The market tanked in the early session and we sold out our VXX longs when SPY hit -600 or S3 on the pivots. Based on the closing signal, which is still long VXX, we re-entered a long VXX position at the close of after hours trading since the markets were we recovering into the close and in the after hours session. VXX was down 1.7% after hours so our re-entry strategy saved a few risk dollars by waiting until 4:45 PST.
I've also attached the current silver trades using the silver proxy ETF SLV. Note that there returns are over a 6 month period only. This is the Z-score based pairs trading model much discussed in previous posts over the past few years. I have modified it to only track a single input using the Z-score algorithms rather than a long/short pair strategy.
