Our Daily Bias indicators read these moves well and produced two great trades. A change to a positive VXX Bias signaled a buy in VXX on September 18 and a change to a negative VXX Bias on October 21 signaled a VXX sell for a gain of 21%. The move to a negative VXX Bias on 10/21 signaled time to move back to short volatility by buying XIV, a trade that is +7% as of October 31. Both of these trades helped us continue our quest to once again outperform the market this year.
Looking at year-to-date performance of the two VXX Bias strategies through October 31:
- Negative VXX Bias strategy: +21% vs +2% for XIV
- Positive VXX Bias strategy: -5% vs -28% for VXX
Extending the performance time frame of the Negative VXX Bias strategy back to 2012:
- Negative VXX Bias strategy: +566% vs +411% for XIV
Turning attention to ZIV, the Positive ZIV Bias strategy was +1.3% in October bringing the YTD total to +4.8%.
Over the longer time frame back through 2011:
- Positive ZIV Bias strategy: +391% vs 256% for ZIV.
Performance Data files:
- VXX Bias: 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2013, 2014
- 2012-2014 (multi-year)
- ZIV Bias: 2011-2014 (multi-year)
Hypothetical and Simulated Performance Disclaimer
Additional performance differences in backtests arise from the methodology of using the 4:00pm ET closing values for XIV, VXX, and ZIV as an approximated trade prices for indicators that require VIX and VIX futures to settle at 4:15pm ET.