VXX system by Ignatz Schalajda

[Ron Bertino]

VXX system by Ignatz Schalajda.

Here is what he said:

• VXX level has to be above 15, some systems above 18 or 20
• exit is always stops after 12-40 days, no stop loss, no take profit
• use weekly days to enter, some say only enter on Friday, some say after Wednesday.
• as a trend filter I use levels, one is: HHV (highest high value) of the last 9 days has to be lower than the day before and of course trend has to be negative
• the other one: the close higher than the day before of the last 17 days has to be greater than 3

I tested a lot of other parameters and deleted most of them. the less the better.
Only 3 or 4 parameters were left, some parameters are nearly the same in all system.
And it doesn´t make a big difference, if the parameters are a little bit higher or lower.
Every version was profitable in the out of sample area.

 

[Adrian]

Ron, what is the trade, short VXX?

 

[Ron Bertino]

Ron, what is the trade, short VXX?

Yes

 

[Adrian]

Just short the stock or using options? Is there a link to the trade plan?

 

[Ron Bertino]

Just short the stock or using options? Is there a link to the trade plan?

The above is all that he has released so far.