The aim of this site is to explore topics related to VIX trading and to research ideas through quantitative backtesting.
If you are interested in index futures trading, follow me at my other website:
or if you are interested in GOLD commodity trading
My name is Marco Simioni and I was interested in volatility well before the inception of the VIX etps. The VIX index has always represented one of the most researcher-friendly indices in the financial world. But, although I have studied many strategies relating to the VIX itself, when the VIX etps appeared, I realized that they were impossible to trade without taking into account the many complexities of volatility, such as contango and backwardation. That’s why my initial quick foray into VIX research became a trading/backtesting odyssey that required an investment of many years before a strategy that is profitable in an actual trading environment could be developed.
I like to focus on uncorrelated “concepts” or “strategies” to build my trading system. I think many systems fail because they rely on concepts that are too correlated. Here is my correlations table for The Summit system. I want concepts with low or, if possible, negative, correlation.