This VIX system is designed for timing both long and short trades in the VIX futures, VIX options or buying / selling volatility in the S&P index or stocks. And most importantly as an indicator to time the direction of the S&P This model gets long or short based on a proprietary quantitative algorithm. You will notice from the performance report that this system trades about 40 times a year, the average trade lasts 4.8 days. This system is invested in the VIX roughly 3/4 of the year and the average annual return has been 259% the Maximum peak to trough drawdown is -82%. The average trade predicts a 3.8% move in the index, wining trades have averaged 8.6% and losing trades have declined on average -5.9%. The worst year was a positive 53% return in 1992 and the best year was a positive 1,115.59% return in 1998.This system would have turned a $100 account into $3,247,463,646,035 without using any leverage. The system entry’s are market on close and exits will be based on an opposite signal, time based or a progressive profit taking mechanism, all next day orders will be emailed out the night before and posted to the website.
Below is a hypothetical equity curve of trading our VIX model using the VXZ for longs and VXX for shorts. This model would have turned $1,000 into $4,345 which is a 103% annualized return. All entry and exit signals were made public up until February 24th, you can see the list of trades here.
The performance report is based on trading 1 share of the VIX index, click to enlarge.