Trading the VIX- Part 3

I am making some minor tweaks to the VIX-based timing model. Nothing substantial, but I am altering some of the breakpoints I mentioned earlier and shortening the look-back period used to derive a long or short signal. Instead of the -1.25 and 0.5 break points I mentioned in this post, I am moving to the break points to +/- 0.75. I am doing this to not only increase the signal rate, but the performance figures appear better using the change in the break point regime.

The VIX-based model portfolio is shown as the pink line below.

The change results in 261 percentage point improvement in performance over the observed time period. For further illustration, the following table shows 6-month performance statistics for the buy-and-hold case and for periods when the standardized VIX is above or below +/- 0.75.

	BnH	> 0.75	< -0.75
Average	0.76%	0.18%	1.22%
Median	2.37%	-0.21%	3.16%
# Obs >0	1815	352	755
Total Obser	3123	706	1203
% Obs >0	58.1%	49.9%	62.8%

Provided the changes, the VIX gave a weaker buy signal early last week (highsight is glorious isn't). I will add a position in the SPY to reflect this signal, but note that it may be set to wane in the coming days. I am also changing what TIP funds I buy in the portfolio due to Marketocracy's limitations. I will now to be using the Spider International TIP Fund (ticker WIP) and the PIMCO 1-5 year TIP index (ticker STPZ) for TIP exposure. Again, the public profile of this portfolio can be found here.