After reading this post, I’ve realized that my trading strategy was built on an erroneous understanding of the VIX products such as VXX and UVXY. It’s actually not the daily roll that causes the decay on these ETFs, but the normal convergence of the Futures price towards the spot price of the underlying instrument as we approach…
So after the last two weeks of heavy swings and poor trade timings/decisions, I’ve decided to go back and revisit some of my models. It appears that capping your gains at 5% is not exactly an optimal strategy and that just letting the F1/F2 ratio dictate your entry and exit would make you better off.…
This section of the book begins with an introduction on the teachings of Isocrates to his student Demonicus, who was young and ambitious. However, the path of ambition can be dangerous and Demonicus is informed to practice self-control and refrain from haughtiness “and that the best thing which we have in ourselves is good judgement.” Isocrates’…
No adornment so becomes you as modesty, justice, and self-control; for these are the virtues by which, as all men are agreed, the character of the young is held in restraint.
Practice self-control and do not fall under the sway of temper, pleasure, and pain.
Abhor flatterers as you would deceivers; for both, if trusted, injure those who trust them.
Be affable in your relations with those who approach you, and never haughty; for the pride of the arrogant even slaves can hardly endure.
Be slow in deliberation, but be prompt to carry out your resolves.
The best thing which we have in ourselves is good judgment.
Constantly train your intellect for the greatest thing in the smallest compass is a sound mind in a human body.
“Self-confidence becomes arrogance, assertiveness becomes obstinacy, and self-assurance becomes reckless abandon.” – Bill Walsh
“The first principle is that you must not fool yourself—and you are the easiest person to fool.” – Richard Feynman
I’m currently reading this book by Ryan Holiday and I thought that rather than make a short summary and post it into my Finished Readings section, I’d dedicate a post to summarizing the teachings and what I found interesting within this book. As a stoic, I believe the lessons in this book are incredibly relevant…
Strategy Building on my previous post, the goal is to not wait until VIX Futures backwardate to realize our gains. Instead, we systematically take profits when we see them during the periods we are signaled to short VXX. For my backtest, I chose to close any short VXX positions if the security was trading 5%…
Strategy This strategy is almost identical to my previous post, except with the difference being we will actually use the VIX Futures’ Term Structure this time to know exactly what the contango between the Front and Second month contracts are. Essentially, we will take the settlement prices of the previous day’s First and Second month…
Strategy This strategy has a bit more complexity than my other posts. It is essentially taking advantage of the VIX Futures’ Term Structure. I won’t go into too much detail, but this article does a great job of explaining the nuances. A brief summary is that since VIX Futures are usually in contango, VXX managers…