C# Strategy Designer
Hedging by Volatility (Sandbox Version)
Published by Springroll on 4/7/2023
This System reflects a heading approach using a VIX Future ETF. The goal is to be able to hedge in volatile markets such as 2018, 2020 and 2022. Of course, extremes like the Covid crash are rare. However, the backtest shows that this system triggered as soon as the S&P 500 (SPXL) started to fluctuate. The instrument traded is VXX. It is still relatively young, so the number of data points are somewhat limited. I've been running this system in my sandbox since the beginning of March 2023, so I will observe it throughout the year.
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C# Strategy Tips

• Strategies are coded in the C# language and utilize the Microsoft .NET framework.

• Your Strategy is a .NET class derived from the UserStrategyBase base class.

• Override Initialize to perform one-time tasks like creating indicators.

• Override Execute, which is called once for every bar of data being processed, to implement your trading rules.

• Check the Online WealthLab Framework Reference for documentation on classes and methods.