First, our indicator performance in 2016 (through July):
- VRP+VXX Bias: +91%
- VXX Bias: +142%
- VRP: +16%
Performance in 2016 of the "short volatility ETN" (ticker: XIV) and the "long volatility ETN" (ticker: VXX):
- XIV (buy and hold): +31%
- VXX (buy and hold): -49%
The daily equity curve of all indicators, compared to XIV (buy-and-hold):
Actual Trade Performance
Our VRP+VXX Bias and VXX Bias indicators and both 100% automated algorithms which send signals to Collective2's platform for auto-trade execution in our trading account (NOTE: we do not trade the standalone VRP strategy).
Our actual trades and performance can be found on Collective2's site (links: VRP+VXX Bias & VXX Bias). You will find differences between the ideal indicator performance (above) and actual trading performance for the following reasons:
- The VRP+VXX Bias indicator ("Trading Volatility 1" on C2) was launched on C2 on Feb 2, 2016.
- The VXX Bias indicator was launched on C2 on Feb 19, 2016
- Both C2 systems traded only 72%-80% of portfolio equity until April 1. After April 1, both C2 systems trade at ~97.5% portfolio equity (ideal indicator performance assumes ~100% use of equity).
Compared to the indicators' track record, 2016 has the potential to be an above average year. As posted on our Strategy Page, we have the annual statistics for each of our strategies compared to XIV (buy-and-hold):
We also now track our strategy statistics on a monthly timeframe:
One other observations is that trading has been less active than usual this year with only 7 trades so far for VRP+VXX Bias and 5 trades for VXX Bias.
All-in-all it's been a good year so far. It will be interesting to see how the rest of the year unfolds.
Hypothetical and Simulated Performance Disclaimer
The results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. Additional performance differences in backtests arise from the methodology of using the 4:00pm ET closing values for XIV, VXX, and ZIV as approximated trade prices for indicators that require VIX and VIX futures to settle at 4:15pm ET.