Posted by sbaxman111 on 31st of Mar 2016 at 05:24 pm
Someone
sent me an "opportunity" to listen to a webinar on trading VIX
etn's. I haven't listened to much yet but it got me to thinking
about the correlation of the SPY market to VIX.
Before I
listened to a lot of the recording, I decided initially to
substitute the volatility etns for the leveraged L/S RUT funds that
I normally trade for Spy Pro signals....so, XIV for Long trades and
VXX for short trades and there is no leverage used here for these
two etn's and they have a lot of daily volume to trade off
of.
Just using the Spy Pro Long
trades alone, that would be up +16.42% YTD and it has only been in
the market for 13 days YTD. That would seem to satisfy a lot of my
friends who spend all year IN the market trying for their 6-8%
returns.
Using both the Long and Short
Spy Pro trades so far in 2016, that would be up +23.106% YTD as of
today's close. So far you would have been in 26 of the possible 61
trading days in 2016. Just a tad less "BETA" than buy and
hold.
Trading just the 200% RUT
funds for long only Spy Pro trades would be up a little more than
9.4% (est NAV for today) Trading both L/S RUT funds would up a
little more than 5% YTD - the 2-17 to 2-29 Short trade was a loser
for the RUT funds.
So, it will be interesting to
see what previous year's Spy Pro signals would produce using XIV
and VXX instead of the index funds.
XIV & VXX in 2016 using Spy Pro signals
Posted by sbaxman111 on 31st of Mar 2016 at 05:24 pm
Someone sent me an "opportunity" to listen to a webinar on trading VIX etn's. I haven't listened to much yet but it got me to thinking about the correlation of the SPY market to VIX.
Before I listened to a lot of the recording, I decided initially to substitute the volatility etns for the leveraged L/S RUT funds that I normally trade for Spy Pro signals....so, XIV for Long trades and VXX for short trades and there is no leverage used here for these two etn's and they have a lot of daily volume to trade off of.
Very interesting research sbaxman11, thank you for sharing
Posted by nabanco98 on 31st of Mar 2016 at 09:14 pm