I Backtested My Own GEX Product Across 8 Years of SPY. Most of It Is Just VIX.
📰 Dev.to · tomasz dobrowolski
Backtesting a GEX product across 8 years of SPY data reveals that most of its performance can be attributed to VIX, with other factors like DEX, VEX, and CHEX having minimal impact
Action Steps
- Run a backtest on historical SPY data to evaluate the performance of a GEX product
- Control for VIX and ATM IV in the backtest to isolate the impact of other factors
- Compare the results of the backtest with and without controls to determine the contribution of each factor
- Apply the insights gained from the backtest to refine trading strategies and models
- Configure a trading system to incorporate the findings of the backtest, focusing on VIX as a key driver of performance
Who Needs to Know This
Quantitative analysts and traders can benefit from understanding the results of this backtest to refine their trading strategies and models, while data scientists can appreciate the methodology and insights gained from the analysis
Key Insight
💡 VIX is the primary contributor to the performance of a GEX product, with other factors like DEX, VEX, and CHEX having limited influence
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💡 Backtesting reveals VIX is the main driver of GEX product performance, with other factors having minimal impact
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