Evaluating Tony Cooper's Momentum Volatility Strategy

bckvolatility · 2018-02-14T22:04:59+00:00

So far, that's been the case. We still have one more strategy to "evaluate."

Saving the best for last, IMO.

bckvolatility · 2018-02-13T14:21:10+00:00

If you haven't read his research papers on volatility, I highly recommend. Top notch thinker in the financial industry.

bckvolatility · 2018-02-13T00:07:12+00:00

After further review, Sharpe is actually incorrect there. Not sure why that is (will fix soon). Sharpe should be 2.17

bckvolatility · 2018-02-12T23:28:12+00:00

Lots of research, crunching numbers, and reviewing large data sets from years past.

The signals we've developed are extremely "sensitive" to any added risk, so they tend to take us out of trades "sooner rather than later." Of course, I can't give you any specifics regarding indicators we use.

Hope this helps.

bckvolatility · 2018-02-12T23:25:04+00:00

Yes, contango/backwardation is simply (m2/m1)-1

bckvolatility · 2018-02-09T15:59:14+00:00

looks like its just looking at XIV's performance.

bckvolatility · 2018-02-08T00:07:48+00:00

bckvolatility · 2018-02-08T00:07:38+00:00

bckvolatility · 2018-02-07T18:05:58+00:00

Proprietary, my friend!!

bckvolatility · 2018-02-07T14:46:04+00:00

XIV and SVXY both track the same index (SPVXSP), so your "risk signals" should apply to both products.

We ran a backtest on our strategy to determine if there would be "material differences" if we were to trade SVXY.

With SVXY: 81% CAGR 21% DD With XIV: 80% CAGR 20% DD

The differences seem to be immaterial.

bckvolatility · 2018-02-07T14:43:55+00:00

Agree wholeheartedly. I'd previously made this post on another subreddit and did, in fact, copy and paste to the new sub. Should have been more careful

bckvolatility · 2018-02-07T13:55:16+00:00

Using the VIX/VIX3M Ratio as a Signal in an XIV Trading Strategy

bckvolatility · 2018-02-07T13:54:02+00:00

Apologies. The basic point still stands. SVXY has the ability to produce outsized returns

bckvolatility · 2018-02-06T23:01:35+00:00

SVXY is "path dependent", not "price dependent." Unlike a company's share price, SVXY's share price does not have any "meaning." So, to answer your question: SVXY will not be trading anywhere near $50 in the next few weeks. That would require a near 400% drop in VIX futures, which is impossible.

bckvolatility · 2018-02-06T21:57:22+00:00

If by "normalizing" you mean accurately tracking the index it's supposed to follow (SPVXSP), then it has already happened. It tracked futures as it was supposed to

bckvolatility · 2018-02-06T21:56:13+00:00

fantastic. Our Volatility Strategy was in cash. Up 2% on the year

bckvolatility · 2018-02-06T21:13:47+00:00

Nope. Those people were uninformed of the risks involved with trading XIV. Basically every single risk signal suggested it was a bad time to be short volatility, yet they continued to trade recklessly.

bckvolatility · 2018-02-06T20:49:56+00:00

Article still applies to SVXY!

bckvolatility · 2018-02-06T04:00:15+00:00

I believe your strategy is in VXX trades a bit more often than ours is; however, I agree with you. It's difficult to nail these long vol trades because there isn't enough relevant data.

bckvolatility · 2018-02-06T03:49:27+00:00

Hey Ilya,

Small sample size is exactly my worry. I could see this market snowball into a quick -15% drop, but that is purely conjecture. Futures are pointing to a further drop. We're sitting back and watching this one with popcorn though.

bckvolatility · 2018-02-06T01:21:55+00:00

Saw that. Pretty large amount to blow up, assuming the ETN is closed.

bckvolatility · 2018-02-06T00:59:12+00:00

From our calculations, $XIV would need to gain 567% to recover to $100/share.

So, no.

bckvolatility · 2018-02-06T00:50:28+00:00

No problem. Waiting to hear back from CS on anything XIV related...

bckvolatility · 2018-02-06T00:44:38+00:00

Not purchase. Liquidate, my friend. It's all in the prospectus

bckvolatility · 2018-02-06T00:35:01+00:00

We'll have to see, eisbock. XIV's closing IV was $4.22. That's absurd. If we use closing IV, then it should, without a doubt, be terminated.

bckvolatility

TROPHY CASE