Posted by sbaxman111 on 10th of Aug 2016 at 11:11 am
By applying the new back tested Spy Pro signals for 2016 I
have calculated the following YTD results:
200% long/short RUT mutual funds are up +67.3% with two
negative trades. If NO leverage is used, the % result is half of
this amount.
A combination of XIV/VXX trades is up +249.2% YTD with no
negative trades.
I used 100% all in on each first trade date and didn't
apply any scale in factor to these trades. Of course XIV/VXX is NOT
for a lot of traders given the day to day roller coaster
volatility. I also used the closing prices for XIV/VXX on exit days
instead of the opening price.
Posted by sbaxman111 on 10th of Aug 2016 at 07:40 pm
jjj2016 - Using the 200% Rydex L/S RUT funds as my
trading investment, I have calculated the hypothetical returns of
the newly listed and back tested trade dates for Spy Pro. Winning
trades since 1-1-08 take place approximately 75% of the time with
no other technical indicators applied to these signals. No leverage
used would simply be half of the stated amounts. The hypothetical
SPY results can be found on the new SPY PRO page for
comparison.
A starting balance of $10,000 in a tax free or tax deferred
account on 1-1-08 would have hypothetically compounded to
$15,226,912 - an annualized return of 133.88% and would have spent
far less time in the market than buy and hold. Without the use of
leverage this model would have compounded $10,000 on 1-1-08 to
$7,618,456 as of 8-10-16. I think it's interesting to recognize
that the financial crisis and excessive volatility has actually
been a good time to employ this strategy. Extremely low volatility
for most of 2014 resulted in only a modest gain.
Depending on the size of your account, using index etf's to
execute trades may certainly be less expensive to trade than the
funds that I like. The funds I use do have unlimited "free" trades
and no T-3 limitations.
New Spy Pro trade dates
Posted by sbaxman111 on 10th of Aug 2016 at 11:11 am
By applying the new back tested Spy Pro signals for 2016 I have calculated the following YTD results:
200% long/short RUT mutual funds are up +67.3% with two negative trades. If NO leverage is used, the % result is half of this amount.
A combination of XIV/VXX trades is up +249.2% YTD with no negative trades.
I used 100% all in on each first trade date and didn't apply any scale in factor to these trades. Of course XIV/VXX is NOT for a lot of traders given the day to day roller coaster volatility. I also used the closing prices for XIV/VXX on exit days instead of the opening price.
Very interesting. But how does
Posted by jjj2016 on 10th of Aug 2016 at 11:31 am
Very interesting. But how does it hold up against using the SPY on years past?
New Spy Pro trade dates
Posted by sbaxman111 on 10th of Aug 2016 at 07:40 pm
Thanks sbaxman
Posted by stevieb294 on 11th of Aug 2016 at 07:18 am
"I think it's interesting to recognize that the financial crisis and excessive volatility has actually been a good time to employ this strategy."
I think that might be true of most of Matt's strategies. Witness the recent Brexit trade on the ES system.
So you used RUT mutual
Posted by magann14 on 10th of Aug 2016 at 11:21 am
So you used RUT mutual funds for the long trade and VXX on the short trade?
New Spy Pro trade dates
Posted by sbaxman111 on 10th of Aug 2016 at 11:25 am
Nope - I used RUT L/S funds for one calculation and XIV/VXX for the other.