back at new high
Strategies Making New All Time or 52 Week Highs
margarita
#108
Oof, you dodged a bullet with that XIV meltdown. Looks like you never hold overnight, nice.
AlexanderG
#109
thank you for the feedback @margarita 
The system does hold overnight but is flat over the weekends. It also uses stoploss.
My system also pauses completely if the market is too quiet for too long because the risk of volatility explosions increase drastically according to my backtest (and voila we just had that in feb). That´s why I wasn´t exposed to VIX when the crash happened. However, even if my system had exposure it would have been stopped out completely on monday 05/02 before the overnight crash because like always (historically speaking) a strong movement starts in a day-session.
So even if you dismiss the safeguard of trading pauses my strategy would have lost only approx. 0.8% - 1% of total equity in that event. I took quite some beating in the forum for promoting this strategy months ago already but I remain confident in its long term viability and will keep supporting it.
If you or anyone else is interested in testing it out live for a month free of charge I can provide a coupon. However, don´t expect that system to make you rich quick else you will be disappointed. 
all the best
margarita
#110
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holding an ETN overnight is a sooo much risk. The prospectus itself says that it shouldn’t be held overnight. That’s what happened to a bunch of traders in XIV.
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stop losses won’t protect you from liquidity issues that happen. I watched the whole drama unfold on reddit.
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when did XIV trade 24/5? you stop loss wouldn’t protect you overnight if that’s what your implying
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have you thought about hedging for overnight
GerryDati
#111
It is too risky for my tolerance level. I will not be able to sleep well at night if I have a large position in VXX The market can gap up or down against you, and you could lose 5-10% right at the open, before your first cup of coffee. So I did research, optimized and tested this daytrading strategy using MultiCharts and Ninjatrader. After trading it in SIM mode for two months, it went live last week and is 100% TOS-certified. Only had 12 trades so far, hitting a new all time high today. Please take a look-see.
https://collective2.com/details/117866563
AlexanderG
#112
@margarita I agree with you in general but let me adress your comments
Overnight risk in a vola ETF is reduced when the VIX already jumped a lot. These ETFs rebalance their exposure daily so you always get the daily movement compounded. So if the VIX jumped from 9 to 18 in one day, causing roughly 70% increase in VXX (that would be -35% loss in SVXY) it would need to jump from 18 to 36 the next day to cause another 70% increase . VIX from 36 to 72 for another 70% increase. You see the math. Position sizing according to volatility is key to control risk in my system. This also applies to the stop loss issue. Low VIX = high overnight risk = low position size = low equity risk if SL doesn´t work as intended.
This also means I don´t need option hedging for overnight. It eats away much of the performance with little added value to the system. It´s really a question of system design. For example Smart Volatility from @DavidJuday uses hedging but it´s a completely different trading philosophy. More aggressive overall and focused on the right timing but it hedges the worst case in a responsible way. Maybe that´s a better fit for you