Backtesting Vix – The Summit System

The equity curve above shows the cumulative % daily returns of The Summit trading system tracked monthly.

CAGR = 177.5%

monthly max drawdown = -40%

daily maximum drawdown = -40% (compounded -40%)

trade frequency = 4.18 trades per week on average

inception = 2004 (live since September 2016)

The Summit exploits both roll-yield and VXX price behavior. The backtest extends from  January 2011 to present.

Here are cumulative monthly percentage returns:

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