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iPath S&P 500 VIX ST Futures ETN Message Board

  • tnmc77 tnmc77 Feb 11, 2012 12:49 PM Flag

    Mean reversion signal - "Short VXX"

    My momentum based sub-system issued a "buycover VXX" signal after Thursday's close. It only occasionally issues a mean reversion "Sell short VXX" signal, but it has done so after Friday's close.

    We shall see how it does. I think indicators wise there is a real tug-of-war. I may be stating the obvious but it will be totally news driven.

    Here are the backtest results. The system mainly gains from momentum based sub-system but meanr reversion sub-system certainly helps.

    http://finance.groups.yahoo.com/group/Winning_Portfolios/




    Position Entry Date Exit Date NDO Entry Price NDO Exit price Trade % System %G/L

    Short VXX 4/20/2009 4/21/2009 100.41 97.2 3.20% 3.2%
    Short VXX 4/27/2009 4/29/2009 99.32 92.83 6.53% 9.9%
    Short VXX 5/13/2009 5/14/2009 87.3 81.5 6.64% 17.2%
    Short VXX 5/21/2009 5/22/2009 81.45 83.81 -2.90% 13.8%
    Short VXX 6/3/2009 6/4/2009 78.72 77.57 1.46% 15.5%
    Short VXX 6/15/2009 6/19/2009 75.52 77.97 -3.24% 11.8%
    Short VXX 7/2/2009 7/8/2009 72.47 73.5 -1.42% 10.2%
    Short VXX 7/28/2009 8/3/2009 62.82 61.33 2.37% 12.8%
    Short VXX 8/6/2009 8/7/2009 60.04 58.8 2.07% 15.1%
    Short VXX 8/17/2009 8/19/2009 61.88 58.69 5.16% 21.1%
    Short VXX 8/25/2009 8/27/2009 58 56.75 2.16% 23.7%
    Short VXX 9/1/2009 9/3/2009 62.54 60.04 4.00% 28.6%
    Short VXX 9/18/2009 9/21/2009 51.42 50.09 2.59% 31.9%
    Short VXX 9/24/2009 9/28/2009 51.3 49.34 3.82% 37.0%
    Short VXX 9/30/2009 10/5/2009 50.36 49.86 0.99% 38.3%
    Short VXX 10/21/2009 10/22/2009 43.84 41.65 5.00% 45.2%
    Short VXX 10/26/2009 10/27/2009 43.65 43.48 0.39% 45.8%
    Short VXX 10/28/2009 10/29/2009 45.02 44.39 1.40% 47.8%
    Short VXX 11/12/2009 11/13/2009 44 42.97 2.34% 51.3%
    Short VXX 12/3/2009 12/7/2009 37.91 38.9 -2.61% 47.4%
    Short VXX 12/8/2009 12/9/2009 39.39 38.5 2.26% 50.7%
    Short VXX 12/31/2009 1/4/2010 33.22 32.76 1.38% 52.8%
    Short VXX 1/21/2010 1/27/2010 29.75 30.6 -2.86% 48.4%
    Short VXX 1/29/2010 2/1/2010 31.04 29.9 3.67% 53.9%
    Short VXX 2/4/2010 2/10/2010 31.92 32.4 -1.50% 51.5%
    Short VXX 4/27/2010 5/3/2010 20.09 21.08 -4.93% 44.1%
    Short VXX 7/14/2010 7/15/2010 25.98 26.46 -1.85% 41.4%
    Short VXX 7/16/2010 7/19/2010 27.04 27.44 -1.48% 39.3%
    Short VXX 8/5/2010 8/6/2010 22.12 21.26 3.89% 44.7%
    Short VXX 8/11/2010 8/17/2010 23.63 22.59 4.40% 51.1%
    Short VXX 8/19/2010 8/20/2010 23.37 22.55 3.51% 56.4%
    Short VXX 9/22/2010 9/24/2010 17.51 16.61 5.14% 64.5%
    Short VXX 9/29/2010 10/1/2010 16.77 17.18 -2.44% 60.4%
    Short VXX 11/1/2010 11/2/2010 12.99 12.87 0.92% 61.9%
    Short VXX 11/12/2010 11/18/2010 47.16 45.64 3.22% 67.1%
    Short VXX 11/30/2010 12/2/2010 46.99 43.89 6.60% 78.2%
    Short VXX 1/28/2011 2/1/2011 31.64 30.72 2.91% 83.3%
    Short VXX 2/22/2011 2/24/2011 32.64 32.7 -0.18% 83.0%
    Short VXX 6/15/2011 6/20/2011 24.9 23.41 5.98% 94.0%

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