Tony Cooper Volatility Strategy #3 - VIX Contango - Tweaked v1.0

This trading system is based on Tony Cooper's volatility trading strategy #3, which is to simply buy XIV when the VIX futures are in contango and buy VXX when the VIX futures contracts are in backwardation.

It adds to Tony Cooper's startegy by adding a couple of buy and sell rules. These added rules run the risk of being curve fitted and may not work in the future.

VXX has only been around since 2009 and loses money most of the time except for some brief spikes.
XIV has only been around since the end of 2010 and makes money most of the time except for some brief periods. If XIV would have been around on Black Monday in the 1980's when the VIX spiked overnight by more than double then it would have lost 100%.

I backtested this system using synthetic volatility data starting in 2004 and got ~100% AR with ~50% DD, but my synthectic volatility data may not be fully accurate.

These instruments are very risky. You should not trade them unless you understand what makes them tick and only if you limit your investment in them to under 5% or so of your capital.

Technical Analysis

• Camarilla Pivot Points Study
• % bars in last N trading days where stock close price increased
• Close Price Above Cursor
• Chande's Range Action Verification Index - RAVI
• Disparity Index
• Moving Average Crossovers In the Past Trading Days
• Longterm Investments
• Up/Down Volume Spread
• Positive Volume Index
• Self-Adjusting RSI Indicator
• More trading objects...

Fundamental Analysis

• Trade Weighted Exchange Index
• Balance Sheet Data
• Bankruptcy Filings
• Forex Trading Indicator - Better than expected Economic Calendar Events
• S&P 500 Earnings and Price Earnings Ratio Estimations
• Industry and Sector Information for the US Stock Market
• Chicago Fed National Activity Index - CFNAI
• Trade-Ideas Intraday Screener
• CRB Global Commodity Equity Index
• Super Stock Screener Ranking System
• More trading objects...