Note I still have some blanks to fill out and a few things to
adjust, but the data is now mostly here. I went back to 2011
only because XIV starts in mid 2010. Also I found that buying
XIV is not the best option whenever the VIX is > 28, therefore
in it's placed I used the UPRO (3X SPY ETF) as the XIV greatly
under performs when the VIX is too high, UPRO outperforms in these
cases. For most shorts I used VXX, however one could short XIV (the
returns are very similar. I also used SPXU in a few cases
when the VIX was too high. Also I may decide to add a profit
target to XIV as there are examples where XIV is up say 60% but by
the time the trade closes out XIV would be 30 - 40% - there's no
reason not to take something off the table when you have 60 - 70%
gains LOL - that would further increase the gains. You can also see
that I took the time to include the intra trade max drawdown for
the trades because remember
there's no free lunch, you don't get 4 - 6 times the
gains without added risk/drawdown. XIV is a very volatile
instrument, and the drawdown could be much higher if the market has
a major sell out out of norm. You could potentially see draw downs
of 30 - 50% or more!! I'm not a financial adviser and cannot
suggest what you do, however for me I would only use a
greatly reduced position size when trading XIV, I would not use the
same amount of capital in XIV that I use in SPY, not even 1/2 or
even 1/,3, maybe 10 - 15%. Realize XIV is a very
volatile instrument and should be carefully considered when
considering position size
Also very important! I treat each trade entry as an
individual trade! What I mean by this, you can see the 2nd system
entries are noted however I'm NOT using the 60/40 segregation.
I'm simply computing the gains for each trade. This is
the best way honestly to look at the trades - 1st and 2nd entries
should be look at as their own trades.
I plan to add this data to the SPY system section later this
week, however I thought you would like a preliminary look.
Preliminary SPY system and XIV (UPRO, VXX etc) data
Posted by matt on 30th of Oct 2017 at 01:10 pm
Note I still have some blanks to fill out and a few things to adjust, but the data is now mostly here. I went back to 2011 only because XIV starts in mid 2010. Also I found that buying XIV is not the best option whenever the VIX is > 28, therefore in it's placed I used the UPRO (3X SPY ETF) as the XIV greatly under performs when the VIX is too high, UPRO outperforms in these cases. For most shorts I used VXX, however one could short XIV (the returns are very similar. I also used SPXU in a few cases when the VIX was too high. Also I may decide to add a profit target to XIV as there are examples where XIV is up say 60% but by the time the trade closes out XIV would be 30 - 40% - there's no reason not to take something off the table when you have 60 - 70% gains LOL - that would further increase the gains. You can also see that I took the time to include the intra trade max drawdown for the trades because remember there's no free lunch, you don't get 4 - 6 times the gains without added risk/drawdown. XIV is a very volatile instrument, and the drawdown could be much higher if the market has a major sell out out of norm. You could potentially see draw downs of 30 - 50% or more!! I'm not a financial adviser and cannot suggest what you do, however for me I would only use a greatly reduced position size when trading XIV, I would not use the same amount of capital in XIV that I use in SPY, not even 1/2 or even 1/,3, maybe 10 - 15%. Realize XIV is a very volatile instrument and should be carefully considered when considering position size
Also very important! I treat each trade entry as an individual trade! What I mean by this, you can see the 2nd system entries are noted however I'm NOT using the 60/40 segregation. I'm simply computing the gains for each trade. This is the best way honestly to look at the trades - 1st and 2nd entries should be look at as their own trades.
I plan to add this data to the SPY system section later this week, however I thought you would like a preliminary look.
Looks great...thanks for your hard
Posted by electricjmr on 30th of Oct 2017 at 01:19 pm
Looks great...thanks for your hard work!
well done
Posted by law6 on 31st of Oct 2017 at 03:45 pm