Strategy
Building on my previous post, the goal is to not wait until VIX Futures backwardate to realize our gains. Instead, we systematically take profits when we see them during the periods we are signaled to short VXX. For my backtest, I chose to close any short VXX positions if the security was trading 5% below my cost basis and then re-enter the short when I see a 1.5% spike in VXX. By doing so, the performance for this strategy is greatly improved. It should be noted that I only close and re-enter when contango is healthy, i.e., below 0.95, otherwise I just sit on cash.
Backtest Summary| Performance Measure | Value |
|---|
| Annual Return | 0.44 | | Annual Volatility | 0.3 | | Sharp Ratio | 1.36 | | Max Drawdown | -0.48 | | Alpha | 0.33 | | Beta | 0.58 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Worst Drawdown Periods| Rank | Drawdown in % | Peak Date | Valley Date | Recovery Date | Duration |
|---|
| 1 | -0.2284 | 06-23-2015 | 10-20-2015 | 2016-05-24 | 240 | | 2 | -0.2114 | 07-08-2014 | 09-14-2014 | 2015-03-30 | 189 | | 3 | -0.1574 | 05-16-2013 | 08-27-2013 | 2014-01-14 | 173 | | 4 | -0.1541 | 01-21-2014 | 06-11-2014 | 2014-07-01 | 115 | | 5 | -0.0806 | 06-08-2016 | 06-12-2016 | 2016-07-25 | 33 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Stress Events| Stress Events | Mean | Min | Max |
|---|
| US downgrade/European Debt Crisis | 0 | 0 | 0 |
| Fukushima | 0.001 | -0.008 | 0.023 |
| EZB IR Event | 0.011 | -0.028 | 0.092 |
| 2009Q1 | 0 | 0 | 0 |
| 2009Q2 | 0 | -0.037 | 0.014 |
| Flash Crash | -0.088 | -0.188 | 0 |
| April 2014 | 0 | -0.012 | 0.009 |
| October 2014 | -0.001 | -0.008 | 0 |
| Fall 2015 | -0.002 | -0.045 | 0.012 |
| GFC Crash | 0 | 0 | 0 |
| Recovery | 0.002 | -0.188 | 0.119 |
| New Normal | 0.001 | -0.172 | 0.067 |
/* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */
