How to use the UIS SPXS-TMV portfolio

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  • 11/07/2017 at 4:57 pm #47339
    Charlie Moore
    Participant

    Hi,

    I was wondering how best to use and understand the UIS SPXS-TMV in QuantTrader. I understand that SPXS is a 3x leveraged inverse of SP500 as well as TMV being a 3x leveraged inverse of 20 yr.

    What is confusing is that when I go into portfolio manager this portfolio is defined as a Long trading type. I tried changing the trading type to Short, but that does not appear to change anything.

    Also, when I compare it to UIS SPXL-TMF, it has a better return and greater sharpe ratio. Am I understanding this correctly, that going long SPXS-TMV might be a better portfolio? Thanks.

    11/09/2017 at 6:35 am #47360
    Frank Grossmann
    Participant

    I checked this and I see that at least in the last QuantTrader.ini strategy file it is defined as a “short” strategy. In any case you have to go short these ETFs to run the strategy. This is at least with Interactive Brokers no problem. They are very liquid.

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