I´m proud to present my strategy of trading volatility to you. As you will notice the strategy is very young on C2 so I don´t expect anyone to join soon. In fact I started the strategy before an expected drawdown so you get some real information about a bad period. This is the most important information about a system in my opinion so that´s why I didn´t hold on until that period is expected to be over.
I´m sending the trade signals from my broker account so the system is 100% TOS from the very beginning. Don´t mind the few mini sized trades in the track record. Those were done to get the TOS-Badge as soon as possible and have nothing to do with the strategy. (You have to do a couple of trades before the badge appears if you use broker transmit)
This thread is ment for questions, feedback, reviews and to inform you about my concept of trading volatility. That way you don´t need months or years of track record to get a good overview of what I´m doing and what to expect.
If you like the concept I suggest to put the strategy on your watchlist and join when it´s the right time for you to do so.
This strategy trades only inverse volatility Exchange Traded Products like XIV or SVXY which hold short exposure to VIX-futures.
The system takes advantage of the strong underlying effect of contango and mean reversion of VIX-Futures to generate profits. Risk management, money management and equity-trading are used as key factors to enhance long term results and to control risk.
Opposed to common volatility trading systems which switch between short volatility / long volatility SmartVolaPlus is not designed to time the volatility market. Instead it fully concentrates on exploiting the inherent advantages of being short volatility while keeping the risk moderate.
- Long only trades
- No leverage of the account
- A steady kind of system
- Stop-loss on every trade
- Positions are held overnight, not over weekends.
- Risk management focuses on low drawdowns
- Low trade frequency (1 per week plus special situation trades which are very rare)
- Performance boost through Money management and Equity trading
- Clear cut rules when to switch the system off/on to avoid large drawdowns due to unfavorable market conditions like in 2008 or 2000-2002
- No Human interference
- 100% TOS from the first trade on a 50k account
- limited subscribers for appropriate support and evasion of slippage
Key statistics from the backtest on actual XIV Data since 2010 - including IB commissions, excluding C2 fees:
- average annual performance of 27%
- maximum drawdown of 21% (happened in 2011)
- maximum drawdown length of 26 weeks until new equity high
- annual volatility: 14.5%
- largest 52-Week return: 74.79%
- smallest 52-Week return: -0.96%
- winning rate: 54%
- Expectancy per Trade: +0.57%
What you need to trade this strategy:
- This strategy is very well scalable due to the underlyings it trades. Example: If you trade with 15k and the model account currently holds 50k you scale down to 30% AutoTrade. If you assign 170k and the model account currently holds 50k you can (but don´t have to) scale up to 340%. This is true for cash accounts and IRA.
- If you want to use leverage you can use higher ratios than above but I generally don´t recommend it because of the way position size is copied at C2. If you´re in doubt, send me a message.
- Important: for calculating the correct value of AutoTrade scaling, use the current model account value (most recent point in performance chart).
I´m looking forward to work with you and if you have any questions please let me know.