Bear Market Strategy Ideas

Now that I’ve refined my bull and sideways market strategies quite a bit, I need to start really thinking about what I need to do during bear markets or corrections. I’m going to consider bear market strategies on specifically equities and volatility. The nuances with a bear market are quite different compared to a bull…

SPY SMA Optimization – Revisited

Today, I wanted to revisit the Simple Moving Average cross for trading SPY since it is still a major holding of my portfolio. Originally, I was optimizing the cross by maximizing the Sharpe ratio across the entire 10 plus-year history from 2007 onward. However, I thought it would give a better idea if I had…

Worst Case Scenario for Shorting VXX

Now that I’ve been trading the short VXX strategy and its variations for almost a year; I felt very motivated to try and estimate some worst case scenarios before 2009 when VXX was created. To do so, I did some rough quick and dirty calculations using the historical VIX Futures settlement prices as well as…