Hi isotope, are you saying that you don't apply any other rules to Vix, you just keep the total forecast permanently at -10?
It's a matter of taste which instruments to include in a trend portfolio. I was talking specifically about "risk premia" products.
FWIW the SG Trend Indicator, which is a fully-disclosed mechanical strategy, was -0.60% yesterday, +5.67% mtd.
Yes. Although it's worth pointing out that @globalarbtrader has both a -10 and ewmac running, which is probably the optimal solution. Sadly about 60% of today's losses were attributable to my short position on vix & vstoxx, so now down 12% on HWM. HWM was up 40% on 12 months though so it's not unexpected.
What happens to your system if you dont include VIX & VSTOXX? Does it take a huge performance hit? Haven't got the chance to test this yet...
I haven't checked, but I imagine I'd probably be more in line with GAT (who isn't trading vix/vstoxx). I'll add that the short sharpe of vol futures is ~1.
In 1987 equities fell by ¼. Had XIV existed, it would have fallen to zero (because its loss is truncated). Homemade short vol would have gone to -∞.