TOS FREE Profitable VIX System profited Feb Blowup 50%+

Trading and Markets
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100% TOS in my own account. Still waiting for first few trades to be verified. Trading starts Monday.

Backtested Hypothetical Results:

50% Account Size
% | DD
YTD 69% -15% DD
2017 43% -10% DD
2016 42% -16% DD
2015 100% -13% DD
2014 20% -14% DD
2013 43% -13% DD

CAGR 52.8%
DD 16%
MAR 3.31

Disclaimers: Backtesting data is hypothetical and it has not been verified by C2

Hi Guys this is one of my systems that I have been working on for the last year or so, after testing countless and dozens of others. As evident here from all the other systems majority failed in Feb, or produced no returns, or had insane Drawdowns. It actually made 50% profit that day. It was short volatility then stops were hit and positions flipped and went long volatility intraday before everything blew up.

I honestly wasn’t satisfied with any of the systems I personally followed and traded on here, I wish there was something on here that I could personally trust, and save me all the work of creating my own system, but there wasn’t. It wasn’t even the drawdowns, it was the fact that even after they suffered a drawdown they would never recover, and their performance would just die off.

The system uses hidden stop losses, higher for short volatility, and much tighter for long volatility, plus there are some proprietary filters that would kick in and keep us out of these crazy black swan events. Uses 50% of your account size. Feel free to use options for overnight risk, but I believe so strongly in it’s ability to keep us out of crazy events, that I won’t be purchasing any in my account, plus the slippage might be high to have subscribers replicate it.

It will trade VXX Long/Short due to all the changes after Feb, using only 50% of your account you should be well within your margin requirements from IB.

It has a superb MAR ratio which has become one of my most important performance factors. Yeah you can get big returns but at what risk levels?

Currently the system is free, pricing will eventually go up slowly after a month or so, don’t know when we’ll see how things go. First trade will be Monday so sign up if you want to start exactly at the same time.

Best,
144

More Disclaimers about Backtested results:

  1. The results do not represent the results of actual trading using client assets but were achieved by means of the retroactive application of a model that was designed with the benefit of hindsight.
  2. The returns should not be considered indicative of the skill of the adviser
  3. The client may experience a loss.
  4. The results may not reflect the impact that any material market or economic factors might have had on the adviser’s use of the back-tested model if the model had been used during the period to actually manage client assets.
  5. The adviser, during the period in question, was not managing money at all, or according to the strategy depicted.
  6. The back-testing is for a strategy that the client accounts will follow or, if not, what difference there will be.
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Huh. I’ll check back in 6 months. I’m always fascinated to see how these things turn out.

1 Like
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@TinyMammal

Technically this was finished end of 2016, so since then it has been forward tested, and was just finalizing adding those other filters to protect us in an 2008 scenario, and cut down DD some. Even without the filters it survived and thrived Feb, now it should be even more robust.

Yeah def. do check back 6mo-12mo, some years as you can see you might only do 20%-40%, it really thrives on these black swan type volatility pops. The goal was to get the highest MAR possible, yeah you can go to 100% your account size and average 100% returns, but at the cost of a gut wrenching 32%, funny enough even if some of the systems on here actually hit those numbers, they would probably be highly successful haha.

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love seeing “SAFE” and “VIX” in the name.

3 Likes
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Anything can be made “safe” just lower scaling and leverage to your desired levels, just like bonds can be risky if you are overly leveraged.

1 Like
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Wish you success in your endeavor, but I would have thought twice before writing this phrase…

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Why? What’s wrong with proprietary things? You realize the most successful trading firm in the world RenTech, is all proprietary? Also, as I mentioned these additional filters weren’t even needed as the strategy performed just as well.

They actually cost me every month to run, I added them just for personal peace of mind to lower DD a tiny bit, and have another redundancy to protect the account, in-case something crazier than Feb and 08 happen.

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With all respect, my point was that you never know for sure if your filters will keep the strategy (and his subscribers) out of the coming black swan/high volatility event. The knowledge we have as developers is limited to diligent backtesting on past data series. We don’t know in which flavor the next event will come.

6 Likes
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Obviously haha, didn’t think anybody in their right mind would take my statement to mean a 100% guarantee on the future. Just meant these filters lowered DD and increased performance a bit for the past, and hopefully they continue to provide meaningful utility in the future.

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started trading today, when the first position closes I have to rescale the strategy, thought it would take my dollar amount from my portfolio, instead of using $50,000 that i originally set for it.

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Ok VIX safe has been rescaled to reflect correct performance DD numbers, the more full account size version should start trading soon still waiting IB’s approval of the account.

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Both strats are up and running properly now.

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After reading through a thread turning both systems off as thinking that you can keep all sub fees if you pay the highest amount, you can’t. Sorry would really want for people to have effective risk controlled profitable systems, just not worth the time and energy.

Please close Thread.

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So you’re going to deprive your subscribers of a safe VIX system? We were all waiting to see how it turned out!

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I’m severely on the fence Tiny, I really want to as I’ve been burned by so many starts on here myself, but the financial perspective isn’t really doing it, I guess I’ll try to keep it going for as long as I can, but it’s going to be a struggle mentally justifying it. We’ll see, I’ll keep them open for now.

As a side note I don’t expect much more returns this year, unless we get extreme November volatility the strategies are already up massively. So it will just ride some VIX contango if nothing happens.

I’ll try to keep them open as long as I can endure lol.

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Closing down the other version for now, IB told me I was allowed to use up to 100% account size, reconfirmed with them after an order didn’t go through and it’s only 57%, will try playing around with an SVXY version to see if it’s worth it risk / reward wise.

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@TinyMammal I unsubscribed you from that strat, I’ll post here if the SVXY version is worth it, feel free to sub to the current version and just raise your scaling, if you have a higher portfolio model, just be aware that it will trade 50% of your account size due to IB’s limitations, I thought they recently changed it but not by much, was given the wrong info when i called in.

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Traded one week already and didn’t get 100k in subs fee? :slight_smile:

Now seriously. If you will meet the backtests stated, you will probably have 10-15 subs in a year selling this system for hundred bucks. Additional 6k per year from C2, +20% annually for initial capital of 25k. Is it bad assuming that you don’t do anything special to get it?

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No obviously had a 6 month goal, but even by that it seems like it won’t be worth it, 10-15 subs is not worth my time or effort to worry if collective is properly synced, and dealing with maintaining it.

Even 50-100 Subs you’ll need some stupid high fees which seems unfair, and I wouldn’t want to charge that much, but we’ll see how it works out.

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I see your point. All or nothing. Good luck.

1 Like