Is there an Easy Way to Automate a Simple Trade Based VIX:VXV ratio?

M

marshg

Hi:
I'm interested in being able to make automated trades based on the ratio between the VIX and VXV indexes? Is that possible? For example when ratio is less than 1, to buy [or sell] VXX or similar etfs. Is that possible to do [or something similar] in an automated way? Ideally, I'd add in simple moving average [SMA] of VIX index as well. Any recommendations of how or where I can do that without having coding skills? And if not, what should I be asking of someone with coding skills I would hire so he/she could set that up?
 
marshg said:
Hi:
I'm interested in being able to make automated trades based on the ratio between the VIX and VXV indexes? Is that possible? For example when ratio is less than 1, to buy [or sell] VXX or similar etfs. Is that possible to do [or something similar] in an automated way? Ideally, I'd add in simple moving average [SMA] of VIX index as well. Any recommendations of how or where I can do that without having coding skills? And if not, what should I be asking of someone with coding skills I would hire so he/she could set that up?
More...

InvestorRT at www.linnsoft.com. You'll have a learning curve, but much faster (and a lot more fun) than trying to build something from scratch.
 
I'll ck it out, though I'm trying to avoid a learning curve. I'd rather hire someone to do the work. As I see this as a mostly one-off set up.
thanks
 
What trading platform are you using? If you have any sort of API, the formula is super-simple.

Code: 
if (vix/vxv < 1) {
    // submit market buy n VXV, or
    // limit buy n shares of VXV at bid price
}

or, if you wanted to sell...
Code: 
if (vix/vxv >= 1) {
    // submit market sell n VXV, or
    // limit sell n shares of VXV at ask price
}

Assuming, of course, a subscription or access to some form of stream that provides these data in a reasonable time frame.
 
Last edited:
You need to model VXV first and see what the ongoing relationship is between the two. VIX and VX futures are not highly correlated necessarily.
 
You must log in or register to reply here.
Back
Top