Backtesting the Implied Volatility Long/Short Strategy (6/28/16)

Post Outline

• 4-Week Holding Period Strategy Update
• 1-Week Holding Period Strategy Update (Target Leverage=1)
• 1-Week Holding Period Strategy Updated (Target Leverage=2)

4-Week Holding Period Strategy Update

Download the spreadsheet here.

1-Week Holding Period Strategy Update (Target Leverage=1)

View fullsize

Results simulated using quantopian platform

1-Week Holding Period Strategy Update (Target Leverage=2)

View fullsize

RESULTS SIMULATED USING QUANTOPIAN PLATFORM

I'll post the components of each of the portfolios tomorrow and begin incorporating the updated lists every Tuesday with the backtest simulation updates.