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.