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 201 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 October 2018.
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/VXXB products. The main difference being that VIXY is an Exchange Traded Fund vs VXX/VXXB Exchange Traded Note construction. The posts below are specific to VXX/VXXB but most of the information will be the same for VIXY: