The secrets behind my best strategy for VIX - VIXTrader

newwurldmn said:
The theme of my post was
1. You didn't return 100% (which is what C2 says). If you did, please explain how my math is wrong based on the C2 trade export which showed 28,000 dollars of profit and consistent position sizes up to 300k and generally between 50-100k.

2. You are in the market like 80% of the days and you are long XIV like 95% of those days. But you underperformed buy and hold XIV by a lot. In fact to mimic your end return, one only needed to buy $10,000 of XIV while you spend a third of the time period long $300,000 worth of XIV. It's reasonable to compare your strategy to a buy and hold XIV because that is what you did 80% of the time and your strategy massively underfperformed that.

3. The question is if the other 20% of the time (and the pnl it cost you to be out of the market) worth the protection? You haven't had a chance to show that it does yet, but you are significantly behind your benchmark as of now.

Personally, I wouldn't be bragging about these returns because
1. you haven't been able to demonstrate the strategy protects in a vol spike.
2. your returns against the capital deployed isn't very high.

You can argue that your drawdowns are great, but if you have significantly lower returns then you have to scale up the strategy and thus increase the risk, so what's the point?
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Ok. Lets try to clarify for you all the misunderstanding points:

1. The strategy DID more than 100%. See the performance and the trades. Do simple mathematics.. You need mathematical skills as my daughter has. She was 10 years old when she learned percentages :)..If you scale to 100% this is what you will get. 100% scaling means copy all the trades exactly in your account with the same ratio.. No margin play here..
If you still do not understand that you are more than welcome to send email to C2 support and I am sure that you will receive the same answer..

2. Again, you still do not understand the strategy. The idea is not to be in XIV..Not at all..The idea is to manage the risk of volatility.. Being in XIV all the time is more like a gambling..
Still you are trying to trade the past.. :)

Please do some homework if the strategy is interesting to you.. Look the trades and the VIX and then we can talk.. :thumbsup:
 
Maybe you answered this in the prior seven pages, but do you trade a model (real $) account with this strategy? If not, why not?
 
sle said:
I am pretty certain when SPX futures where limit down at the open in August 2015, VIX was up more than 32% (it closed up 40ish from a mid 20 handle, if my memory serves me right) - can’t verify it because I am on my cell phone.

Anyway, the key argument is that all your efforts to control drawdowns are meaningless considering the life span of the strategy (recall my post regarding the relationship of the driving moment of distribution to statistical significance).
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32%. No more.. Check again..
 
truetype said:
Maybe you answered this in the prior seven pages, but do you trade a model (real $) account with this strategy? If not, why not?
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You did not read the thread from the beginning :) Of course I trade my strategies.. Both of them to reduce the DD..
 
RobertPeterson said:
Ok. Lets try to clarify for you all the misunderstanding points:

1. The strategy DID more than 100%. See the performance and the trades. Do simple mathematics.. You need mathematical skills as my daughter has. She was 10 years old when she learned percentages :)..If you scale to 100% this is what you will get. 100% scaling means copy all the trades exactly in your account with the same ratio.. No margin play here..
If you still do not understand that you are more than welcome to send email to C2 support and I am sure that you will receive the same answer..

2. Again, you still do not understand the strategy. The idea is not to be in XIV..Not at all..The idea is to manage the risk of volatility.. Being in XIV all the time is more like a gambling..
Still you are trying to trade the past.. :)

Please do some homework if the strategy is interesting to you.. Look the trades and the VIX and then we can talk.. :thumbsup:
More...

Here is my analysis. If you are interested, please look at it and tell me where I am wrong.
 

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RobertPeterson said:
The data for 2008 is not exists.. Look at 2011 how the strategy behaved when the VXX jump 300%.. One of the best year of the strategy..
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2008 was quite different from 2011. I'm guessing you weren't trading back then, that's why you assume these years are comparable.
 
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