I think I was a little overzealous in previous posts where I had detailed and showed charts of trading with the VIX models versus the S&P 500. Not that I do not believe in the informational value contained in the standardized VIX, but it is that I also believe the daily trading model I set up would exact too high of cost as it relates to trading.
With that said, I rejiggered the model a bit to calm the daily churn and also added another check to the , namely the trend in stock prices. Here is how the latest model pans out against the S&P 500 since early 2000. The pink line below charts the VIX-related portfolio while the blue line is the S&P 500. The performance is still impressive in my mind.
With that said, I rejiggered the model a bit to calm the daily churn and also added another check to the , namely the trend in stock prices. Here is how the latest model pans out against the S&P 500 since early 2000. The pink line below charts the VIX-related portfolio while the blue line is the S&P 500. The performance is still impressive in my mind.
Although I continue (will continue) to make tweaks to the model, in some ways I think the point is moot. Yes, I use models in many aspects trading and investing, but I also know they are not the end all and be all. A tool is just a tool, and a hammer will not build you a house. It is all a question if the model appears robust (which I believe the standardized VIX data is) and how you interpret and use it.
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