The secrets behind my best strategy for VIX - VIXTrader

RobinsonG said:
See here all the trades and statistics for both strategies.. Around $6M$ is invested through these strategies at the moment..

1.VIXTrader:
https://collective2.com/details/106901765

2. VIXTrader Professional:
https://collective2.com/details/106600099
More...
I click your links, and what I get is your stats, plus this little blurb...

"These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that..."

Etc ad nauseum. Are you live, or Memorex? Just post your statements from your live broker. I do it in my journal. Why don't you do it in yours? Are you sim?
 
Overnight said:
I click your links, and what I get is your stats, plus this little blurb...

"These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that..."

Etc ad nauseum. Are you live, or Memorex? Just post your statements from your live broker. I do it in my journal. Why don't you do it in yours? Are you sim?
More...
See here what some of the users tell about the strategies..
I am speaking here about real money of course.. This is just a regular warning..

https://forums.collective2.com/t/my-best-strategy-for-vix-vixtrader/9048/56
 
FWIW, there have been some fairly large VIX spikes over the last two years:

SDate Close prevClose absChange
===== ===== ========= =========
20160624, 25.76, 17.25, .401010758
20170517, 15.59, 10.65, .381069791
20170810, 16.04, 11.11, .367239999
20160909, 17.5, 12.51, .335672556
20170424, 10.84, 14.63, .299831219
20170817, 15.55, 11.74, .281058824
20161109, 14.38, 18.74, .264821925
20160628, 18.75, 23.85, .240590465
20170814, 12.33, 15.51, .22944966
20160613, 20.97, 17.03, .20811635

Also, the $6 million traded on these strats likely
refers to the notional traded by his C2 subcribers.

I don't see any secrets in the RobinsonG's posts
so far. The real secret is that his income comes
from C2 subscription fees and that his original
post is a thinly disguised advert for his C2 systems.

Query that generated the figures above:

SELECT SDate,Close,
LAG(close,1) IGNORE NULLS OVER (ORDER BY SDate) AS prevClose,
abs(ln(Close/LAG(Close,1) IGNORE NULLS OVER (ORDER BY SDate))) AS absChange
FROM Indices WHERE SDate > '20151020' AND Symbol = 'VIX' AND Source = 'BDHIX'
ORDER BY absChange DESC FETCH FIRST 10 ROWS ONLY;
 
Overnight said:
Yes, dear. 50%+ drawdown...eeeks! You folks have balls as big as church bells.
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Where do you see 50% DD? :)
 

Attachments

  • VIXTrader 1.2009 - 10.2017.png
    VIXTrader 1.2009 - 10.2017.png
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Overnight said:
Yes, dear. 50%+ drawdown...eeeks! You folks have balls as big as church bells.
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Where do you see 50% DD? :)
d08 said:
That's not how you test. I don't know where to begin with you, I suspect reality will teach you soon. Hint: testing one instruments for 2 years is completely worthless unless you're doing HFT with 100 000+ trades.
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You wrote: "I suspect reality will teach you soon".. By Soon you mean tomorrow, next week, next month, next year or even 5 years from now? :)
I do not have the ability to see the future.. When the time will come and the volatility will increase, I expect to see the performance increase as well..

Let me clarify: The strategies based on ETNs, Indexes, Options and Futures data since 1.2009 and made thousands of trades..


VIXTrader back test and live results since 1.2009:

VIXTrader 1.2009 - 10.2017.png
 
RobertPeterson said:
Where do you see 50% DD? :)

You wrote: "I suspect reality will teach you soon".. By Soon you mean tomorrow, next week, next month, next year or even 5 years from now? :)
I do not have the ability to see the future.. When the time will come and the volatility will increase, I expect to see the performance increase as well..

Let me clarify: The strategies based on ETNs, Indexes, Options and Futures data since 1.2009 and made thousands of trades..


VIXTrader back test and live results since 1.2009:

View attachment 178924
More...

I'd say within a year. No-one has the ability to see the future but you should definitely test it on data from 2008, you can generate synthetic data based on the VIX index even if you don't have real trade data available - it will be a good enough approximation.
 
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%

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..
More...

I am not familiar with the instrument. I would like to know how much of leverage you are using?
 
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