Some comments on the trade of VXX (XIV)

Trading and Markets
1

Trading strategies on these tickers working on a small time-frame (minutes) will always suffer from a lack of liquidity - a small private trader like that can trade, but already small professional money will already “glide”. I have studied transaction strategies, for example VIXTrader Professional. It seems to me that the execution will suffer greatly if there are many players there. I propose to consider the day’s data on the basis of the historical Market on Close (MOC) - (close day).
to start a simple example -
1 take the quotes XIV (SVXY) (close day)
2 take the quotes of the first two futures on the VIX regardless of their duration, just the first and second
3 then follow a certain formula - very easy (this is my simplest strategy)

average SHARP above 2

If I can show graphs and transactions (simulation)
Codes of similar things I write on Python

1 Like
2

Here is an example of daily deals

as you can see (01.2016 - today) - all the dangerous parts of the system are being bypassed perfectly, however, in 2010-2015, not everything is so good - and additional control parameters are used

put prices (close day) and profit)

Date Ticker Q
2016-02-19 00:00:00 SVXY 54899.80785
2016-06-10 00:00:00 SVXY -54899.80785
2016-06-30 00:00:00 SVXY 40766.40682
2016-09-09 00:00:00 SVXY -40766.40682
2016-09-21 00:00:00 SVXY 27689.32423
2016-10-12 00:00:00 SVXY -27689.32423
2016-10-19 00:00:00 SVXY 26451.52758
2016-10-28 00:00:00 SVXY -26451.52758
2016-11-16 00:00:00 SVXY 25371.05099
2017-02-14 00:00:00 SVXY -25371.05099
2017-02-17 00:00:00 SVXY 15497.86856
2017-03-21 00:00:00 SVXY -15497.86856
2017-04-24 00:00:00 SVXY 14117.31509
2017-05-16 00:00:00 SVXY -14117.31509
2017-05-23 00:00:00 SVXY 13451.70909
2017-06-12 00:00:00 SVXY -13451.70909
2017-06-23 00:00:00 SVXY 12163.23115
2017-06-29 00:00:00 SVXY -12163.23115
2017-08-25 00:00:00 SVXY 12827.09098
2017-10-17 00:00:00 SVXY -12827.09098
2017-11-20 00:00:00 SVXY 9220.839351
2017-12-04 00:00:00 SVXY -9220.839351

3

Developers should calculate impact on price.
Agree that this could be a problem if there is a large volume following.
Since all of those ETFs/ETNs do sometimes have a problems with spreads;
it can distort entry and exit prices.
Not sure if C2 API can make something like this :
Limit volume, so that orders can be split. That way order can not exceed 10 % of total volume in one minute bar. And orders would be filled over multiple minute bars, but with limit of 10 % volume for each minute.

But when looking at filled orders and size that is following trade leaders, it has really small impact and almost all price fills are very close to trade leader price fill.

It is more of a problem in futures, when someone is trading low volume futures
like Oats, Palladium, Orange juice.

4

You are absolutely right - these are great ways. Everything depends very much on the strategy itself, the time of holding the position, the profit in relation to turnover, and much more. Spread and the difference in the open interest of sellers and buyers is always disastrous. I like closing day because there is a fairly large volume and the price is convenient for calculation in the history - my orders are minimal.