Vxx trend following strategy backtesting template




Customer reviews
Andy-Candy
16 ways to become a breathtaking lover for every night!
pancher
A woman should stay sexually active throughout all her lifetime!
djmyx
not informative as something
HoldMaster
If you do not count the repetition, in all not bad.
Kudriavaia
I totally agree with vaami.
xaxatushka
Good question
Spasy
Great idea
wordz
Join. All of the above is true.

Vxx trend following strategy backtesting templateVXX Trend Following Strategy Backtesting Template

The VXX Trend Following Strategy has been published by Connors Research as part of their trading strategy guide series.

The EdgeXcel™ template VXX Trend Following – Trade Simulation runs a backtest on all 24 individual variations of the strategy as follows:

Template Selection

The template can be found in the VXX Trend Following strategy category and is called Trade Simulation:

Click on the category first to show the list of templates in that category and then click on the Trade Simulation Template.

Symbol List Selection

Before running the template, make sure to select a symbol list that has only one symbol VXX. You can easily create a list to contain that symbol or just download the list from here and unzip it and place it into your EdgeRaterSymbol Lists folder.

Updating the Data

Make sure that the data has been updated to the latest End-Of-Day data. The default data provider is set to the free Yahoo! data provider (unless you have already changed it to something else). Press the EOD update button to make that happen. This update process should be very quick even when using the Yahoo! data provider because only one symbol is being fetched in the request for data.

The amount of historical data fetched can be set after pressing the Edit symbol list button.

This will bring up a dialog box which contains 3 tabs. The Data Update Options tab allows you to set the amount of historical data to fetch.

End-Of-Day data is all that is needed to run a trade simulation. You do not need to do an intraday update before running the backtest.

Running the Template

After selecting the template and symbol list and updating the data, press Run in the EdgeXcel™ template menu bar:

Viewing the Results

A summary of the results will be shown in the template area and also stored in an Excel™ spreadsheet on the file system in the following location: EdgeRaterReports so that you have a permanent record of the results.

In addition to the overall summary, a separate Excel™ document will be created for each strategy variation. These documents contain details of each simulation such as the list of trades, Daily equity chart, Statistical gain/loss chart and full variation trade summary. These documents can be viewed in any Excel™ spreadsheet viewer.

The Daily Equity Chart worksheet is driven by the Daily Equity Data worksheet.

By having these results in an Excel™ spreadsheet format, it allows you to run your own calculations on the data if you are so inclined. For instance you may want to see combinations of Long and Short variations.