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A note on VIX for postprocessing quantitative strategies

arXiv 2207.04887 ↗First posted 8 Jul 2022q-fin.ST cs.LGcited by 0

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Abstract (arXiv)

In this note, we introduce how to use Volatility Index (VIX) for postprocessing quantitative strategies so as to increase the Sharpe ratio and reduce trading risks. The signal from this procedure is an indicator of trading or not on a daily basis. Finally, we analyze this procedure on SH510300 and SH510050 assets. The strategies are evaluated by measurements of Sharpe ratio, max drawdown, and Calmar ratio. However, there is always a risk of loss in trading. The results from the tests are just examples of how the method works; no claim is made on the suggestion of real market positions.

Key facts. No citing papers in the map yet (data through 7 Oct 2026). Builds on 3 of its 11 references that are in the map. First posted on arXiv 8 Jul 2022.

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References · 3

  1. 2022Reducing overestimating and underestimating volatility via the augmented blending-ARCH modelcited by 5
  2. 2022Exploring Classic Quantitative Strategiescited by 4
  3. 2022AdaSmooth: An Adaptive Learning Rate Method based on Effective Ratiocited by 2

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