A simple, yet untradable (unstable), VIX Strategy using two ETFs.

It has a simple binary (all or nothing) allocation:

1. long vol (buy VXX), 

2. short vol (buy XIV),

3. none.

Signal is just the standard RSI but used as a momentum (rather than a contrarian) indicator. Levels are also those standard to indicate overbought or oversold securities (i.e. 85, 70, 30, 15).

Strategy is, however, a pie in the sky... a simple daily VIX/VXV ratio signal still more stable/reliable.

Author

Alex Muci

October 2017