Code for ActiveTrader 2010-10 | Market-neutral VIX-based pair strategy strategy published.

We recommend downloading it directly using the convenient "Strategy Download" feature (found in Wealth-Lab's "Open Strategy" dialog).

While experimenting with the VIX based pairs strategy I found a couple of anomalies. First, if I run the strategy (with no changes except elimination of the “^” in the name of VIX) on a dataset comprised of only SPY and IWM (scale: daily; range: 24 months; size: $10,000 RP) the results, in summary, are a total loss of $2,424.40 on a total of 138 trades. Using the same parameters on a dataset of SPY, IWM, UWM and SSO (but still with no changes to the code, so it is executing on only SPY and IWM) the results are a total loss of $4,460.60 on 278 total trades. The detailed “trades” data confirms trades only in SPY and IWM. Second, in either case, the number of trades per symbol counted in the “By Symbol” detail is dramatically different than the number of trades in the summary performance data (which is consistent with the number in the detailed “trades” data). For example, with the two symbol dataset, the “By Symbol” detail shows 12 trades in IWM and 23 trades in SPY rather than the aggregate of 138 trades actually executed.

If I am doing something to cause these anomalies, I am not sure what. Any ideas?

Try using the settings (Yahoo! data, IB commissions, position sizing) exactly as specified in the article.

Eugene,

When I try to run this I get Debug Error messages "Object reference not set....". I have already put all 3 symbols it uses in a single DataSet. Am I supposed to click on a symbol to get it started or ...?

Is "Benchmark Buy & Hold" symbol defined and enabled in Wealth-Lab's Preferences dialog, Backtest Settings? Try unchecking that option.

Not checked. What should I set up to get this to run?

Nothing specific: the data for ^VIX, IWM and SPY (I must have used Yahoo!). Make sure that ^VIX exists in one of your Y! DataSets or edit the VIX symbol name in the appropriate place of the Strategy code.

Not sure why it is not working. So should we create a data set with vix and data download from yahoo finance to get this working....?

Probably because ^VIX, a Yahoo! symbol, could not be found (in Fidelity's symbology VIX has a different symbol name).

Hi Eugene, you mention to size positions as per the article, is there any way to access the article? Or get a general idea as to what the sizing should be?

Thanks!!!

Hi Deane,

The position sizing was simply: Allocate 47 percent of account equity per position.

Please check with the magazine on how to access past articles.

Thanks Eugene. Will have a look but thanks for the answer