***This is Just a Test***
***Not a Trading Advice or a Suggestion to Trade the System***
Strategy Inputs: VIX and VIX futures (to establish if VIX term structure is in Contango or Backwardation) and XIV/VXX/SPY prices (to establish response of trade-able instruments to VIX term structure). These inputs are evaluated using 5 minute bar data. If strategy survives the real time test its details will be made available.
System Inception Date: June 10, 2015
Holdings: XIV or VXX
Execution: Strategy moves from one vehicle to another in three 3 steps. At each step 1/3 of previous position is moved to the opposite vehicle e.g if it was 100% in XIV, on first signal it moves 1/3 of that position to VXX ,and so forth and so on. Signal is acted upon on 10-12 bar after materializing thus giving enough time for the execution.
During this test I will attempt to post each signal (if not near their arrival) by the end of the day for sure.
(As of close on Jul 10, 2015)
**As I like to use this thread as a trade log for this setup please don't post any comments**