Following this weekend's post here are 2 similar approaches to trading the VXX volatility ETN.
In the first case we use the PVOL momentum model which combines momentum as measured by price action of the pivot combined with a confirmation signal that the ATR is in a descending pattern.
The second model TFATR1 ignores price action and focuses solely on the behavior of the ATR metrics. As might be expected the combo PVOL model requiring a confirmation signal has a lower net drawdown and a lower net return over our 1 year lookback. The less discriminate TFATR1 model kicks out a better return at the cost of increased risk exposure. TFATR1 also trades 20% more frequently and has a better win/loss ratio than the combo model. That's the tradeoff.
Both models are long VXX for tomorrow....but keep in mind Wednesday is FED day and the historical odds favor a negative VXX behavior 72% of the time so longs should be ready to bail if things turn ugly. Observe the limit stop.