PROTECTED SOURCE SCRIPT
VIX futures Backwardation/Contango strategy
Very basic strategy that goes long on a VIX ETF whenever the futures curve shows signs of backwardation and gets out when it shows signs of contango. Makes no effort whatsoever to avoid getting faked out by monthly futures rollover.
Surprisingly good at not incinerating money while still providing diversification benefits in a long SPY portfolio. Useful for demonstrating the benefits of including VIX futures to hedge an actively managed portfolio.
Can be set to get out if the VIX goes below the lowest value of the last 3 candles, in which case it spends less time in the market but seems to actually make a bit of money over the past decade, though the only intent of this script is to make it not lose money.
Surprisingly good at not incinerating money while still providing diversification benefits in a long SPY portfolio. Useful for demonstrating the benefits of including VIX futures to hedge an actively managed portfolio.
Can be set to get out if the VIX goes below the lowest value of the last 3 candles, in which case it spends less time in the market but seems to actually make a bit of money over the past decade, though the only intent of this script is to make it not lose money.
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