Synthetic VXX/XIV Data

Anyone who trades VXX or XIV ETFs knows that their history is unfortunately too short. They track the VIX futures, but only go back to 2009. How would they have performed during the Kerfluffle of 2008?

A number of people have come up with ways to use the futures data from prior to the ETFs’ inception, and create synthetic data to use in testing. Many charge for this data.

A friend pointed me to a website that has the data for free. With a little know-how, you can create a synthetic version of VXX and XIV and import into your favorite backtesting software. It seems to track very nicely too.

In the above graph, the red line is actual traded XIV, and the blue is the synthetic version going all the way back to 2004. Looks close enough to me! The tail end is a prediction that the creator cooked up, which you should ignore for testing purposes.

I am relieved to find that my medium-term XIV system would have been out of the market for most of 2008. Very reassuring.

If you were looking for synthetic VXX/XIV data, head on over here.

Read also: What I Trade.

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