Velocity To Inverse Correlation to VIX/Bonds Strategy (2020) by givingdesk
By givingdesk
Performance Metrics
- Author: givingdesk
- Symbol: COINBASE:ETHUSD
- Timeframe: 1 day
- Net P&L: +73,237.19 USD (+73.24%)
- Win Rate: 88.9%
- Profit Factor: 19.286
- Max Drawdown: 2,003.83 USD (1.68%)
- Total Trades: 18
- Sharpe Ratio: 0.981
Description
This strategy measures and creates a signal when an asset is moving out of a correlation with high yield bonds or the CBOE VIX into an inverse correlation, as well as when an asset is losing correlation with a top corporate bonds ETF. When this signal is triggered, the simulation has the portfolio asset go long. Additionally, exits are based on a 2% stop loss and a 2% take profit for simplicity sake to indicate whether the direct next move in the asset is up or down.This was originally tested as a descent indicator for Ethereum's 2020 moves as institutional investors moved into the market.