Backtests for Popular Long & Short Volatility Exchange Traded Products
I have generated the end of day trading day values for the most popular long and short volatility Exchange Traded Products (ETPs) for March 26th, 2004 through January 5th, 2021 TVIX VelocityShares Daily 2x VIX Short-Term ETN (only trading on OTC market) +1.5X UVXY ProShares Ultra VIX Short-Term Futures ETF (includes old 2X simulation) VXX Barclays S&P 500 VIX Short-Term Futures ETN VXZ …
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