Tony Cooper Volatility Strategy #3 - VIX Contango - Tweaked v1.0

This trading system is based on Tony Cooper's volatility trading strategy #3, which is to simply buy XIV when the VIX futures are in contango and buy VXX when the VIX futures contracts are in backwardation.

It adds to Tony Cooper's startegy by adding a couple of buy and sell rules. These added rules run the risk of being curve fitted and may not work in the future.

VXX has only been around since 2009 and loses money most of the time except for some brief spikes.
XIV has only been around since the end of 2010 and makes money most of the time except for some brief periods. If XIV would have been around on Black Monday in the 1980's when the VIX spiked overnight by more than double then it would have lost 100%.

I backtested this system using synthetic volatility data starting in 2004 and got ~100% AR with ~50% DD, but my synthectic volatility data may not be fully accurate.

These instruments are very risky. You should not trade them unless you understand what makes them tick and only if you limit your investment in them to under 5% or so of your capital.

Technical Analysis

• Tom Demark -TD- Range Projections
• Adaptive BuyInd MR_Mom Strategy
• NSE Nifty - S&P CNX Nifty
• Industry Measure: Ratio of Bullish to Bearish All-Star Traders Picks
• Highest close
• Number of Stocks Making a new 52-Week Low - Market Indicator
• Average Stock Standard Deviation by Industry
• TFS Volume Oscillator
• NYSE - Round-Lot Share Volume
• TSI indicator by Frank Hassler
• More trading objects...

Fundamental Analysis

• Forex Tweets
• Yale - Crash Confidence Index
• Historical Economic Events
• Bankruptcy Filings - Chapter 7
• Coverage and Liquidity ratios
• ETF Data: NAV - PE- Fees - Assets - Yield - Beta
• Broker Ratings & Recommendations
• Optionable Stock
• Next Earnings Release In Days
• Analyst Rating
• More trading objects...