So if VIX goes to 20 overnight, first you post a massive drawdown and then, since the vol is higher you make better returns on capital?
100%? Never happened before..Maybe only Kim can bring this number The max was 32% in 6.24.2016.. The system made 7% at that day
Why? Did you see all the live trades? Did you see how it takes Long volatility when the VIX is jumping? How can you say something like that before you trade it or at least check it? Do you aware to the protection strategies? Well, did you or you only speaking from your feelings? This business is not influenced by feeling at all. The door of these strategies is open for the statistics and mathematics only...
The live trading generates similar results to any year.. You should look at the back testing and compare it to the live.. Choose any year..
I have a model E-mini S&P 500 Futures model that has four states Buy - Long Trend Sell - Short Chop Buy - Long Chop Sell - Short Tend The model has switches to trade any combination of the four states or all of them at the same time. Each state makes money on its own with about 1% drawdown total with 26% return on capital. Makes about 1.79% a month and is in positions from 5 - 10 days. Rather than trade the system outright, I thought maybe use this model to sell call options and just automatically let it hedge the positions by using Buy - Long Trend and Buy - Long Chop states. I guess you might could also use it for puts if you wanted to. So better the trade the futures or use the model as a defense mechanism for option writing? Mark PS the model uses a unique data series made up of 8 point bar ranges. Time is thrown out the window, a new bar is only formed when the previous bar's range is exceeded.
Why would I test your strategy over a different window to prove your hypothesis? Wouldn't you wanna do that? I was only bringing up a concern . If it doesn't apply let it fly