Saturday, March 23, 2013

Simple and dumb VIX trading strategy?

Something I was looking at today. What if you faded VIX every time it moves about 20% or higher above its 10 day moving average? Lets say you bought VXX puts.

See for yourself, pretty impressive results. I looked back about 3 years, and it works out very well. There will be some significant drawdowns for sure, so probably a good idea to use options, say VXX puts or selling out of the money VXX calls or something as simple as going long XIV.

1 comment:

  1. Hey Nice blogg!!! I'm also working on my futures trading. Great stuff. - Jan