Roll-Yield + VRP

Roll-Yield + VRP

Swing trading strategy.  Primarily systematic, but may use discretion from time-to-time.  Does not use leverage – so allocations will never be over 100%.  Goal is to achieve higher Gain / Loss Ratio than an XIV Buy and Hold approach.

-Trades XIV, VXX, and Cash

-Trade decisions driven by the Roll-Yield and VRP

-Positions last anywhere from 1-day to several months

-No intraday stop-losses

-Maintains constant 100% allocation to positions

-Executes trades using Market-on-Open orders

-Live: October 2015 – Present (no backtest due to the occasional use of discretion)


See our Strategy Summary Sheet for more details on our strategies.


Note: We started live trading our Roll-Yield + VRP strategy in October 2015.  We joined Collective2 in April 2016 (but did not place our first trade with Collective2 until 6.30.16) to verify our live results.  Full monthly performance for our Roll-Yield + VRP strategy starts July 2016 on Collective2.
**Past Performance is no guarantee of future results.**
See our Disclaimer.
See the assumptions of our backtest here.