Vix Futures & Term Structure III

I was able to utilize Bloomberg data and run everything through MatLab. I ran a few generic tests and included some commission with pretty good results:

Vix Futures Spread Daily PnL 2

I am specifically looking to sell (reverse time spread) at overbought levels and closing out at a mean value. The code i utilized is pretty bare bones, no fancy GARCH/ARIMA/AR modeling. It seems to me that all these models fit utilizing past historical data to fit the future, therefore these are all lagging indicators and no better then using a smaller lookback period on a typical indicator. I could be wrong and my hope is a practitioner with actual P&L can show me as much.

More importantly this strategy brings up my core philosophy when it comes to systematic and trading in general:

Fit the security to the model, not the model to the security.


~ by largecaptrader on August 31, 2009.

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