Tuesday, January 16, 2018

XIV vested for Wednesday...01.16.18

A tremendous call by our model at Friday's close kept us safe from the 5% swoon in XIV today. Keep in mind that the trend following model uses a combination of momentum and volatility parameters to generate our daily signal so simple momentum is often not a valid criterion to remain vested.  Such was the case with Friday's close.
For tomorrow the signal is vested but we may expect selling to extend into the open after a 300+ swing to the downside today so a bit of caution is advised either by scaling back trade size or simply waiting for the open +30 minutes before initiating any new trades.
Today's action put a serious dent in the unstopped benchmark XIV metrics and brought us almost on par for the past 250 trading days albeit with a considerably lower net % drawdown and only limited position exposure.