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%…Details
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…Details
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…Details
Strategy Almost exactly the same as the Tactical Asset Allocation strategy from my previous post, however, rather than reallocating the entire portfolio to one asset when the other’s long window is below its short window, the strategy is to move to cash for that portion of the account. The interesting takeaway from this is that…Details
Strategy Using momentum on the classic 60/40 portfolio, drawdown and performance are both improved. This strategy takes the simple SMA cross of both SPY and TLT and determines whether to hold both, only one, or move to cash. The optimized SMA crosses are 200-20 for SPY and 80-15 for TLT; when only one asset has…Details
Strategy A classic buy and hold strategy recommended for passive portfolios. The ETFs SPY and TLT were used to gain the equity and fixed income exposures respectively. This classic buy and hold strategy has worked well in the past given the tendency for these two asset classes to have negative correlation (except during major market…Details
Builds on top of the simple 200 day moving average concept, but uses a short window to determine whether there is positive momentum in the market. The optimized short window was a 20 day simple moving average.
Calculate a simple 200 day moving average using the closing prices of the ETF SPY. If the current price SPY is above the 200 SMA, I will long the security, otherwise, move to cash. This is a simple momentum strategy, but powerful in that it almost completely avoids the 2008 Financial Crisis.