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:

If you have any questions, please do not hesitate to contact me at:

BACKTESTING VIX

backtestingvix@hotmail.com

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s