VXX Backtest














VXX is a long volatility fund offered by Barclays that is based on short-term VIX futures (1st & 2nd month).  VXX started trading in January 2009 so there is no market price data available before that (e.g., during the 2008/2009 market crash).  This simulation provides VXX’s simulated end-of-day closing prices from March 2004 through January 5th, 2021

VXX’s history is a bit convoluted because the original VXX was specified to terminate in 2019, ten years after its inception in 2009. Barclays managed the transition of this popular product by creating a very similar product, initially with the ticker VXXB, that traded in parallel with VXX for about a year and then became Barclays’s short term product when VXX terminated.   Anxious to recover the well known VXX ticker, Barclays only waited a few months after VXX’s termination before it renamed VXXB as VXX.  For more on these transitions including the few small differences between the old and new VXX see this post:  Goodbye VXXB, We Hardly Knew Ye

For more information on this product see: End-Of-Day Simulations for Popular Volatility Exchange Traded Products

I also offer a VXX simulation that provides open/high/low prices in addition to end-of-day prices from March 2004 through January 5th, 2021, for more on that product see:  Open / High / Low /  Close Simulations for Popular Volatility Exchange Traded Products.   This product uses my simulations to generate OHL values from 2004 to October 2013 and then uses publicly available trade data after that.  I captured the data from the original VXX product through its termination so it is better data than the currently available free data that uses VXXB data in 2018 when its volumes were very light.

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