VXX system by Ignatz Schalajda.
Here is what he said:
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.
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.