In evaluating XIV Daily Strategy https://collective2.com/details/107057042, I see it simply buys XIV every morning and sells at end of the day. That does not seem much of strategy or algorithm. What am I missing here. Thanks for the help.
Yeah, you’re missing that once he bought it at 9:43, once at 9:34, and one trade he held for almost 2 months! LOL. But I think you’re on to something. First thing I’m going to do this evening is run a backtest on XIV, buying at open and selling at close, over the last few years and see if this is a profitable strategy.
Thank you. Will wait for your findings.
The average one-day return, from open to close, on XIV since 11/30/10 is .11% per day. This does not include the friction costs or the tax hassles. Had XIV existed in 2007 and 2008 I believe the daily number would have been lower. There is an opportunity to profit on the XIV Trade if you have a model that tells you when to get out of the way, or better yet, when to go short. Let me know if you have questions. CJ
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Hi, thank you for your interest in XIV DAILY STRATEGY ( https://collective2.com/details/107057042 ). The XIV DAILY STRATEGY is the daily version of the older and well performing XIV STRATEGY ( https://collective2.com/details/100866695 ) and seeks to add value above and beyond our benchmark, an XIV buy & hold approach, by considering the signals of our market timing system. We were asked from subscribers a daily version of the XIV STRATEGY (a trend strategy with exposure overnight) and we became daily from January 6th. This daily version has the same signal of the XIV STRATEGY but without exposure overnight and with a protective trailing stop loss. So, the XIV DAILY STRATEGY will always have full exposure to XIV if it does have exposure at all. It is either 100% invested in XIV or 100% in cash. Signals are generated by a custom algorithm that was developed by ourself. Subscribers receive each buy/sell signal prior to the market open and trades will be placed at 9.00 am. The trades will be close daily. Leverage is not employed. You may ask the Backtest from 12/20/2005 sending an email to roboadvisor@cieffeo.com. Best regards. CFOSolutions srl
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With all due respect, all you are doing is buying XIV every day at market open and selling at the close. This seems like the same results you would get flipping a coin every morning and having it come up heads. Where is the strategy? Volatility has suddenly been rising the last couple days, but your strategy just kept playing XIV long and has suffered the consequences. Do you anticipate ever going long VXX?
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Hallo Sir, thank you for your interest in XIV DAILY STRATEGY ( https://collective2.com/details/10705704212 ). The XIV DAILY STRATEGY is the daily version of the older and well performing XIV STRATEGY ( https://collective2.com/details/10086669512 ). This daily version has the same signal of the XIV STRATEGY but without exposure overnight and with a protective trailing stop loss, as many subscribers asked us for it, to avoid night gap in the Vix and Vix Futures. We know that the XIV DAILY STRATEGY is recent, but you may have a good idea of the market timing of our Algo looking to the MOTHER STRATEGY (XIV STRATEGY). Since february 2016, five trades:
BUY PRICE SELL PRICE RETURN
XIV LONG 11/10/16 40,160 02/16/17 66,720 66,14%
XIV LONG 10/19/16 38,720 10/28/16 39,210 1,270%
XIV LONG 09/19/16 34,520 10/13/16 35,600 3,130%
XIV LONG 06/30/16 24,640 09/14/16 32,120 30,36%
XIV LONG 04/03/16 21,890 06/13/16 28,320 29,37%
The XIV DAILY STRATEGY seek to capture the DAY TRAVEL of XIV, that the Backtest since 12/20/2005 says is important in the periods indicated by the mother strategy XIV STRATEGY.
The XIV DAILY STRATEGY will exit XIV and stay CASH for days when our Algo will tell it, like the mother strategy XIV STRATEGY. We will never go short of XIV in this strategy, because we prefer not to mix performance: soon we will exit with a VXX STRATEGY (long only) to capture spikes of volatily and our subscribers will be able to follow for free, as we give access to all our strategy if you pay just one.
We Know that a level of Vix under 11 is quite low, but the Backtest since 12/20/2005 tell us that under that value the XIV DAILY STRATEGY would have gain 46,37% in 44 days buying XIV at open price and selling at the end of day, capturing the DAY TRAVEL of XIV.
So, thank you for the interest, but we follow our Algo. All our subscribers Know that behind a potential significant performance there is a risk of loss, for more consecutive days and they Know they have to invest a small part of their portfolio.
If you would like to see our backtest write us to roboadvisor@cieffeo.com.
Sorry fou our english.
Best regards.
CFOSolutions srl
I am curious how you have data for XIV before 2011 for your back test. Do you use VXX as a substitute?
Anyone has backtested data to show merits for daytrading vix based on mechanical system?
