New Subscriber Feature: Tracking Blogged Strategies

When one of the key strategies we test on our blog signals a change, 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.

But keeping track of all of these strategies can be difficult, especially as we continue to blog and add new studies, so we’ve launched a new feature for subscribers: a summary of all blogged strategies.

We sort the strategies from most to least effective historically, based on Sharpe Ratio, UPI, and recent returns, then color code them by current position, and denote when that position changes. Yesterday’s summary would look as follows. Note the greater caution being shown by the better-performing strategies.

Strategy
Position at close on 04/21/14
50% Inverse Vol (XIV/ZIV)
100% Inverse Vol (XIV/ZIV)
100% Long ZIV
100% Cash
100% Long Vol (VXX/VXZ)
100% Cash
100% Inverse Vol (XIV/ZIV)
100% Inverse Vol (XIV/ZIV)
100% Inverse Vol (XIV/ZIV)
100% Inverse Vol (XIV/ZIV)

The report is not perfect. For example, it’s too heavily weighted at the moment in strategies that key off of the futures term-structure (ex. comparing first and second month VIX futures), but that will change over time as our blog fills out and I continue to tick blog posts off of my long to-do list.

To receive daily updates to our strategy (as well as this handy dandy summary of all blogged strategies), subscribe for as little as $1 a day.

Good Trading,
Volatility Made Simple

Posted in Other Goodies.