What percent of your trading is volatility ETFs? Most backers really dislike vol traders, for obvious reasons.
On a lighter note I just wanted to respond to some of your comments, just open up the quote if you want to read it. I am aware I ramble a lot, but that's just the way I do it.
Zero %. I trade Vix futures. I can understand their reluctance to vol, but vol is part of the market if they're trading it or not.
It's part of the market, of course, but it's hard to convince people to fund a trade with a highly asymmetrical payoff.
True. Though, I think there's ways around the asymmetrical, i.e. tight stops, trade backend months, many short term trades Not rely only on Vol etc
These views are contrasting and interesting. < there's some factual principal to the way price is moving> Yes, I think there’s an element or a component (only) of the universal within successful trades. I can often see where people’s mistakes become cannon fodder for successful trades. In fact, I suggest this can even be predicted and become an essential part of a trading model. And this why, for me, such an approach might work with some instruments (eg vol) but not others (eg OJ futures). I find people panic and return from panic in a predictable fashion. < regarding experience and context. …, your strategy could stop producing overnight. > Agreed. However, I tend to frame the “when to use it” aspect as part of the model itself, rather than the skill of the operator, and so I tend to avoid seeing it as “experience and context” (although it probably is), because I like to keep the things confined to (over relying on?) the analytical model. I’m uncomfortable with there being an “X factor” to the trader, because it leans towards hubris and ego and feeling special etc. This is a vulnerable area for me, it’s unmeasurable. I could improve by crediting the experience without seeing it as ego.
Well, the problem with all of these approaches is wide tick size. At 5c bid/ask and daily vol is 50c, VIX futures are hard to turn around without paying an arm and a leg.
It looks that way, but it's not the case. A wide tick size can be an advantage for the patient trader in a more genuinely free market (as opposed to a CFD-like service). Often I get the better of both ends of the wide spread, moreso EOD and afterhours. In fact, right now, VIH24 will yield good results trading the spread alone, from 15.10 to 15.00 without even moving anywhere and no expectation of a trend. A daily vol of 50c is a huge inherent advantage. Low vol for high decay. I've no problem with low vol of vol environments! Its the high vol of vol that's difficult
About 10 years By strategy metrics do you mean performance KPIs of the strategy eg r/r, Sortino etc ie portfolio KPIs Or, do you mean metrics unique to the Strategy? I've my own metrics unique to the Strategy but each one is a vast topic in itself For example, "BiBeta" is a unique metric Within the Strategy, it measures the contrast between the Beta[bull] of vol & the underlying during bullish periods vs the Beta [bear] during Bearish periods, and there's beta [neutral]. See, often "experts" refer simply to the beta between 2 instruments but it's fallacy, or is inadequate for strategic purposes.