The secrets behind my best strategy for VIX - VIXTrader

RobertPeterson

RobertPeterson

In December 16, 2016 I wrote this:

"Few weeks ago I have started here my best overnight strategy for VIX instruments.
I trade it in the last 2 years and it looks great in almost every aspect, especially if you look at the risk - adjusted returns and the profit factor which come to 4.
Money management is strictly applied and the DD should be low according to my live and simulated trading.

Hope you enjoy VIXTrader as I do."

Now, after a full year of trading the 2 strategies did exactly as planned:

VIXTrader: 115%, DD 7.6%
VIXTrader Professional: 164%, DD 13.4%

Now is the time to reveal what are secrets behind the model..

Here are the rule I tried to follow:

1. Trade as many strategies as you can on the same symbols to reduce the volatility and the risk.
2. Trade Long and Short. You never know what will be better in the future.
3. Trade the symbols from any levels of data.. Tick, 1 minute, 5 minute, 15 minute and so on until the weekly data. The market can change any minute or any week..
4. Change position immediately from Long to Short and vise versa without any hesitation. Try to trade automatically to eliminate second thought..
5. Run strategies which will tell you at any moment what is the current risk..
6. Run these strategies under strict Risk and Money management to control the most important thing: The risk.
7. Change the exposure to the market immediately if the risk changed. Very important!
8. Use Stop Loss. Obvious, right?
9. Take Profit. This is the main reason why we are here..
10. Let others to enjoy from your ideas and trade the system as well..This will makes you very responsible..It is a great joy to hear from other people what they think about your work..
 
Is this a live strategy at least? For a risk premium product, 2 years is a pretty short period and therefore there is very little statistical significance to your results. Think of it, you are a récipient of the first moment at the expense of shorting the third and fourth ones.

If you have free parameters or introduced “additional strategies” which are frequently free parameters in disguise, there is a whole question of back fitting on a sparse set of data (again, see above about the moments).
 
This is my question.. what is your risk of ruin when you take 2 years of data and trade vol with it... Pick the last two years. You could only make those returns by standing on a very short vol strategy without protection.... (With exceptions) that same strategy has you blown out though a 2007-2009 window..
 
sle said:
Is this a live strategy at least? For a risk premium product, 2 years is a pretty short period and therefore there is very little statistical significance to your results. Think of it, you are a récipient of the first moment at the expense of shorting the third and fourth ones.

If you have free parameters or introduced “additional strategies” which are frequently free parameters in disguise, there is a whole question of back fitting on a sparse set of data (again, see above about the moments).
More...
I speak about Live trading..
 
cdcaveman said:
This is my question.. what is your risk of ruin when you take 2 years of data and trade vol with it... Pick the last two years. You could only make those returns by standing on a very short vol strategy without protection.... (With exceptions) that same strategy has you blown out though a 2007-2009 window..
More...
You can protect against black swan with Call OTM options during the year with a cost of 15% of the profits..
 
RobertPeterson said:
In December 16, 2016 I wrote this:

"Few weeks ago I have started here my best overnight strategy for VIX instruments.
I trade it in the last 2 years and it looks great in almost every aspect, especially if you look at the risk - adjusted returns and the profit factor which come to 4.
Money management is strictly applied and the DD should be low according to my live and simulated trading.

Hope you enjoy VIXTrader as I do."

Now, after a full year of trading the 2 strategies did exactly as planned:

VIXTrader: 115%, DD 7.6%
VIXTrader Professional: 164%, DD 13.4%
More...

Some sound trading points. Over how many trades did you achieve those stats?
 
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