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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
141
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Backtest from to with initial capital
Total Returns
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Alpha
--
Beta
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Sharpe
--
Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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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.
2 responses

I'm happy to announce that this algo, along with all my other volatility algos, has survived Black Monday 2018!

Clone Algorithm
83
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: 5a7fcd68b0294d456c4749d8
There was a runtime error.

Here's a screenshot of all my volatility algos taken after the market closed on February 5, 2018. They are set up on MultiCharts. Note the +50% VXX trade on the top right chart.