As we have mentioned previously, we do not offer a volatility strategy signal service due to the high risk of ruin. As the Monte Carlo analysis shows, the probability of a drawdown greater than 60% is as high as 30%. In general, trading volatility ETPs carries high risk of ruin due to sudden spikes in volatility. Therefore, the strategy is offered for information purposes only.
Volatility strategy details
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Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.
Charting program: Amibroker
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