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VIX, RSI and Bollinger…

January 23, 2017

VIX, RSI and Bollinger systems… together!

Greetings traders!
What does it happen if we collect together
VIX, RSI and Bollinger patterns systems
to create a more comprehensive strategy?
The above equity curve is derived by trading all the three guidebook systems
on the same account.
Backtest is on SPY etf with data back to 1993 (SPY inception).
Equity maximum is at about 160% of return trading SPY.
Trading futures, this is equal to about 22 Emini points * $50 *160 = $176000
of profits in 23 years trading backtest.
It means yearly $7652 of profit on average per future contract traded!
Have a look at the stats below:

1027 66,80 2,3 0,41 -0,36 4,09 -3,23 -4,17
T-score 8,5

% of winning trades are well above 65% and profit factor is well above 2 too
(my standard criterias). 1027 occurrences over 23 years period are equal to
about 45 trades per year. Considering about 260 (trading) nights on a year,
the global system is on the market only 17% of nights.
What I like most is the low -4,17% drawdown equal to -$4587
per contract traded.
To keep % drawdown lower than 25% of account, I would advise a $20000
initial capital per contract.
I didn’t consider any stop loss or take profit in this backtest.
To reduce overnight risk I would implement my 1.3% fixed stop loss.
Below are yearly returns:

Last year weak result was mainly due to a general extraordinarily weak
overnight market with yearly sum of SPY all nights of -3,03%.
We have not been in a real bearish market as defined by 200 SMA filter,
so the methodology only marginally benefited from the bearish patterns
which rarely triggered.
Anyway, this is the perfect year to jump in again and ride back to the
usual system results!

Have a look at Nightly Patterns Systems page for them or
if you have any questions,
please refer to:

Enjoy your reading,
Marco Simioni
Nightly Patterns

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