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Volatility III - XIV/VXX Strategy. (Another One...)

I wanted to put this out here and see what you all thought. Beta is ULTRA low. A lot of years it comes in negative. Max DD is <30%. I feel like this is the least volatile and most consistent volatility strategy I have seen to date. I'm not certain how it would perform in a bear market as I'm too "dumb" to do that backtest. Let me know your thoughts.

Clone Algorithm
90
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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: 59d50eb91a83405064615dfb
There was a runtime error.
4 responses

When I get home this evening I'm going to post two updated versions of this as replies. I'm going to add the default slippage back to algo, and then I'll post the results of it with and without leverage.

Here is with the default slippage model and no leverage.

Clone Algorithm
90
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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: 59d5546cb3610f507cb68a23
There was a runtime error.

And here is with the default slippage and leverage applied. I would like to add margin modeling to this algo to see how that changes things. Interested to know if there are margin calls and what the cost of margin would do to the returns. Anyone know how to go about that?

Clone Algorithm
90
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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: 59d560371a83405064616f23
There was a runtime error.

Hi there, thanks for posting. What was the process that led you to these numbers.

threshold_bot = 0.9  
threshold_top = 0.95  
ex_top = 1.1  
ex_bot = .856  
vr_top = 19.95  
vr_bot = 12  
vix_top = 24  
vix_bot = 12.25