Has anyone tested this trading theory with ES futures?

Discussion in 'Index Futures' started by Saltynuts, Feb 10, 2018.

  1. I know that UVXY and TVIX lose their arse like 70%+ percent of the time because of contango, the remainder they tend to increase because of backwardation.

    So has there been backtesting done where you keep selling the next S&P (or similar) future coming due whenever there is contango, and as soon as there is backwardation, you immediately stop? Then start again when contango returns?

    That might actually be the exact wrong thing to do - taking you out of the market when it has already plummeted. Maybe some variation of the opposite of this as well - start selling in abandon once backwardation happens - or maybe X number of days or months after it first happens to try and miss the bear markets but catch the swings back.

    Thanks for any thoughts!
  2. cvds16


    this seems like a really stupid idea based on nothing. Read up on how index futures are theoritically priced and be certain that they will be arbed if out of line.
    athlonmank8 likes this.
  3. Hmmm, I think this should be VIX futures, not ES futures, to pick up in the problems with UVXY and TVIX.
  4. Wait, I meant VIX options! LOL.
  5. Handle123


    This is a bad idea, VIX usually moves after futures moves. I have backtested thousands of my ideas and many written in forums or wherever. What most, 99%, don't realize or forget the futures markets are a hedge of the underlying and if they trade cash instead of futures, they wouldn't lose like they do. So what moves the futures, is the underlying, so the VIX is down stream.

    Do you know how to program? Instead of playing "what if" games, best to program and test yourself. You will often find that 99.9% of what you think will work don't and often find answers through keeping open mind and errors, and yet the patterns can be in front of you a lifetime but unless you have knowledge, you just never find on your own. Trading very much of a loner type of career, better get use to it or find another career.
    beginner66 likes this.