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Simple spreadsheet model
Various models have been tested over the last couple of years, such as
trading based on the average VIX futures premium, standard deviation of
VIX changes, or the difference between VIX and actual volatility of the
S&P500. Historical
performance was great, but did not spill over into the present, when
the models were tested in actual trading.
Below is a summary of the simulated historical performance of the
latest model. It needs to be tested in live trading. The model is
simpler than previous models, in the hope that this will protect
against overfitting. It is based on the strong erosion of the UVXY
value over time.
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