VIX Strategy

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VIX Strategy #466344 06/10/17 08:50 06/10/17 08:50
Joined: Aug 2016 Posts: 95 Wien T trenki2 OP Junior Member
trenki2 OP Junior Member T Joined: Aug 2016 Posts: 95 Wien	There is a nice article with a trading strategy here: Article + Strategy

Re: VIX Strategy [Re: trenki2] #466352 06/11/17 13:50 06/11/17 13:50
Joined: Nov 2016 Posts: 66 GreenBoat Junior Member
GreenBoat Junior Member Joined: Nov 2016 Posts: 66	Hi, thank you for posting your strategy code. It's always good to have some example scripts for learning. I would like to test it on my computer, however I have a problem with the historical data of VIX index. It would be great if you could push me in the right direction. I have SPY historical data, but I am not able to download VIX historical data. I am trying to download the data from Google, but it doesn't work. I don't know which ticker to use. I tried VIX and INDEXCBOE:VIX, but neither of them works. VIX is also not available at Quandl WIKI. It is possible to download VIX historical data on CBOE website: http://www.cboe.com/products/vix-index-v...historical-data But I don't know how to transfer the file to the Zorro format. Any idea? Or maybe can you post a link to your .t6 historical data files? Thanks!

Re: VIX Strategy [Re: GreenBoat] #466353 06/11/17 14:59 06/11/17 14:59
Joined: Nov 2016 Posts: 66 GreenBoat Junior Member
GreenBoat Junior Member Joined: Nov 2016 Posts: 66	I found the solution already. I downloaded the data from CBOE and managed to create the .t6 file. My results are attached. Thanks again, nice test! Attached Files vix-spy.png (60 downloads)

Re: VIX Strategy [Re: GreenBoat] #466763 07/01/17 07:24 07/01/17 07:24
Joined: Mar 2017 Posts: 65 G Ger1 Junior Member
Ger1 Junior Member G Joined: Mar 2017 Posts: 65	Could you explain how you did it?

Re: VIX Strategy [Re: Ger1] #466766 07/01/17 11:05 07/01/17 11:05
Joined: Nov 2016 Posts: 66 GreenBoat Junior Member
GreenBoat Junior Member Joined: Nov 2016 Posts: 66	I downloaded the data, created one file from it, sort it by date, saved as csv and then created the t6 file by this script: Code: void main() { string MyAsset = "VIX"; dataNew(1,0,7); dataParse(1,"%d-%b-%y,f3,f1,f2,f4,f6","History\VIX.csv"); printf(" %s",MyAsset); dataSave(1,strf("History\%s.t6",MyAsset)); } I hope that's how I did it, I am not sure if I remember it well.

Re: VIX Strategy [Re: GreenBoat] #466768 07/01/17 16:04 07/01/17 16:04
Joined: Dec 2016 Posts: 71 F firecrest Junior Member
firecrest Junior Member F Joined: Dec 2016 Posts: 71	Does anyone why they state 0.046 and 0.035 for the strategy in the following? LifeTime = 8; if (NumOpenLong == 0 && vixPrice[0] > vixSMA * (1 + 0.046)) enterLong(); if (NumOpenLong > 0 && vixPrice[0] < vixSMA * (1 - 0.035)) exitLong();

Re: VIX Strategy [Re: firecrest] #466769 07/01/17 16:27 07/01/17 16:27
Joined: Nov 2016 Posts: 66 GreenBoat Junior Member
GreenBoat Junior Member Joined: Nov 2016 Posts: 66	It improves results a bit. I think it is a typical example of over-optimization.

Re: VIX Strategy [Re: GreenBoat] #466949 07/10/17 13:52 07/10/17 13:52
Joined: Nov 2016 Posts: 66 GreenBoat Junior Member
GreenBoat Junior Member Joined: Nov 2016 Posts: 66	I would like to correct myself. The strategy is probably not overfitted. I made Walk Forward Optimization and it looks that the strategy is quite solid. The parameter is needed, because otherwise there are too many entry signals. It really improves the result, but I don't think it is overfitting. The problem is, that there are some loosing years. The strategy is not good enough for trading, but it is a nice experiment anyway. It leads to other ideas for using VIX for trading.

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