uvxy+xiv

Author: huhao

python/qlib-test/UVXY_XIV.ipynb

@@ -0,0 +1,133 @@
+{
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+   "id": "229cf035-7014-4c71-b435-e468deb43bd9",
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+   "outputs": [],
+   "source": [
+    "import numpy as np\n",
+    "import pandas as pd\n",
+    "import matplotlib.pyplot as plt\n",
+    "\n",
+    "# Simulated historical VIX changes (daily % changes) - for demonstration\n",
+    "np.random.seed(42)\n",
+    "days = 1000\n",
+    "vix_changes = np.random.normal(0, 0.02, days)  # ~2% daily volatility\n",
+    "\n",
+    "# Simplified assumptions\n",
+    "uvxy_returns = 2 * vix_changes\n",
+    "xiv_returns = -1 * vix_changes\n",
+    "\n",
+    "# Strategies\n",
+    "lsvx_returns = 0.3333 * uvxy_returns + 0.6667 * xiv_returns\n",
+    "xivh_returns = 0.10 * uvxy_returns + 0.90 * xiv_returns\n",
+    "\n",
+    "# Convert to cumulative performance\n",
+    "cum_uvxy = (1 + uvxy_returns).cumprod()\n",
+    "cum_xiv = (1 + xiv_returns).cumprod()\n",
+    "cum_lsvx = (1 + lsvx_returns).cumprod()\n",
+    "cum_xivh = (1 + xivh_returns).cumprod()\n",
+    "\n",
+    "# Plot cumulative performance\n",
+    "plt.figure(figsize=(10,6))\n",
+    "plt.plot(cum_uvxy, label=\"UVXY (2x long VIX)\", alpha=0.7)\n",
+    "plt.plot(cum_xiv, label=\"XIV (short VIX)\", alpha=0.7)\n",
+    "plt.plot(cum_lsvx, label=\"LSVX (33% UVXY + 67% XIV)\", linewidth=2)\n",
+    "plt.plot(cum_xivh, label=\"XIVH (10% UVXY + 90% XIV)\", linewidth=2)\n",
+    "\n",
+    "plt.title(\"Cumulative Performance Simulation\", fontsize=14)\n",
+    "plt.xlabel(\"Days\", fontsize=12)\n",
+    "plt.ylabel(\"Portfolio Value (normalized)\", fontsize=12)\n",
+    "plt.legend()\n",
+    "plt.grid(True, linestyle=\"--\", alpha=0.6)\n",
+    "plt.show()\n"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "7c28f31b-b28f-4f08-a791-ab6fd6b25c4c",
+   "metadata": {},
+   "source": [
+    "你给出的两个策略组合：\n",
+    "\n",
+    "* **LSVX = 33.33% UVXY + 66.67% XIV**\n",
+    "* **XIVH = 10% UVXY + 90% XIV**\n",
+    "\n",
+    "其实都是 **UVXY（杠杆做多VIX期货）** 和 **XIV（做空VIX期货）** 的线性组合。\n",
+    "UVXY 代表对波动率的正向敞口，XIV 代表对波动率的负向敞口。\n",
+    "\n",
+    "---\n",
+    "\n",
+    "## 1. 策略特征解析\n",
+    "\n",
+    "### **LSVX (Volatility-Neutral Approach)**\n",
+    "\n",
+    "* 配比：1/3 UVXY + 2/3 XIV\n",
+    "* **逻辑**：由于 UVXY 和 XIV 的方向相反、杠杆不同（UVXY一般为2倍做多短期VIX，XIV为做空短期VIX），按比例配置可以让组合在“正常市场环境”中尽量中性，即对小幅的VIX波动不太敏感。\n",
+    "* **特点**：\n",
+    "\n",
+    "  * 对冲掉了部分波动率方向风险，目标是更平滑的收益曲线。\n",
+    "  * 在平稳/下跌的波动率环境中，仍然有正收益（因为XIV权重更大）。\n",
+    "  * 在大幅度 VIX 飙升时，损失相对小于单独持有 XIV，但仍可能显著亏损。\n",
+    "\n",
+    "---\n",
+    "\n",
+    "### **XIVH (Tail-Risk Hedging Approach)**\n",
+    "\n",
+    "* 配比：10% UVXY + 90% XIV\n",
+    "* **逻辑**：几乎等同于持有 XIV（即长期做空波动率），但少量 UVXY 用作对冲极端风险。\n",
+    "* **特点**：\n",
+    "\n",
+    "  * 平时的收益主要由 XIV 驱动 → 表现类似单独持有 XIV。\n",
+    "  * 在 VIX 暴涨（黑天鹅事件）时，UVXY 部分提供对冲，能在最坏的情况下减少组合爆仓的概率。\n",
+    "  * 属于“带安全气囊的做空波动率策略”。\n",
+    "\n",
+    "---\n",
+    "\n",
+    "## 2. 风险–收益对比\n",
+    "\n",
+    "| 特征         | LSVX (中性)           | XIVH (尾部风险对冲)     |\n",
+    "| ---------- | ------------------- | ----------------- |\n",
+    "| **方向性敞口**  | 接近中性，轻微偏空波动率        | 强烈偏空波动率           |\n",
+    "| **正常环境收益** | 较稳定、但不如XIV高         | 高（接近XIV的水平）       |\n",
+    "| **尾部风险**   | 对冲了一部分，但仍有较大损失可能    | UVXY少量对冲，损失幅度相对较轻 |\n",
+    "| **波动性**    | 较低                  | 较高                |\n",
+    "| **适用投资者**  | 想降低净波动率敞口，追求更平滑收益曲线 | 想获得高收益但又怕极端风险     |\n",
+    "\n",
+    "---\n",
+    "\n",
+    "## 3. 总结\n",
+    "\n",
+    "* **LSVX** 更像是一个“平衡型”波动率套利组合，追求中性和稳定，适合规避大方向上的波动性风险。\n",
+    "* **XIVH** 则是“高风险高收益”的 **做空波动率 + 少量保险**，长期预期收益更高，但依然承担较大尾部风险。\n",
+    "\n",
+    "---\n",
+    "\n",
+    "要不要我帮你画一张 **风险收益情景分析图**（横轴=VIX变动，纵轴=组合收益），直观对比 LSVX 和 XIVH 在不同市场环境下的表现？\n"
+   ]
+  }
+ ],
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