Volatility ETP O/H/L/C Backtests
I have generated the end of day trading day values for the most popular long and short volatility Exchange Traded Products (ETPs) starting in March 26th, 2004 from the VIX futures historical data that underlies these funds. In addition to the currently trading products: VXX, TVIX, 1.5X UVXY, -0.5X SVXY, ZIV, and VIXY this dataset also includes simulations for these discontinued or releveraged funds: XIV, -1X SVXY, 2X UVXY).
None of the volatility ETPs started trading before January 2009, so there is no market price data available before that (e.g., during the 2008 market crash). This simulation includes ETP 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 ProShares releveraged funds, UVXY and SVXY the spreadsheet also provides OHLC data from November 2013 through October 2018–see this post for more information on how that was done.
For more information on this product see:
- Open / High / Low / Close Simulations for Popular Volatility Exchange Traded Products
- 1.5X UVXY & -0.5X SVXY Open/High/Low/Close values: March 2004–March 2018
A less expensive end-of-day version of this product is also available, see: End-Of-Day Simulations for Popular Volatility Exchange Traded Products