Back to Community
XIV Assault (awesome moving average strategy for XIV/VXX)

Don't hate on moving averages! They've been doing wonders on XIV for me ;)

This was my first XIV strategy ever when I first discovered the wonderful world of volatility trading back in 2015.

Apply 2 exponential moving averages (EMA) on XIV at the 30-minute interval. EMA3 = 3-period EMA, EMA9 = 9-period EMA. When EMA3 crosses over EMA9, buy XIV. When EMA3 crosses under EMA9, sell XIV.

If you're bold, hold VXX after selling XIV (toggle 1 on line 17).

Enjoy! Any improvement is welcome as always. For collaboration requests, please email: [email protected]

Shout out to Jacob Lower for porting this algo from PowerLanguage to Python!

Clone Algorithm
69
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: 599001bd1806365694d4e8a5
There was a runtime error.