VIX Day Short 02

By Lawrence

This strategy is a day trading strategy for Emini S&P. It uses the VIX index to make its trading decisions. It is a robust trading strategy that only enters a trade within regular trading hours. It is a short only strategy.


Features

  • robust performance over 21 years
  • low frequency – only in the market 7% of the time
  • easy to manage – trades happen from 10 am to 3 pm Eastern Time only. If a trade is entered, either exit on close (4 pm Eastern Time) or closed by stop loss order
  • risk control flexibility – adjustable to personal risk tolerance
  • low overall initial capital requirement – $10,000 based on $500 day trading margin
  • annualized return at 20% based on $10,000 initial capital


Real-Time Trading Assistance

If the conditions are met, “VIX Day Short 02” will appear in Real-Time Trading Assistance window from 10:00 am Eastern Time with the corresponding price level.


Performance Summary

Historical backtesting results below. 1-tick slippage and $5 round turn commission accounted for in the testing. Results are based on data from April 1997 to June 2018.


Equity Curve

Following is the equity curve of the strategy under no stop setting over the complete backtesting period.


Monthly and Yearly Performance Matrix

Following table shows the monthly return based on initial capital of $10,000. Last column to the right is the yearly return.


Historical Trades

Can be downloaded here if you are a member.


Sign up now to gain access to the records.


Full Trading Strategy Disclosure

Full disclosure of the trading rules will be provided in upcoming Emini trading manual.


Auto Trading

Trading strategy will be made available in various platforms soon.


Periodic Performance Update

Will be provided on quarterly basis. More details will be available in the future.

  • You must be logged in to comment. Log in