This is the flagship strategy, live from 2019. No year under 20%. Works on SP500 E-Mini futures.
As of September 2023, among the 44 C2 "Old Timers" strategies (strategies that have been tracked for over three years), we are ranked 7th by the 'Heart Attack Index,' 9th by the 'Sharpe Ratio', and 22nd by the 'W/L ratio'.
In 2018, various tests were conducted, but the performance was not relevant.
In March 2020, during the Covid crisis, the strategy experienced a drawdown due to fixed lot exposure. The strategy now uses volatility-adjusted exposure.
As of September 2021, the strategy is intraday only.
On January 24, 2022, due to the strategy's lack of performance on the short side, it became long only.
On January 26, 2022, the strategy was refined to reduce its exposure during volatility spikes.
On February 22, 2024, the strategy can hold positions overnight.
The following curve represents the backtest of the strategy *:
* Backtest based on 1/2 tick fees per trade to account for slippage and commissions
The associated statistics are summarized in the table below:
Drawdown analysis provides a comprehensive overview of the distribution of drawdowns within the backtest. The histograms are designed to illustrate both the magnitude and frequency of these drawdowns, whether in terms of their value or duration.
The strategy uses the VIX volatility index as the main indicator to anticipate short-term movements of the S&P 500. The idea is to spot when the VIX is unusually high or low relative to its recent trend, and then take positions on S&P 500 futures.
The most recent change in the VIX (over a few minutes) is compared to its average behavior over several trading days. This difference is converted into a unitless oscillator that measures how far the VIX deviates from its “normal” level in volatility terms.
Buy Signal: when this oscillator falls below a “too low” threshold, buy the S&P 500.
Sell Signal: when the oscillator rises above a “too high” threshold, exit the position.
Thresholds are set to filter out minor fluctuations and only trigger on significant volatility moves.
Upon entering a trade, the position size is scaled according to the current VIX level, so that a highly volatile environment leads to a smaller position, and vice versa. The goal is to maintain an average leverage close to 1 regardless of market conditions.