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.
https://gyazo.com/089a767f8bb27866b7e23652eb3d6420
https://gyazo.com/2d59efd5624d0b73368a0a5262e65ed7
This is my first thread created. Please let me know any feedback.
Thanks
Matt
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.
https://gyazo.com/089a767f8bb27866b7e23652eb3d6420
https://gyazo.com/2d59efd5624d0b73368a0a5262e65ed7
This is my first thread created. Please let me know any feedback.
Thanks
Matt