VIXY O/H/L/C Backtest
VIXY is a volatility fund offered by ProShares that is based on short-term VIX futures (1st & 2nd month). VIXY started trading in January 2011 so there is no market price data available before that (e.g., during the 2008/2009 market crash). This simulation includes VIXY’s simulated open, high, low, and end-of-day closing price from March 2004 through October 2013 and end-of-day closing values up through January 10th, 2020.
For more information on this product see: Open / High / Low / Close Simulations for Popular Volatility Exchange Traded Products
A less expensive end-of-day version of this product is also available, see: End-Of-Day Simulations for Popular Volatility Exchange Traded Products
VIXY is quite similar to Barclays’ VXX products. The main difference being that VIXY is an Exchange Traded Fund vs VXX Exchange Traded Note construction. The posts below are specific to VXX but most of the information will be the same for VIXY: