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  1. Brad
    September 13, 2019 @ 9:00 am

    Great test. Looks like commissions really eat into the 5 delta. For people trading on a commission free broker that may swing the sharpe ratio more in their favor over SPY. Also seems like this would be a good one for a short call spread to help with some of those cases where VXX shoots up really quickly.


    • JEI
      September 13, 2019 @ 12:12 pm

      Interesting, is this the first backtest that actually beats SPY?

      Remind me (I couldn’t find it in the methodology) – what do “50D-50”, “30D-50”, etc mean? Is that a 5D spread?


        September 13, 2019 @ 12:54 pm

        It is, but not on a risk-adjusted basis. EEM was the first I observed that had both a risk-adjusted and total return outperformance relative to the underlying.

        50D-50 is a 50D position managed at 50% max profit or 21 DTE. 30D-50 is a 30D position managed at 50% max profit or 21 DTE. Not to be confused with 50D-30D-50, which is a 50D 30D spread (the study name will indicate whether it’s a credit or debit) managed at 50% max profit or 21 DTE.

        I’ll update the methodology section to include clarity on the naming convention. Appreciate the feedback.


      September 13, 2019 @ 12:55 pm

      VXX short call spread is coming next week – stay tuned 🙂


      • Tom
        September 14, 2019 @ 3:10 am

        I wouldn’t go on with a short call – it’s the way ruined their depot…
        There is also a danger with the VXX for a Explosion.

        So i’m looking forward for the short call spread


  2. Uri
    October 20, 2019 @ 4:57 am

    Thanks for the back-testing.

    1)How much was the max. loss during the trade? you wrote that
    “the worst monthly return for example for 30D was -44.6%”

    2) that means that if I sold a 30D call on VXX for $100 the max. loss was -$144.60?

    3) During the month the 30D call for example didn’t show bigger loses?

    4) I didn’t find the “VXX short call spread ” back-testing, can you please write the link?


      October 20, 2019 @ 7:03 am

      You’re welcome; thanks for stopping by!

      1) ORATS reports that the max drawdown on the cash-secured VXX 30D hold-till-expiration strategy is 47.48%.

      2) That means if you had $100 committed to the 30D strategy (think of it as investing $100 in an ETF that implements the 30D strategy behind the scenes) during the worst month, the $100 would become $55.4 – a loss of 44.6%.

      3) That’s a good question. The cash-secured stats provided by ORATS reports as a monthly rollup. It’s quite possible a greater loss occurred during the “worst month”, or even a different month, but some winners may have occurred that brought the returns up from the lowest of lows. If we evaluate this as a leveraged strategy using the Options Backtest Builder – I’ve yet to do this on this particular study – we’ll see the exact day in which the bottom of the max draw down occurs.

      4) Here you go:


  3. Uri
    January 29, 2020 @ 12:51 pm

    What do you mean with ” cash secured call”?

    for example if VXX is trading at $13

    this study sell 10 calls $13 in a $13,000 account?


  4. Uri
    January 29, 2020 @ 3:55 pm

    Thanks! And during this study never received a margin call (or the balance went negative)?


      January 29, 2020 @ 4:45 pm


      I can’t speak to whether this would have generated a margin call in practice. That’s unfortunately something that can’t be explored with a backtest (particularly, buying power expansion). Notably, the account didn’t blow up despite the multi million dollar sings.


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