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.
