PORTFOLIO & TRACK RECORD

VOLATILITY RISK PREMIUM STRATEGY
(Trading XIV® and VXX®)


Remarks:
If not explicitly stated otherwise, track records do not account for slippage, fees, transaction costs, return on cash and/or interest on margin. The strategy does not utilize position sizing (e.g. Kelly, optimal f) and/or leverage, and neither uses abnormal market filters (e.g. during market phases with extremely elevated or low volatility) nor intraday (and/or overnight on CME Globex) buy/sell stops, and it is not ‘adaptive‘ (not adjusting to the ongoing changes in market conditions like bull and bear markets).

The strategy is always 'all in' on one side of the market (either long XIV® or long VXX®). The site is updated during the session with a preliminary estimate and finally 5-10 minutes prior to the market's close (04:00pm EST) with the position the strategy will be taking at the day's close. Position changes (and even if position maintained) are given notice of promptly via Twitter Twitter and StockTwits .
 




Total Equity Curve(s)
(10/16/2014 - 06/30/2015)


MM/DD/YYYY   original strategy, but I missed to disclose the update via Twitter

Entry DateAsset
(long)
EntryExit DateExit
(current)
P&L
(Trade)
P&L
(Total)
Drawdown
(from peak)
Sort TriggerSort Close
06/30/2015VXX20.14open20.14    ±0.00%    +11.28%    20150630
03/24/2015XIV35.3806/30/201540.61+14.78%+11.28%2015032420150630
03/10/2015VXX28.5103/24/201525.15-13.36%-1.73%-39.53%2015031020150324
02/03/2015XIV27.6803/10/201531.50+13.80%+11.40%-39.53%2015020320150301
02/02/2015VXX34.9002/03/201533.24-4.76%-2.11%-36.91%2015020220150203
01/12/2015XIV28.9202/02/201526.45-8.54%+2.78%-37.46%2015011220150202
01/11/2015VXX31.9801/12/201533.49+4.72%+12.38%2015011120150112
12/30/2014XIV33.9601/11/201530.41-10.45%+7.31%-34.57%2014123020150105
12/22/2014VXX28.4912/30/201429.20+2.49%+19.84%-25.12%2014122220141230
12/18/2014XIV33.0512/22/201434.91+5.63%+16.92%-28.66%2014121820141222
12/17/2014VXX31.0912/18/201430.17-2.96%+10.70%-26.48%2014121720141218
12/15/2014XIV30.8712/17/201431.99+3.63%+14.07%-32.62%2014121520141217
12/12/2014VXX33.8912/15/201433.05-2.48%+10.08%-29.05%2014121220141215
11/26/2014XIV39.5812/12/201430.11-23.93%+12.87%-27.25%2014112620141112
11/21/2014VXX27.9211/26/201426.70-4.37%+48.38%-4.37%2014112120141126
11/19/2014XIV36.7411/21/201437.90+3.16%+55.16%-2014111920141121
11/17/2014VXX28.6011/19/201428.78+0.63%+50.41%-3.01%2014111720141119
11/12/2014XIV37.5211/17/201437.04-1.28%+49.47%-1.52%2014111220141117
11/10/2014VXX27.8911/12/201428.28+1.40%+51.40%-2014111020141112
11/03/2014XIV34.5011/10/201437.97+10.06%+49.31%-2014110320141110
10/31/2014VXX30.3211/03/201430.81+1.62%+35.67%-2014103120141103
10/29/2014XIV34.3310/31/201435.06+2.13%+33.51%-0.35%2014102920141031
10/28/2014VXX30.5010/29/201431.02+1.70%+30.73%-2014102820141029
10/16/2014XIV27.1910/28/201434.95+28.54%+28.54%-8.06%2014101620141028
10/16/2014-Start0%2014101520141015

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