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

• Keltner Channel
• Pivot Point Breakout Scanner
• Chaikin Volume Accumulation Oscillator
• Top 20 stocks with the highest 10 day rate of change - Current and 10 days ago
• R Squared of a Trading System Equity Curve
• REX Oscillator
• Dynamic Momentum Index
• The DeMark's DeMarker indicator
• DIDI INDEX
• Chande's Range Action Verification Index - RAVI
• More trading objects...

Fundamental Analysis

• Number of dividend payments per day in the U.S. Stock Market
• Balance Sheet Data
• Consumer Price Index - Historical data
• News Sentiment Indicator
• Recent Insider Buying and Selling for US Stocks
• Analyst downgrades & upgrades
• S&P 500 Earnings and Price Earnings Ratio Estimations
• Fundamental Valuation Ratios for US Stocks
• Plot Economic Indicators on a Chart
• Yahoo Historical Buy/Sell Recommendations
• More trading objects...