The opinions expressed in these forums do not represent those of C2, and any discussion of profit/loss
is not indicative of future performance or success.
There is a substantial risk of loss in trading. You should therefore carefully consider
whether such trading is suitable for you in light of your financial condition. You should read,
understand, and consider the Risk Disclosure Statement that is provided by your broker
before you consider trading. Most people who trade lose money.
Volatility Returns (https://www.collective2.com/details/101429306) pricing is changing. On May 1, 2017, we are increasing our subscription price to $99. If you sign up before May 1, 2017, you will be locked in at a rate of $59.
The following are a few highlights of our strategy:
We are 100% TOS.
If you search on “The Grid” (https://collective2.com/grid) for strategies that have been in existence for more than 365 days and with a drawdown limit of 30%, we are ranked 2nd for Annual Return % (273%) and the only strategy in the top 10 which is TOS.
The strategy is completely objective in that it follows an algorithm; thus prohibiting us from making any subjective decisions. We learned a long time ago that trading based on our personal opinions loses money whereas following an algorithm (that is intended to work in all types of macroeconomic environments) makes money.
Because the strategy historically trades on average less than 1 trade per month (i.e., one buy and one sell), you don’t need to be on auto-trade in order to keep up with our strategy.
C2 currently mentions that you need $50,000 minimum capital to trade our system. That is not accurate. We only trade XIV and UVXY which have huge volumes and you can easily follow our strategy with 1% of the current portfolio size.
Please see our Description for more information about Volatility Returns.
When you generate a 363% annual return, you have to take on considerable risk.
Volatility Returns does not use stop losses nor does it purchase/sell options to hedge. Individual subscribers are certainly welcome to use their own risk management tools but that is an individual decision. Also, it is certainly an individual decision how much to invest in a given strategy.
Since 2007, through backtested data, the highest drawdown on any trade for Volatility Returns is 33.5%. For context, that’s through the (1) financial crisis of 2007-2009, (2) European Sovereign Debt Crisis/US Debt Downgrade of 2011 and (3) Flash Crash in August 2015.
The strategy attempts to (and has been extremely successful in) anticipating higher volatility periods and making money during those. That’s of course in addition to making money during low volatility periods too.
That does not mean that there will not be drawdowns. There will be. Large ones. Could the strategy lose all its value due to a black swan event? Yes. That is why anyone following Volatility Returns (or any other strategy for that matter) should have a long-term horizon (i.e., no less than five years), to control for drawdowns that will inevitably happen, and only invest money that they can live without, for a black swan event.
I’ve been trading successfully for 22 years and what I’ve learned during that time in relation to Collective 2 strategies are the following opinions:
You are better off following a strategy that is 100% TOS and with a significant portfolio size. The strategy leader has skin in the game. They are not likely going to sabotage their own money for the sake of gaining subscribers.
Follow a strategy with a historical track record that you are comfortable with
Follow a strategy that has the ability to do well in all macro-economic environments.
Traders on Collective 2 have a varying degree of experience and success. Unless you learn that you can completely rely on someone’s subjective trading skills, you are better off following a strategy that follows an algorithm that you believe is fundamentally sound. It takes the emotions and subjective decisions of a trader you may not know out of the process.
Thanks to all the people who have subscribed and others who have expressed interest. Several people have messaged me stating that they’d like to join Volatility Returns but the Portfolio Size is too large for them. Volatility Returns currently has a trade on. Once the trade is finished (according to when the algo says it’s finished), Volatility Returns will be decreasing the Portfolio Size significantly so that others can join. Sign up before May 1, 2017 to get a rate of $59 rather than the $99 rate the subscription will increase to. Volatility Returns will not honor the $59 rate if you sign up after May 1, 2017.
I am just a bit curious. You state above and in your profile that you have back tested your algorithm to produce a certain return and max draw down for your volatility strategy going as far back as 2007, using XIV, UVXY etc. ? How is this even possible since these volatility instruments didn’t exist as far back then? For example. XIV didn’t come about until late November 2010 and UVXY then followed about a year later in October 2011?
This whole idea of these volatility ETFs/ETNs came about and dawn on people of their usefulness (and potential profitability) years after the lessons learned from the 2007 financial crisis, yet you claim you can somehow back test them to validate the performance of your account 3 and 4 years before they even existed. What medium is allowing you to back test something with “data” that even exist until years later?
XIV, VXX, & UVXY have indicated values that are based on algorithms applying futures prices. The market prices usually vary only slightly from the indicated values. Six Figure Investing (and others) have published the computed prices for XIV, VXX, & UVXY going back to 2004, based on their algorithms applied to the futures market prices.
So you use computed prices for early years and then market prices for the last 5+ years.
I am sorry but that makes no sense. I know these instruments are derived from present and forward future prices (as shown in my link below)…but again, these instruments did not exist pre late 2010, at best. You cannot back test by simply making up data that never existed.
Theoretical values of these ETFs can be indeed calculated. But assuming they would have worked as expected is a big assumption. Plus they are now so liquid that I find it unlikely that they don’t feed back to the prices of the futures.
By the way, this last year in volatility was very good for short volatility. Running at 150% leverage SVXY would have gotten your level of return, but with bigger drawdown. But severe drawdown was concentrated around 2 events, so your system may have been lucky in getting those right. What about the preceding year (say between May 1st 2015 and May 1st 2016). On that interval SVXY was down about 30%, and with a very large drawdown during the year. I was curious what is the result of your backtest for that time period?
In response to KT3’s question, calculations of XIV and UVXY, before they actually came into existence, are based off of CBOE historical monthly VIX futures data and historical treasury bill yields.
In response to loKo’s question, the only points of data I provide are annual returns since 2007 and max % loss on all individual trades since January 2007. The former is listed under the Volatility Returns’ Description and the latter is 33.5%. Having said that, please feel free to evaluate me solely on my documented annual return on C2: 363%.
Noone is forced to follow this double leveraged system at 100%.
With C2 autotrade-scaling the subscribers can adapt this system to their own portfolio.
For Example I have a +100K account, but I follow VolatilityReturns with only 2%.
It would be also possible to insert the max.trading postitions manually.
Don’t care about the advertised 363%.
As long as the sistem is profitable and makes more money that the monthly fee, I’m fine.
keep up the good work guys, banked BIG on the first trade with you guys. Those that keep complaining about high risk the answer is very simple go invest in a mutual fund.
What you can’t model before 2010 is the amount by which XIV or VXX market prices deviate from their indicated value.
Certainly this is a weakness of backtesting, but this deviation is dwarfed by the problems inherent in backtesting itself, fitting trading triggers by optimally fitting a multivariate model to past data.
I have nothing to do with Volatility Returns, so (though your question was directed to me) I’m not certain that you meant to direct it to me. I have not yet made my volatility model open for subscriptions, but expect to in the next few weeks or months.
But to answer your question:
Going 100% long XIV on days my model specifies as expected to be positive, and going to cash on the other days, yields a 102% return for the period you specify: May 1, 2015 - May 1, 2016.
@IoKo, I too have nothing to do with Volatility Returns, but since @VolatilityReturns won’t really answer your direct question about his backtests for that difficult year, I’ll join @QuantitativeModels and tell you my backtest results: at 100% long XIV-only (cash other days), my Battle Axe ( https://collective2.com/details/110647445 ) strategy would have returned 128%. But better, since Battle Axe is a switcher, the other days weren’t in cash, but in VXX and those days returned 190% for the year in question (the combined CAGR for the year is, of course, higher). Sorry for butting in, just can’t help reading all the volatility threads. Here’s to the next volatile years (if volatility ever comes back).
I think VolatilityReturns pointed to the description of their strategy. For 2015 the claimed return is about 0%. I guess, that is for a slightly different period which was a bit better for XIV than May 15-May 16. But that’s OK.
