VIX Trading Strategies in August

We’ve tested 17 simple strategies for trading VIX ETPs on this blog (separate and unrelated to our own strategy). And while I can’t speak for all traders, based on all of my readings both academic and in the blogosphere, the strategies we’ve tested are broadly representative of how the vast majority of traders are timing these products.

Most of these simple strategies turned in positive returns in August, making up for broad losses in July. Below I’ve shown the August and YTD results of the 17 strategies we’ve blogged about previously, trading XIV and VXX. Read about test assumptions or get help following these strategies.

20140829.01

20140829.02

The lowly VIX vs Front Month Futures strategy, one of the less effective strategies we’ve tested on this blog, turned in the month’s best return at 24% with a bit of fortuitous timing.

As I’ve noted in the past, most of these strategies have lagged YTD, mainly due to getting defensive at precisely the wrong time following volatility spikes earlier in the year. But as I’ve also noted in the past, I think the general concept of becoming defensive in the face of rising volatility is definitely still the smart play long-term.

XIV and VXX are of course not the only show in town. Below I’ve rerun the same tests, this time applying each strategy to the less popular (or is it “underutilized”?) mid-term VIX ETPs ZIV and VXZ (click to zoom).

20140829.03     20140829.04

Click to read more about all of the strategies covered in this report and to see Volatility Made Simple’s own elegant solution to the VIX ETP puzzle.

Note that 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.

Good Trading,
Volatility Made Simple


Stategies included in this report: First vs Second Month Futures, VIX vs Front Month Futures, VIX vs 1-Month Constant Maturity, VIX vs VXV Indices, V&M’s VIX:VXV Ratio, TM’s RSI(2)DFTB’s StDev Strategy, DFTB’s Spread Strategy, DDN’s Momentum Rotation, DDN’s VRP Strategy, 10/100-Day MA Crossovers, TWP’s Quadratic Fit, NAS’s VIX Futures Momentum, S&P 500 50/200-Day Crossovers, Brute Force Optimized VRP, LI’s Bollinger Band Strategy, LI’s SMA Crossovers

Posted in Real-Time Analysis.