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XIV/VXX Pair Trade

Sharing full 2011-01-01 to 2016-06-17 backtest.

Daily rebalance of XIV/VXX pair trade (60% long XIV, 40% short VXX) or (60% long VXX, short 40% XIV) based solely on PsychSignal's Twitter bull_minus_bear intensity sentiment on StockTwits of SPY.

Revert signal's long or short of the pair trade if drawdown exceeds 18% from peak and so on...

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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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: 578c2519e130fc0f9075c404
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