Subject: Did you read this past Alvarez Quant Trading blog post?

Revisiting old research can spark new research or trading ideas. Read this old post, Taming High Return and High Risk.

I was at a recent talk of the Northwest Traders and Technical Analysts group where they presented a VXX strategy with some huge return and drawdown numbers. Trading this would be very difficult. This got me thinking. If I had a strategy like this, how could I tame the numbers? Through the years, I have seen various ideas about how to do this but never looked into it. Searching the web one can find various volatility ETF strategies with very high returns and high drawdowns.

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Good Quant Trading,
Cesar


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