VIX Level Trigger in Options Backtesting

Discussion in 'Announcements' started by Matt_ORATS, May 23, 2019.

  1. Matt_ORATS

    Matt_ORATS Sponsor

    Here's how to use the level of VIX, or any symbol's price, to drive trading in a backtest by using Entry and Exit Triggers.
    My firm, ORATS, has an options backtester that will help you create and maintain a systematic rules-based options strategy with returns in line with your investment objectives.
    Today's blog is using the VIX level to drive options trades.
    On the blog I tested a LongCall strategy with the default parameters. The backtest results were not very good.
    I ran a short call spread and the results were better, however volatile. The test trades when the VIX spot < 15 and exits if the VIX spot rises above 20.
    [​IMG]
    https://gyazo.com/089a767f8bb27866b7e23652eb3d6420
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    https://gyazo.com/2d59efd5624d0b73368a0a5262e65ed7
    This is my first thread created. Please let me know any feedback.
    Thanks
    Matt
     
    ETJ likes this.