Summary of Blogged Strategies (Sample)

This is a summary of the current position for key strategies that we’ve blogged about, sorted from most to least effective historically, based on their Sharpe ratio, Ulcer Performance Index, and recent returns. Strategies marked with “(!)” changed position at the close. Click on any strategy to learn more about trading rules and past performance.

Note that these strategies are unrelated our own strategy’s signal; they just serve to add a little color to our daily report, and allow subscribers to see what other quantitative strategies are saying about the market.

Click to see the most recent daily signal sent to subscribers, or to modify your membership.

Strategy
Position at close on 01/12/15
100% Cash
100% Inverse Vol (XIV/ZIV)
100% Inverse Vol (XIV/ZIV) (!)
100% Inverse Vol (XIV/ZIV)
100% Cash
100% Inverse Vol (XIV/ZIV)
100% Cash
100% Inverse Vol (XIV/ZIV)
100% Long VXX
100% Cash
100% Cash
100% Inverse Vol (XIV/ZIV)
100% Cash
100% Long Vol (VXX/VXZ) (!)
100% Cash
100% Cash (!)
100% Inverse Vol (XIV/ZIV)
100% Cash
100% Long Vol (VXX/VXZ) (!)
100% Long Vol (VXX/VXZ) (!)
100% Cash (!)
100% Long Vol (VXX/VXZ) (!)