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Hi all, I put this together earlier in the year. The concept is to use the SVXY short volatility ETF, and wait for market conditions to favor a low directional environment for SPY, while also looking for volatility to turn down, and exit soon after. Using 3 entries, and one exit.
I'm still learning programming, so it's simple in concept. It performs ok, but I wasn't sure where else to take it on its own to improve return. Perhaps there are other uses for this idea to go long volatility and this is an out timer? Interested in what others think.
Varad Kabade
Hi Mark hatlan,
Thank you for sharing the above strategy with the community. Moving forward, we have a minor recommendation when checking for data in the current slice object follow:
Â
instead of:
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Because the current slice may contain only non-trade data like split, dividend events, etc., refer to the attached backtest.
Best,
Varad Kabade
Mark hatlan
Ok thanks. I'll update my other algos with that line.
Mark hatlan
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