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I never saw this - @aum108 & the guys at EliteTrader absolutely nailed it.
I think because a lot of the gain (I’m sure this could be quantified) of XIV comes from close to open. Stats would probably be remarkably different if it were market open to close only.
You are correct about overnight gains. In rough terms and stopping at the end of January 2018, returns including overnight (ie, close to close daily returns) gives approximately a 43% CAGR since XIV inception, whereas day only (open to close daily returns) gives about 30% CAGR.
aum108 asked:Are you going to use Options to hedge in the Future?
The answer is no and yes…
No; Options are not the best answer to manage the risk… It cost you a lot and 99% of the time you do need need them and they will not give you the best cover to the risk…At the most, options are good only for Saturday and Sunday…
The answer as I see it is to buy Futures ONLY when the risk is increasing during the sessions… Simple as that.
This strategy will be an integral part of every VIX strategy I manage.ץ
I Agree Charles. I think that is one of the main problems of individual investors.
I see you recently started shorting VXX without any protection in VIX professional kinda risky no?
Due to the recent changes and after I received the approval from my partners, I made a number of changes whose aim is to try to maintain the performance that the system can produce and enable anyone who wants to invest in the market differently.
You can see below the current options to connect to my system:
Long positions
Short positions
Long and Short positions
It is very important that you will do a money management to your own funds before you take any decision. You must feel convenience with the DD before you feel convenience with the performance 
is the VIXTRADER SVXY long only ?
Yes…
Thanks OSUTAI!
Yes…
I didn’t see you question…Sorry… 
What is happening this year in the world of volatility trading which has not happened in previous years and is causing the returns of my strategies to fall from 80% to 100% a year to zero 
and even negative returns?
Well, what is happening is that at the beginning of February, for the first time in the history, we saw a sudden increase (100%) in the VIX and the erosion of the XIV symbol due to the tail and dog phenomenon, all within a few minutes. This resulted in a significant change in trading systems and impacted almost any volatility strategy…
What actually happened to the volatility trading systems?
What happened was that the trading systems of the large institutional investors and hedge funds that were trading at the time and did not foresee that the volatility was in front of a significant movement, actually lost most of their investments money… When they returned to trade volatility after the event, they adjusted the systems in such a way that they will react more quickly to S&P 500 in order to avoid a similar loss as much as possible if it will happen again…
This change created new “noises” in the market that was not exist in the past…
The question before us, therefore, is whether it is still possible to profit from trading volatility, even in the current situation…
Well, in my opinion, it is possible to profit from such a market only if the strategy takes into account this phenomenon and knows when and how to respond to the “noises”…
After many tests in real data, my strategies VIXTrader and VIXTrader Professional are starting to work today after adaptation to this current market situation and to the “noises”…
This means that the systems are expected to produce less signals than usual and at the same time ignore “noises” with a success rate of 60-80%.
In retrospect, the results of the last few years were very similar to the actual results obtained in the live trading of the strategies prior to the change in them, while the DD was larger by 2% -3% than usual. By using risk management and money management, the DD in the future is expected to be similar to today…
I think that most of the volatility trading strategies will have to adapt to the new market conditions otherwise they will not be able to produce significant positive returns over time or may find themselves in a large DD…
Interestingly, the performance of optimizations for volatility strategies that have worked successfully in the past years are not generating significant profit this year… This shows that this year is really different from previous years…
As usual, the most important is not to lose money and according to this principle, I will continue to mange my strategies…
Good luck!
@RobertPeterson, you are correct that this year the markets have changed characteristics! As always its very difficult to know in advance what type of market we will get and the only thing we can do is weather the storm and try to eke out profits.
Potentially every season/year can usher in a new type of market. Systems that are robust enough should be able to handle most type of storms.
Even systems that have traded for 10 years can suddenly implode if its not able to adapt.
You could argue that 2015, or any crazy year for that matter, if your system is robust enough it should be able to handle the different environments, of course something fundamentally might completely change and you’ll have to change the system but that hasn’t occurred everyone is still back to shorting Vol like their lives depend on it.
Most systems are based on contango levels, so those might suffer given they have specific levels they take trades at, but again if your system is robust enough it should of handled everything, my system was short vol on that day, than intraday it switched and went long, and made a killing. I haven’t touched or changed anything to it, and it performed well this year as compared to other years too.
YTD 69% -15% DD
2017 43% -10% DD
2016 42% -16% DD
2015 100% -13% DD
2014 20% -14% DD
2013 43% -1 3% DD
50% or so came from the Feb blow up, and the other 30% since then, again it’s always good to adjust your strategies if they aren’t working as intended anymore, or you just need to make them more robust, without curve fitted parameters.
I wish luck to all you VIX traders. I played around with VIX systems years ago as well.
After Feb 2018 “volocaust” I realized the VIX can be manipulated pretty easily, Not just the VIX itself but the VIX Futures, with large trades placed at just the right times (like in Feb 2018), which will obviously warp the underlying ETFs/ETNs.
I will never again play with any of these instruments. Happy hunting to those who do!
just a SUPERB SYSTEM
This strategy looks great again. I’m considering enrolling.
What do you think? Is it a good idea?
