VIX Futures Trading Strategy: Backtest, Example, and Insights
A VIX futures strategy refers to the methods and techniques you can use to trade VIX futures, which are financial derivative products that represent a contract to trade a specified unit of the index at a pre-agreed price on a future date.
Let’s make a backtest using the VIX spot index and the following trading rules:
VIX must set a new 20-day high,
The five-day RSI must be higher than 70 (for the VIX,
If both rules above are correct, we buy S&P 500 (SPY),
We sell at the close when the close is higher than yesterday’s high.
The equity curve of the strategy looks like the below image.
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/vix-futures-trading-strategy/