The VIX is up over 6% today and the pause below 14 was short lived, to say the least.
Continuing the MVP studies here are the MVP trades only using the ATR and PCL versions.
For ease of study the 2 year unstopped benchmark price and the MVP trade results are shown on the same chart.
At least 2 observations should be clear.
1.The ATR returns could be substantially improved by use of a trailing stop (see yellow arrows on the equity chart). Giving back 2-4 % after a nice gain is not necessary with simple stop controls.
2. The PCL returns are much better than the ATR returns and it all has to do with the relative value of the PCL algorithm versus the ATR. Note that we do not have the trailing stop issue with the PCL trades in the same manner at the ATR.
The green dotted vertical lines designate the actual trades in the ATR and PCL models. They are not the same....and again demonstrate the relative attractiveness of the PCL approach.
While the MVP remains a work in progress we can now see how only a few very high probability trades can produce decent returns while keeping capital securely in cash the vast majority of time.