfd261db1f403e
There was a runtime error.
3 responses

I'm famous!

Guys, can you live-trade the algos with VX1 and VX2? I have a few which runs ok in backtesting mode, but it is impossible for me to run in paper/live trade, because VX1 and VX2 seems to not being up-to-date. I wonder if I am understanding something wrong.

The best example is VX1. Today is the early morning of MAY/23/2017, and if you download VX1 from Quandl, the last quote is from MAY/17/2017. I mean, today started the Tuesday and the last quote is from previous Wednesday.
Last VX2 is from MAY/19/2017 (last friday).
Nevertheless, the VIX is ok. It is from MAY/22/2017 (it is the close of 6 hours ago).

So, the question is: can you live-trade with VX1 and VX2, if the source is not up-to-date?

Thank you guys.

actually the result just stinks...somehow when combining too many factors...