Using the Grid only 4 strategies were around in the Feb/March event ie days>200 coupled with drawdowns less than 16% and recent profitability 60day>10% and 90day>20%. Of the 4 only SmartFutures and SmartVol are TOS. Might be worth watching these going forward.
My strategy here, survived and actually thrived with a massive 50%+ return, it wasn’t live on C2 at the time, just shared it on here, it’s TOS just waiting for more trades to add up. It’s currently free probably until new years.
Really need to go back about a week before Feb 1. 250 days would be the correct parameter.
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As a non “fine tuning” alternative. All strategy ages, Max Drawdown < 30%, 60 Day return > 20%, only SmartFutures TOS or Max Drawdown <40% only SmartFutures and A Strategy for YM. Might be worth watching going forward. On another note our short vol TOS strategy SmartVol is free at the moment and will continue to be until the Sharpe Ratio is greater than 1.5.
Agreed. These strategies were not around during the big Vol event.
Also something I noticed on “SmartVol”. In the description it says “Typically risk will be between 25%-75% short VXX”. I did see him take on leverage and go 130% Short VXX on 9/6. That’s a scary place to be if sh*t hits the fan.
However I do commend him for being TOS. Alot more than others here.
For the record the portfolio was never more than 75% short on the 9/6. On that day we switched from manual order entry to broker transmit. At the start of day sync it added the “live” real position in our IB account to the historical “paper” account on C2. As it happens we liquidated the entire position that evening. Which is what we do if vol picks up and looks like the macro environment could trigger a vol spike. This heightened risk kept us out of the market until the 11/6. Thanks for having the time to check the strategy out though.
Gotcha - I see you bought back the other order promptly. So it was a split second. No worries.
currently IB doesn’t allow more than around 57% short VXX, subject to change at their discretion of course.
We have a portfolio margin account and can short more than that. But the idea is investors should diversify their account so it wouldn’t be an issue. If they had your account and followed 3 strategies equal weight they would only need max 19% short. If they allocated 10% to a short vol strategy they would only have a max 5.7% short VXX. Nobody is advocating a 100% of an investors account be allocated to a short vol strategy.
Smart Capital:
Only 1 of these 4 strategies in your initial post “survived” the early Feb crash: TradeMate YM Swing. You have chosen a 16% DD as your cutoff, when it turns out that I have a strategy that meets your 60-day and 90-day screen criteria, survived the Feb mini-crash, and has a 16.6% DD (less than 1% above your cutoff), and another with an 18.4% DD. The latter one has a better annual return and better 60-day and 90-day performances than TradeMate YM Swing (though the differences are not large). And neither Trademate nor mine is TOS, so you might not be interested.
Well done, your strategies look very good. I especially like the zero correlation with other risk assets. They would really help reduce portfolio risk. I would prefer TOS since I think it is another factor which indicates a higher level of credibility and integrity. I appreciate not all developers have the funds to do that, but its one of the hurdles I would use.
