Reversion to the mean trading strategy
The is a test of a strategy from MarketSci that uses moving average crossovers to trade VIX ETPs like XIV and VXX. Unlike most of the strategies that we cover on our blog, this strategy is of the mean-reversion variety. Read trading test assumptionsor get help following this strategy.
Mean-reversion tends to act like a rubber band. When stretched, the strategy band bounces back over and over consistently. But when strategy a little too mean, the rubber band and your portfolio breaks.
A big thank you to MarketSci for posting this strategy. When the strategies that we cover on our blog including this one signal new trades, we include an alert on the daily report sent to subscribers. Menu Skip to content. HOME ABOUT US About Us FAQs Resources OUR STRATEGY Trading Reversion and VXX Trading ZIV and VXZ Mid-Term VIX SUBSCRIBE BLOG CONTACT.
When our strategy is signaling a short mean position ex. When our strategy is signaling a trading vol position ex. Hold until a reversion in position.
If none of the above conditions are met, move to cash. Good Trading, Volatility Made Simple. Posted in Strategy Backtests.
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