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It trades UVXY -- an ETF that holds VIX futures contracts.
Member Danny created this strategy with The Boss SuperAi.
Most strategy designers would attempt to use price indicators like RSI, MACD, stochastics, etc, etc to generate buy/sell signals.
This newsletter focuses on the cutting edge of technical trading -- not so much on price-base indicators from the 90's.
Here's the C code for this strategy: |
The first thing you might notice is how simple the code is. Just four lines.
Then you might ask "what the heck is FundFlow/AUM ratio?" Fund flows are done by large traders creating or redeeming ETFs.
For example, they can swap their futures holdings for ETF shares -- typically done in blocks of 50,000 or more shares. AUM stands for "assets under management."
By taking a Fund flow to AUM ratio, we can come up with a percentage like: "2% of the fund flowed out of UVXY today." That way you can compare apples to apples instead of raw fund flow dollars.
Make sense?
Shockingly, this strategy doesn't look at fund flows in or out of UVXY. It's so weird and counter-intuitive that I don't think any programmer would figure it out.
Not that the machine is smarter than a human -- it's just that it tries every idea no matter how silly it might seem.
Fun fact: The Times famously predicted in 1894 that "In 50 years, every street in London will be buried under nine feet of manure." Funny how these Chicken Little "sky is falling" predictions never pan out. |
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Disclaimer: The results listed herein are based on hypothetical trades. Plainly speaking, these trades were not actually executed. Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under (or over) compensated for the impact, if any, of certain market factors such as lack of liquidity. You may have done better or worse than the results portrayed.
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