Longest “Cash Position” Streaks for the VTS Tactical Volatility Strategy

by | Dec 27, 2016


When it comes to trading the volatility products XIV and VXX, something that I have stressed numerous times over the years is:  Cash is king.

More specifically, having a strategy that regularly moves to cash positions during times of ambiguous trade signals is the single best line of defense against suffering excessive drawdowns.  By now these volatility products are fairly well known and many traders already understand the best times to be taking trades.  But that’s the easy part.  By far the most important aspect to trading these products, especially as we move forward into very uncertain times is:

When NOT to take trades.


Since inception of the VTS Tactical Volatility strategy here’s the bullet points of our performance:

  • 82% Annualized return
  • A maximum drawdown less than 30%
  • Sharpe Ratio:  2.12
  • Ulcer Index:  13.51
  • Correlation to the S&P 500:  less than 30%

As impressive as those numbers are, the most unique part of our strategy is we’ve only been allocated to trades 45% of the time.

That’s right, we’ve returned over 80% a year since inception all the while being in cash 55% of the time.


Here’s a chart showing the longest streaks of cash positions since inception:


If we’re in cash for a month or two, so be it.  Only when all of our indicators we track are flashing a solid green light, and only if all of them agree with one another do we actually take trades.  The rest of the time we are content sitting on the sidelines and waiting for better trading opportunities.

As a result of us only taking the highest conviction trades we have the safest and most consistent strategy available anywhere.  All without sacrificing the extremely high annual returns that our clients have become accustomed to.

Click here to see the full results of our flagship VTS Tactical Volatility Strategy


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