2018 P/L year to date +40%

Robert Morse said:
In my experience, yes. If I made a lot of money buying puts in SVXY, as a new trader, then look to replicate that over the next year, I might end up giving back all my gains with buying 10 delta puts looking for a home run again.

Bob
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But wouldn't be a better question to ask how much did the guy make last year? Does it matter if he was up let's say 40% in 2017?
 
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VolAlgo1 said:
Probably should have also added that leverage was always 1:1, with a stop-loss level determined on trade entry.
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On that Stocktwits stream OP says backtested with five years' worth of data and traded for two years after that. That's a full expansionary business cycle.

1) What happens during a recession/crash?
2) That backtest shows many small wins and a few very large losses. How often are you pricing for this strat to get knocked out? This is not trivial, it determines your cash vs strat allocation. If you can only run this strat safely at 75% cash cause you get knocked out every few years, current return isn't 40%, it's 10%

But what do I know, I'm not making 40% YTD

Source: https://charts.stocktwits.com/production/original_107499511.png
 
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312 said:
On that Stocktwits stream OP says backtested with five years' worth of data and traded for two years after that. That's a full expansionary business cycle.

1) What happens during a recession/crash?
2) That backtest shows many small wins and a few very large losses. How often are you pricing for this strat to get knocked out? This is not trivial, it determines your cash vs strat allocation. If you can only run this strat safely at 75% cash cause you get knocked out every few years, current return isn't 40%, it's 10%

But what do I know, I'm not making 40% YTD

Source: https://charts.stocktwits.com/production/original_107499511.png
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Well.. he did miraculously catch the 5th Feb crash... went from dedicated short VIX in the months/year prior to long VIX that Friday.
 
Computer algorithm analyses change in volatility levels and makes appropriate trades, in VXX or SVXY, at the moment.Algorithm is automated to trade directly into account with IB in London.Stop-loss levels are also determined by the algorithm, and monitored and actioned automatically.
 
Back Testing Results
Yr P/L MaxDD Sortino
2011/12 +180% -22% +4.20
2013 +77% -20% +2.85
2014 +88% -20% +2.35
2015 +91% -27% +2.40

Live Trading Results
Yr P/L MaxDD Sortino
2016 +88% -25% +2.40
2017 +89% -18% +3.30
 
So you're basically arbing between the futures and the ETF?

What's the fill rate for the positions?
 
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