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I backtested it from Mar 2004 - Oct 2011. Been running it live since then. But yes, I am a "noob". Gotta start somewhere man.

-Automated backtest. In the sense that I came up with the criteria and then ran it against past data to see what the cumulative results would be. (what would a manual backtest be?) -Typical trade is at market close, once a day - buy & sell a couple VIX futures contracts each day (or some days...

Backtested a trading system that trades an index only three ways, 100% long, 0% (out of market) or 100% short from 2004-2011. This system returned 80% annualized with a 60% standard deviation over that period. Are those GOOD results? Would you could consider this just data-fitting or...

I was curious if anyone here knew what the trading costs were to set up an OTC note on a semi-weekly basis around an index. Just looking for a ballpark figure. Looking to get in/out of these notes sometimes once every 3 months, sometimes every other day. Thanks for any help.

They don't follow the spot VIX, they follow the 1m VIX futures - so they will not follow the VIX. They also suffer/profit from contango/backwardation from time to time.