A note on VIX for postprocessing quantitative strategies

Jun Lu and Minhui Wu

Papers from arXiv.org

Abstract: In this note, we introduce how to use Volatility Index (VIX) for postprocessing quantitative strategies so as to increase the Sharpe ratio and reduce trading risks. The signal from this procedure is an indicator of trading or not on a daily basis. Finally, we analyze this procedure on SH510300 and SH510050 assets. The strategies are evaluated by measurements of Sharpe ratio, max drawdown, and Calmar ratio. However, there is always a risk of loss in trading. The results from the tests are just examples of how the method works; no claim is made on the suggestion of real market positions.

Date: 2022-07
New Economics Papers: this item is included in nep-fmk
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