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VIX Futures Curve Arbitrage Strategy Trading System
To learn more about this system,
Call 800.669.8838/312.987.0043 or Email us» . |
Developer: Tillmann Sachs |
Market Sector: | Stock Indexes |
Markets Traded: | |
System Type: | Swing Trading |
Risk per Trade: | varies |
Trading Rules: | Not Disclosed |
Suggested Capital: | $300,000 |
System Cost: | $999.99 Monthly Subscription |
Results Available?: | Contact us for Info |
System Description: | The VIX Futures Curve Arbitrage Strategy only trades liquid and exchange listed futures which reference the CBOE VIX Index. The strategy is fully systematic. By default, the strategy holds a long position in a deferred futures contract and a short position in a nearby contract. It seeks to take advantage of the roll yield differential between the deferred and nearby contract. If the momentum in the nearby future is greater than in the deferred future, the strategy closes out all positions. When the momentum reverses, the strategy takes its default position again. The return stream can be lumpy and drawdowns can be sudden and take longer than expected for recovery. |
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