Yesterday’s selloff triggered the RSI(2) strategy from our previous post at the close, long 1/6 (17%) XIV. An additional down day in XIV will trigger an increase in position size to 50%.
I mention it here because we just recently tested the strategy. Recall the backtested results from our previous post:
There are relatively few trades to consider, but so far this strategy has done a good job picking short-term bottoms in XIV and other inverse VIX ETPs (but my misgivings re: trading VIX ETPs using a Martingale strategy most definitely apply).
When the strategies that we cover on our blog (including this one) signal new trades, we include an alert on the daily report sent to subscribers. This is completely unrelated to and separate from our own strategy’s signal; it just serves to add a little color to the daily report and allow subscribers to see what other quantitative strategies are saying about the market.
Volatility Made Simple