Compare XIV vs. Volatility Strategies

Quantec made a great C2 explorer query called “Hypothetical Value Added Intraday Index” I really like it. It allows you to put in various System Id’s and compare how they did over the same time period. He saved it primarily with Volatility strategies. I think it would be great if someone who knows how to do it could add to the code the ability to compare to an appropriate index. For example, with all the volatility strategies that he has the code saved with, it would be awesome if we could also graph “XIV” to allow us to compare how those strategies did vs. a simple buy and hold strategy of “XIV”

For the record this would be a great addition to the C2 equity charts if we could have the ability to graph things other than the S&P 500 against a strategy.

I don’t think C2 allows us to simply pull a chart of XIV. However, I figured we may be able to make our own by using the closed trades of XIV in all the strategies of C2. There would obviously be gaps of data, but I think XIV is traded on enough strategies that the graph would have plenty of data points. Then all the volatility strategies could be graphed against a simple buy and hold of XIV. I know that you can find all trades of XIV and the trade prices and the times at which they occurred. I am just unclear on how to graph them with the base of Quantec’s code.

Anyone who knows how to use C2 explorer better than me think this is doable? I think it would be a great addition for the community.

Well I made a post about wanting this, but no one was willing to do the work for me haha. So, I pulled out my old C skills. They are rather rusty, but it appears I have managed to do what I was thinking. I have published the C2 explorer code. However, you can easily change it so that instead of graphing XIV you graph something like SPY. Just be warned that the data it is pulling for the index is trade data from C2 trades. So you can only graph things that have been traded by C2 systems. I saw no way to pull for symbols like XIV except from previous trade data. Anyways here is a graph of many of the Volatility Systems with XIV graphed against them. I have left mine out because it is rather young and limits the length of data, but it too is underperforming XIV (in red) just like 90% of the volatility strategies out there. Obviously that is a long discussion because many of those strategies are hedging and that costs money and therefore safer than just holding XIV. Certainly XIV is not a perfect bench mark, but it is certainly better than the S&P 500 as a benchmark for Volatility Strategies.

Also, if you wish you can graph just a single item. As you can see with the chart below sometimes the data is a bit off since the S&P didn’t have that big of a drawdown in 2016-2016, but it still gives you a good gauge.

I have saved it with my strategies, because lets be honest I want people to see them and subscribe. I also saved it with Quantec’s volatility strategy since I used his code as a base.

This is quite an interesting overview you’ve created. Thanks a lot for sharing the code :slightly_smiling_face:

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great job, but is too clutter for me. I cant really tell the colors or anything pass mid July, everything just lump into 1 color and my eyes just blend all the color back in. too many shades of blues, in the end i lost track of which strategy is which color in the end.

But as i expected most strategy is under performing XIV buy and hold this year. and most mutual funds or stocks etf all under perform SPY.

again, awesome job!

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Thanks for the complement. Yes it is way too cluttered and more developers want their strategies added still. In C2 explorer I can and anyone else can change which and how many are on there. I may in the future try to every month or so or maybe after big vix moves just post an update for those that are not comfortable with C2 explorer. I will have to have a filter system that makes it more ledgible. Typically when graphing for myself I just graph XIV, my own volatility strategy and a few others that I respect and are doing well.


i think keeping XIV and your strategy + the next top 10 strategy would be more legible to read.

thanks for all the work.

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Yeah I agree. I couldn’t wait until the weekend so I did some work at lunch :grinning: I found strategies just by looking for the words “Vix” or “Vol” in the name of the strategy and limited it to strategies that at least had a positive return. It was still rather large for some ranges, but I did some screen shots with my cursor over them to show the values and other shots to show the graph. Again I am likely missing some strategies that do trade volatility and these graphs tell people nothing about how much margin the person is using or other risks. Also, beating or underporforming XIV is not a tell all indicator. There are plenty of other factors to consider like risk, drawdowns, etc. I think these graphs are at least a good piece of the puzzle, but I have to think it isn’t the only indicator because my Volatility strategy is underperforming XIV :joy:

Thanks Charles. Very cool.

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I made a small update to this C2explorer code. Now you can graph multiple individual instruments such as XIV and SPY alongside multiple systems. You just need to make sure that you change the information at the beginning of the code as needed. Also, if the instrument has not had sufficient trades on the C2 platform there is no where for it to pull data from and will not graph. So stick to instruments like SPY, AAPL, XIV, and any other commonly traded on C2.

Thank you Charles (and Quantec), this is a useful tool!

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Here is a new update of some of my favorite Volatility strategies. I think we all know which one is my true favorite though haha


can we get a chart update?

@OSUTIA Here you go. These are the top 10 most popular VIX or VIX related strategies when I last looked about a month ago and my own. Looks like I am in second place on a total return basis. I would really like to eventually do a chart adjusted for margin usage, but haven’t had the time. I can say that mine uses no margin.

time frame so short, can we go back a yr or at least feb/march ?

Here are two more. First I removed mine which is what was limiting the time frame. Second I removed Quant Models Volatility. The time frame is limited by what strategy is the youngest in the code.

@OSUTIA there are two graphs. I think the second is by far the most interesting. Volatility Returns, which I believe uses leverage, is the only one right with XIV.

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thanks, first graph was meaningless. 2nd graph is interesting, almost showing non of them was able to beat buy and hold XIV.

last request, would it be hard to do the same chart for TOS only vix strategy, i think it would be nice to compare TOS strategy vs non TOS strategy.

Certainly, I currently don’t have an easy way to check for TOS. If you compile a list of strategy names and id numbers I can spit it out quick.

the list is short, i just check TOS 50% and contain the word vol or vix or xiv

XIV Timer
Tactical VIX
Capitalize on Volatility
Smart Volatility Margin
Smart Volatility IRA
Trading Volatility 1
Volatility Returns
Volatility Fusion
Battle Axe Volatility
Volatility Invest IRA


I respect that you are one of my subscribers :pray: but I think you have to ask different questions:

You said:
“almost showing non of them was able to beat buy and hold XIV.”

A. So what… This is the most unimportant question here…The question should be, from my opinion, what was the max DD in XIV when it achieved this performance…10%? 20%?30%
This is a much important question.

B. Again, like many other investor, it is very comfortable to analyze when you look back, right? You see the XIV going up and you compare… Meaningless…

C. Another question should be, to my opinion, how much did you risk to achieve your performance and what was the DD?

You said:
" i think it would be nice to compare TOS strategy vs non TOS strategy."

Again, TOS say nothing about the future success of any strategy. Period.

Receive the answers for the the questions above and you get all you need…
Most of the rest is not important and misleading…:slightly_smiling_face:

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