VIXEN – Implied Volatility Reversal Trading
VIXEN tracks implied volatility and in my not so humble opinion is the best trading system I have ever developed to date (and I’ve done this for a long time). The system leverages VX index tracking inefficiencies in volatility related exchange traded products (ETPs), is 100% mechanical, and zero discretion is recommended.
During our research VIXEN was exhaustively tested between 2014 through September of 2018 and appears ‘anti-fragile’ as it performed consistently throughout diverse market cycles over those four years. Performance does not appear curve fitted as changing system parameters only marginally affects performance.
Median expectancy across four ETPs without trade scoring has been .32R across 1698 campaigns combined over four years (424/year). With trade scoring > 4 this rises .38R across 1370 campaigns over years (342/year). Trade scoring > 5 increases expectancy to a median of .45R across 838 campaigns (209/year).
VIXEN has performed consistently on a long term basis with relatively low drawdown periods. Max drawdown unfiltered by trade scoring has been ~37 R across all four symbols combined, which comes out to < 10R per symbol. Filtered > TS4 this drops to <22R which is 5.5R per symbol, which IMO is the sweet spot. Filtered > TS5 max drawdown is almost identical at < 22R, again 5.5 R.
This VIXEN reversal trading system has been retired.