Premium Market Analysis, Trader Education, Software and Trading Strategies

Trading Strategies

Performance of a Volatility Trading Strategy

The rules of the volatility trading strategy are available to All in One premium content subscribers who renew their subscription for three months or to new subscribers for six-month initial subscription. Contact us for details. This offer may end at any time.

General description of the strategy

The strategy trades UVXY long/short in the daily timeframe. All positions are entered at the next open after the signals are generated. This strategy is not data-mined. The period of all backtests is from 01/03/2012 to 05/21/2021. No commissions are included.

The strategy shows in backtests potential for high reward but at higher risks. This type of strategy is suitable only for experienced market participants who understand market risk and can manage it well.

Performance of core rules

Below is the performance of the strategy.

Annualized return is 75% but it comes at high volatility and maximum drawdown, 88.4% and -66.8%, respectively. Sharpe is 0.85. There are 119 trades (59 long and 60 short) and win rate is 51.3%. Year-to-date return is 63%. Largest return is 328% for 2020.

The strategy rules are available to All in One premium content subscribers who renew their subscription for three months or to new subscribers for six-month initial subscription. Contact us for details.

Click here for a list of strategies. 


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 and backtesting program: Amibroker

Data provider: Norgate Data

If you found this article interesting, you may follow this blog via RSS or Email, or in Twitter

Disclaimer

Click here to subscribe.

Price Action Lab Blog Premium Content