CBOE Volatility Index Trading (VIX) Strategy Backtest

October 7, 2010

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Source : unsure, dates tested unsure
VIX Strategy 1 (Simple)
 

1. The VIX makes four higher closes in a row.
2. Short the VIX on the close (buy puts).
3. Cover when the 2 period RSI of the VIX closes below 25.

Here are the results based upon the price of the VIX:
Number of trades 56
% profitable 89.3%
Avg. gain per trade 6.38%
Avg. hold 5.3 trading days

VIX Strategy 2 (Advanced)
1. The SPY’s are above the 200 day moving average. This tells us
the market is still in a longer term uptrend
2. The 2 period RSI of the SPY is under 30. This tells us that the
stock market is likely oversold and due for a bounce.
3. The 2 period RSI of the VIX is above 90. This tells us that the VIX
is overstretched versus where its recently been and fear is in the
market place.
4. Today’s VIX opening price is above yesterday’s close. This tells
us that the fear has gotten even greater.
5. Buy puts on the VIX on the close.
6. Exit when the 2 period RSI of the SPY is greater than 75. This
usually occurs after a healthy market rally when fear has
disappeared.”

Here are the results based upon the price of the VIX:
Number of trades 87
% profitable 88.51%
Avg. gain per trade 5.93%
Avg. hold 5.9 trading days

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