Welcome to VXF Market Signal
I am rather new member to the C2 community.
I am 43 and have been trading for 20 years. I used to run global markets structuring for large international investment banks for Asia, Middle East and Africa. My main area of focus has always been structured solutions in the credit, rates, commodity and equity derivatives space.
I have retired 3 years ago as I decided to take a break from investment banking and run my own money on my own terms.
I have developed several investment strategies for my own portfolios with the goal to preserve my retirement capital, limit drawdowns and outperform a buy-and-hold SPX strategy. Other strategies include a global macro positioning algo and a swing trading range technique which I will publish on C2 at a later stage.
My go-to strategy is the VXF Market Signal.
The VXF Market Signal is a strategy based on a tried and tested mathematical model using part of the VIX Futures term structure. The rate of change of the shape of the term structure recorded on different time frames determines levels and triggers to get “in” or “out” of the SPY and “in” or “out” of long duration US treasuries.
The model relies on the robustness of the mathematical model back-tested (and tested in practice) and the simplicity of the signals and the underlyings to be traded. This is not a fancy-pansy positioning or esoteric instrument-based strategy. At all time you are all-in one or the other asset. This is not a day-trading tool either although signals can change at a rapid pace during high volatility regimes. It also works for all portfolio sizes.
The model generates a signal once a day 1h before the close (or 10 min before when it is too close to call) to buy/hold SPY or sell SPY and buy EDV/TLT.
The algorithm has been backtested against the market itself since 1/1/2008 as well as all major SPY drawdowns (10%+) and other out-of-sample data sets. I am proud to report a 34.2% avg annual return (compounded) and Sharpe of 1.9 and a Sortino of 3.09 since 1/1/2008. Particularly the portfolio returned 36.88% in 2008, 49% in 2011, 17.88% in 2018, and 48.42% YTD.
From 1/1/2008 to today, historical VAR95 and VAR99 stand at -1.35% and -2.62% respectively while CVAR95 and CVAR99 for the period stand at -2.13% and -3.55%.
If this is of interest to you, I’d be happy to share with you (for free) my signals.
I am also open to questions if you want to know more.