First, we have the hypothetical results using the daily indicators values in our model simulations (using ~100% equity on trades and assuming zero trade commissions). Here is the daily equity curve of all indicators, compared to XIV (buy-and-hold):
As you can see, the YTD performance of our indicators using hypothetical models has come down a bit since our update in July and subsequent peak on September 7th. Despite this lull, 2016 has been a very good year for us. Through November, the performance now sits at:
- VRP+VXX Bias: +82%
- VXX Bias: +122%
- VRP: +7%
For reference, 2016 performance of the publicly-traded "short volatility ETN" (ticker: XIV) and the "long volatility ETF" (ticker: VXX) are at:
- XIV (buy and hold): +69%
- VXX (buy and hold): -65%
Auto-Trade Performance on Collective2
We have tracked our actual trades and performance on Collective2's site since February 2016 (links: VRP+VXX Bias & VXX Bias). Our VRP+VXX Bias and VXX Bias indicators and both 100% automated algorithms which send signals to Collective2's platform for auto-trade execution in our trading account and performance tracking.1
From launch (February 2016) through November, performance on the auto-trade systems sit at:
- VRP+VXX Bias: +65%
- VXX Bias: +83%
- VRP: (not auto-traded)
As of last week, the current cumulative returns for our strategies auto-traded on Collective2 will be updated daily on our Strategy Page.
Compared to the indicators' historical record, 2016 is currently sitting around average for the year. Also posted on our Strategy Page, we have the monthly and annualized statistics for each of our strategies compared to XIV (buy-and-hold):- VXX Bias: +83%
- VRP: (not auto-traded)
As of last week, the current cumulative returns for our strategies auto-traded on Collective2 will be updated daily on our Strategy Page.
Trading Volatility+ subscribers have access to our VRP and VXX Bias indicators, our intraday indicator data, receive emails with preliminary and final change alerts for each of the indicators as well as our daily summaries, and interact with our private community of volatility traders in the forum. If interested, you can learn more about our services on our Subscribe page.
As always, each day's indicator values, buy/sell triggers, trade performance summary, and equity curves are tracked in the spreadsheets linked at the bottom of our Subscribe page. Additional information on our trading strategy and indicators can be found on our Strategy page.
1Note: As mentioned in our previous post, you will find differences between the ideal/hypothetical indicator performance and actual trading performance for the following reasons:
- The VRP+VXX Bias indicator ("Trading Volatility 1" on C2) was launched on C2 on Feb 2, 2016.
- The VXX Bias indicator was launched on C2 on Feb 19, 2016
- Both C2 systems traded only 72%-80% of portfolio equity until April 1. After April 1, both C2 systems trade at ~97.5% portfolio equity (the ideal/hypothetical model portfolios trade at 100% equity).
- The ideal/hypothetical performance does not account for trade commissions or subscriptions costs.
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Hypothetical and Simulated Performance Disclaimer
The results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. Hypothetical and backtest results do not account for any costs associated with trade commissions or subscription costs. Additional performance differences in backtests arise from the methodology of using the 4:00pm ET closing values for XIV, VXX, and ZIV as approximated trade prices for indicators that require VIX and VIX futures to settle at 4:15pm ET.
