Below you will find several back test results to compare the performance of $VIX, VX futures, VXX and VXZ.
The setups are all based on the $VIX after a stretch of x% above or below the 10 day moving average. For the exit I used a time based exit of 1 and 5 days. The tests were conducted from the beginning of VXX and VXZ trading history, March 2009 to present April 2011.
In this back test I show the performance results of buying the $VIX, VX futures, VXX, VXZ after the $VIX has closed 5%,10% and 15% BELOW its 10 day moving average. The exit was a 1 day and 5 day time based exit.
Performance results of Buying after a stretch of x% below the 10 day ma on $VIX then selling in 1 or 5 days
In this back test I show the performance results of shorting the VX futures, VXX, VXZ after the VIX has closed 5%,10% and 15% ABOVE its 10 day moving average. The exit was a 1 day and 5 day time based exit.
Performance results of shorting after a stretch of x% above the 10 day ma on $VIX then covering in 1 or 5 days
The S&P has more than doubled during the March 2009 to April 2011 period of this test, so its not surprising that the Short positions made more money and average move of all periods was negative.
Based on the test results I think that the VXZ would make the best trading vehicle to capture up moves in the $VIX from the long side. And the VXX would make the best trading vehicle to capture down moves in the $VIX for short trades.
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.
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1 comments:
WTF.
Where'd the babe postings go? Reading about the market while seeing hotties was awesome.
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