The purpose of this Software to benchmark strategy we will simply hold a short
position in the VIX for the entire period from 1/4/2004 until present.
This means that on 1/4/04 we will sell one May2004 contract
and then each month, five trading days prior to expiry,
we will roll our position to the next contract month.
All transactions will be carried out at the closing price,
so for this version of the application the only relevant columns
in the prn files are the Date and Close. The contract multiplier
for VIX futures is $1000. This means that if we sell one contract
at a price of 21.52 and buy it back later at 21.24 our profit will be $280
less commission of $4.40.
Calculate the cumulative daily P/L, convert to a VAMI and then plot the VAMI (base 1000) on a chart. We also need to calculate and display a proprietary measure that I call the RAR.
Daily Profit/Loss Analyzer Software