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Strategy test for volatility

#1

Vix strategy backtest with entire historical data

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worst drawdown ~ 35%
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I am going to polish it to make drawdown <15%. But the return will be significantly decayed. But I am confident we can make >100%

What do you think?

#2

Curve fitting?
You can get money of the whole world in less than 1800 trades, why hunt for only 200$ per month? :wink:

#3

I am talking about strategy you are talking about #&^^. This IS backtest. Do you understand. You know nothing about This field.

#4

Can you add more info?
What was traded? VXX or UVXY or VIX futures?
Number of win trades, profit ratio, account size required …?

1 Like
#5

This IS backtest has conditions. i will explain the details later

#6

This is a strategy trading XIV, VXX pair.
The backtest covers all available historical data.
This strategy is under ideal conditions, i.e. you can respond quick enough when the signal shows. In real world, this will not happen. This will be my next effort to make is possible to operate.
The curve may surprise most people. But if you look at the VIX curve. The result is result.

#7

The running results of today. VIX/VXX pair trading.

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Since the inception to today, the return-M DD table.
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Will keep running to check if it will improve on return/MDD

#8

Compare to buy and hold: first one is return, second one is MDD
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#9

Backtests alone mean nothing. Anyone with the software can find parameters in backtesting to make any idea look incredible. The problem is almost none of those will actually work going forward. The key in this industry is not being able to backtest, it’s being able to create a system whose backtest actually works going forward. Almost nobody talks about how that is accomplished.

5 Likes
#10

Maybe you are right. But I guess most people dont agree with you.

#11

Most people don’t know how to create a working trading system.

2 Likes
#12

That IS ok. You dont even know how to write your own code to Do backtest. :smile:

#13

He is absolutely right.
TaoLi, many of us have created XIV/VXX systems with return charts that look like the one’s you displayed above. I know I have. They aren’t special and they will always be more volatile in the future.
As for your initial chart - Curve Fitting was my first though. Especially because you said “with entire historical data”. Out-of-sample testing anyone? lol.

2 Likes
#14

Go back to learn something basic.

#15

Taoli2-
Friendly warning-
You are starting to lose credibility in this forum.
People are going to start ignoring you.
Please be more professional/respectful.
As a sub, I am less likely to join someones strategy who rants & belittles in threads. It’s a trust thing for me.
Just sayin’

3 Likes
#16

Stay away if you don’t know the scenario.
But thanks for the friendship.
I respect the data and truth only.
Don’t judge, don’t participate in any judging without testimony.
Because you want to and need to be a honest and good man.
Otherwise, your dream will be smashed by the truth.

#17

Strange guys are around here. Asking for opinions about a backtest and then being an a** to anyone who comes forward with reasonable criticism…

You just shot yourself in the foot, good job.

#18

School holidays started, students got more free time. :slight_smile:

1 Like
closed #20
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