2022/07/08 by Jun Lu, Lu, Jun, Minhui Wu +1
Decision Sciences · Economics, Econometrics and Finance · #Capital Investment and Risk Analysis #FOS: Computer and information sciences #FOS: Economics and business #Financial Markets and Investment Strategies #Machine Learning (cs.LG) #Statistical Finance (q-fin.ST) #Stock Market Forecasting Methods
paper · pdf · doi:10.48550/arxiv.2207.04887
openalex publication_date 2022/07/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this note, we introduce how to use Volatility Index (VIX) for postprocessing quantitative strategies so as to increase the Sharpe ratio and reduce trading risks. The signal from this procedure is an indicator of trading or not on a daily basis. Finally, we analyze this procedure on SH510300 and SH510050 assets. The strategies are evaluated by measurements of Sharpe ratio, max drawdown, and Calmar ratio. However, there is always a risk of loss in trading. The results from the tests are just examples of how the method works; no claim is made on the suggestion of real market positions.