All Strategies in Alignment, What Next?

As of yesterday’s close, all 11 of the simple strategies that we’ve previously covered on this blog (1) are now long inverse VIX ETPs like XIV and ZIV.

I thought that universal agreement was worth mentioning as it’s the first time it’s happened since we began maintaining this blog, but historically it wouldn’t have been that uncommon. Since mid-2004, all 11 strategies would have agreed long XIV/ZIV about 26% of the time.

How would a trader have performed trading XIV only when all 11 strategies were in agreement? Pretty well given how little time was spent in the market. See backtest below in blue, versus buy & hold in grey, from mid-2004 to present (read about test assumptions):

20140513.01

Need help following these strategies?

When the strategies that we cover on our blog signal new trades, we include an alert on the daily report sent to subscribers. This is completely unrelated to our own strategy’s signal; it just serves to add a little color to the daily report and allows subscribers to see what other quantitative strategies are saying about the market.

Click to see Volatility Made Simple’s own elegant solution to the VIX ETP puzzle.

Good Trading,
Volatility Made Simple


(1) The revised TM RSI(2) strategy was not included as one of the “11 simple strategies” because of how infrequently it trades. If we were to include the RSI(2) strategy, the number of days when all strategies agreed would be reduced to just 1% of days.

Posted in Real-Time Analysis.