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XIV / UVXY Trading

I'm pretty new to this and still playing around. Looking to refine this to trade more often and get more out of each trade.

Looking for any feedback.

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: 58fa065d3af37a6559882e4f
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9 responses

Hey, David Heller,
I'm looking for to make a trade with you, a deal with the devil, if you will, if you're interested, let me know.


sure lets hear it

contact me

my email is
I will delete this message in 5hours... to avoid people spamming me

So has 'Evil Mak' aqcuired your services exclusively or do you plan to make something of this?

Looks seriously like a potential winner, surprised by the lack of posts.

I've looked over the code (wow, btw).. but my programming experience isn't nearly enough. How can we get this algo performing these "step-like" trades more frequently?

He hasn't followed up. Sounds sketchy anyways.

The pvr code isn't mine, the rest is basic.

There is lots of opportunity in xiv that I'm not taking advantage of yet.

Maybe for uvxy instead of only trading the largest spikes try trading smaller ones as well, not sure but going to play around with it.

I contacted "Evil" above (when his email address was showing) to make a deal and he ignored me, what's this world coming to.

In the chart, cash usage is 90% with max leverage at 1.5 so that means the leverage is not from margin but from excessive shorting, and unless I'm mistaken it is beyond real-world-possible. PvR is so much lower than returns due to the high risk from a lot of shorting. Try turning off PnL and CashLow and replacing those with record_max_shrt with record_risk_hi. Since the chart only shows the last value of any day, the chart figures won't make total sense because of intraday movement [Edit: Often partial fills are involved though not this time, mere price swing here, see below. By the way Yahoo shows a big stock split that Google doesn't.]

Some of the problems that Blue mentioned happen due to the execution of orders around the open. If you analyse your backtest you will see that many orders take more than 30 min to be executed, which is a bit unrealistic for market orders. The slipage model may be suffering due to the lower liquidity in the opening. Move you rebalance near to the close and will you see that the return shrinks and the dd increases.

Looks to me that near market open (original), all orders are filled within five minutes.
It finally occurred to me to use a new tool I wrote, on this.
The leverage is from the UVXY price increase in Jun 2013 while shorted. The way leverage is calculated that increases the numerator and decreases the denominator. Risky code, only two stocks.

Glad to hear, David. I'll keep an eye out for any updates. Thanks.