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.

VOLmaggedon, the newest strategy in Volatility


#1

Hello all, my name is Nick. I’m a scientist from Jupiter, Florida whos always had a deep interest in computers and science. A few months ago I’ve run into this site and thought this may be a great opportunity for me to make additional money from my lab job and trading! I’d like to introduce you to my one and only program I’m truly proud of. I’ve decided to name it after one of the most intriguing and catastrophic events in volatility, VOLmaggedon.

Most important facts first-- Jan 1, 2018 through Feb 22, 2019 this algorithm has a 212% CAGR, 48.8% DD, Win rate of 55%, Average win 4.24%, Average loss, -3.05%, with over 300 trades since.

  1. This is an algorithmic strategy, although I am constantly taking into light consideration the macro/geopolitical environment that has made this market so recently volatile (Which dont get me wrong, has been amazing).

  2. This program uses a plethora of analysis for trades executed, VVIX, VIX, HV, IV and many more indicators that will influence price action for the underlying. (Example: Current VVIX vs VVIX closing value probabilities and days traded in multiple timeframes, momentum of HV on multiple timeframes, F1-F2/F1 % compared to contango/backwardation) There is much more I use but I want to give you a level 1 understanding.

  3. This is a swing/day trading strategy and will normally trade between 10-30 times a month, sometimes more or less frequently than that being data dependant. Indicators will always have us in a trade either long or short.

  4. VOLmaggedon can be a sole trading strategy or the aggressive allocation for your portfolio.

  5. Please be polite! I will try to answer all your questions the best I can without giving away my strategy.

  6. I want to reward my subscribers trust and am going to cut this strategy off at 50 subscribers or less so the strategies return will not decay.


#2

This is a backtest from last years data.


#3

This is a backtest from Jan 1, 2017


#4

Statistics from 1/1/17 to 2/22/19

Any questions feel free to ask!


#5

Why do you want to share such a gem with us? Just trade it by yourself starting from 10k, you will have 30k at the end of the year. Much more than you get from subsribtions.


#6

Well, plenty reasons. If this really is successful-- as it is tested to be. I could have an enormous opportunity ahead and reach my own personal goals while helping others with theirs.


#7

You are not confident in your results.

Do you think that goal of the others is to loose real money?


#8

How long do you develop algos for trading?

How did you consider effect of you

in your back test?


#9

I am as confident as one can be, backed up by historical data and many indicators that have consistently tested successful through our current market environment. I may decide for a week or month to not run this depending on events I deem as ambiguous and too risky. I’ve been developing algorithms for 3 years, trading for 7. Please follow! I would love to discuss results when the time comes.


#10

Link is here. As of this weekend, trading has apparently not begun.

Nick, what instruments are you trading, and at what margin?

I ask because even shorting VXX starting Dec 26 would not have gained what your backtest shows over the past couple months, unless you were in and out every day correctly calling swings better than your stated 55% win rate.


#11

Hi V1!

No margin. Here are the complete trades from December 26, 2018 to present, with 20k. Based off this timeframe, there are 51 executed trades. Avg win 2.56%, avg lose, -2.88% at a 64% win rate. An 18.76% return over this time period. As you can see only SVXY/UVXY are traded.

VOL1226|225x500


#12


#13

However, if you would like to increase margin, let me know your acceptable level of risk and I will program the results and display them. If this is something that people find interesting I may increase margin by 25% or so and run the strategy. Keep in mind we already have 48% DD ( Thanks to the event, Volmaggedon)


#14

Just for your info @NickGio, almost all backtested only strategies that have been posted don’t work very long in the live markets that involve lagging indicators since the lagging indicators give false in live markets.


#15

Ok, so it’s curve-fitted.

Most important facts first-- Jan 1, 2018 through Feb 22, 2019 this algorithm has a 212% CAGR, 48.8% DD, Win rate of 55%, Average win 4.24%, Average loss, -3.05%, with over 300 trades since.

Is this backtest history or live trading history in your own account? Either way, that DD is much higher than most investors on C2 would be (realistically) willing to stomach. If anyone were to trade this live I would suggest scaling down.


#16

Backtesting. Yes the DD may be high and I dont expect someone to invest all of their idle cash, but this is a has become a promising strategy the last few months thanks to volatility and I expect this to be just the beginning. Having a “Long only” VIX ETP strategy may work for many different traders interested in this corner of the market.


Back to C2 Platform