Backtesting: Hedging by Volatility (Sandbox Version)
This System reflects a heading approach using a VIX Future ETF. The goal is to be able to hedge in volatile markets such as 2018, 2020 and 2022. Of course, extremes like the Covid crash are rare. However, the backtest shows that this system triggered as soon as the S&P 500 (SPXL) started to fluctuate. The instrument traded is VXX. It is still relatively young, so the number of data points are somewhat limited. I've been running this system in my sandbox since the beginning of March 2023, so I will observe it throughout the year.
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Dynamic DataSets ensure that symbols are only processed if they were in the corresponding index at a particular point in time. Read this Blog article to learn more.
Data Range & Scale
The Web Backtester currently uses a Data Range of 10 years of daily data. We'll offer more options here in a future update.
|Metric||Strategy Results||Benchmark Results (SPY)|
|APR (Annualized % Return)||0.00%||0.00%|
|Number of Positions||0.00%||0.00%|
|Average Profit %||0.00%||0.00%|
|Average Bars Held||0.00%||0.00%|
|NSF (Non-Sufficient Funds) Position Count||0.00%||0.00%|
|Maximum Drawdown %||0.00%||0.00%|
The most recent 100 Positions out of 1,234 total are presented here.
|Symbol||Position||Quantity||Entry Date||Entry Price||Exit Date||Exit Price||Bars Held||Profit||Profit %|
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