VXX Bias performance - 2009-2013 Review
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--> Long XIV when VXX Bias is negative (Column G is negative)
--> Long VXX when VXX Bias is positive (Column G is postive)
*** Trade decisions made at end of trading day using the next day's Bias forecast
"Negative TV Bias" Portfolio w/ CONSTANT POSITION SIZE
2009 - 2013
"Negative TV Bias" Portfolio w/ REINVESTED GAINS
2009 - 2013
XIV Portfolio
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Negative TV Bias (VXX)
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# of Gains15Cummulative Return468%Cummulative Return2383%1636%
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# of Losses11
5
Avg Return17.65%
6
Max Gain185.07%
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Max Loss-21.23%
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Sum of All476.50%Signal ThresholdPosition Size10,000
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0"Negative TV Bias" Portfolio w/ CONSTANT POSITION SIZE"Negative TV Bias" Portfolio w/ REINVESTED GAINS
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DateXIV CloseVXX CloseDaily VXX % ΔVXX Weekly Roll YieldForecasted VXX BiasXIV Trigger PriceNegative TV Bias (VXX)
Gain / Loss %
Buy/Sell signal# of XIV sharesXIV ValueCash"Negative VXX Bias" Portfolio Value"TV Bias-Negative" Portfolio % Change# of XIV sharesXIV ValueCash"Negative VXX Bias" Portfolio Value"Negative VXX Bias" Portfolio % ChangeXIV Portfolio % change
11
1/30/20091.986693.123.5%1.55%2.0010,00010,0000%10,00010,0000%0%
12
2/2/20091.996672-0.3%1.71%2.100010,00010,0000%0010,00010,0000%1%
13
2/3/20092.086359.68-4.7%1.19%2.300010,00010,0000%0010,00010,0000%5%
14
2/4/20092.086383.360.4%1.54%1.700010,00010,0000%0010,00010,0000%5%
15
2/5/20092.096344.32-0.6%1.62%2.100010,00010,0000%0010,00010,0000%6%
16
2/6/20092.126252.8-1.4%1.45%2.200010,00010,0000%0010,00010,0000%7%
17
2/9/20092.086357.121.7%1.21%2.000010,00010,0000%0010,00010,0000%5%
18
2/10/20091.976694.45.3%1.53%1.700010,00010,0000%0010,00010,0000%-1%
19
2/11/200926596.48-1.5%1.35%2.100010,00010,0000%0010,00010,0000%1%
20
2/12/20092.016576.64-0.3%0.54%1.900010,00010,0000%0010,00010,0000%2%
21
2/13/20092.026527.36-0.7%0.7%0.900010,00010,0000%0010,00010,0000%2%
22
2/17/20091.926853.765%2.16%1.100010,00010,0000%0010,00010,0000%-3%
23
2/18/20091.96926.081.1%1.26%2.900010,00010,0000%0010,00010,0000%-4%
24
2/19/20091.96929.920.1%0.63%1.800010,00010,0000%0010,00010,0000%-4%
25
2/20/20091.817252.484.7%1.01%1.000010,00010,0000%0010,00010,0000%-9%
26
2/23/20091.717640.325.3%1.04%1.500010,00010,0000%0010,00010,0000%-14%
27
2/24/20091.886917.12-9.5%0.3%1.500010,00010,0000%0010,00010,0000%-5%
28
2/25/20091.896876.8-0.6%0.03%0.600010,00010,0000%0010,00010,0000%-5%
29
2/26/20091.876945.281%0.14%0.200010,00010,0000%0010,00010,0000%-6%
30
2/27/20091.876954.880.1%0.19%0.400010,00010,0000%0010,00010,0000%-6%
31
3/2/20091.737448.967.1%0.9%0.400010,00010,0000%0010,00010,0000%-13%
32
3/3/20091.747417.6-0.4%1.13%1.300010,00010,0000%0010,00010,0000%-12%
33
3/4/20091.866899.84-7%1.06%1.600010,00010,0000%0010,00010,0000%-6%
34
3/5/20091.757315.26%1.52%1.500010,00010,0000%0010,00010,0000%-12%
35
3/6/20091.767256.32-0.8%1.37%2.100010,00010,0000%0010,00010,0000%-11%
36
3/9/20091.767284.480.4%1.08%1.900010,00010,0000%0010,00010,0000%-11%
37
3/10/20091.896741.76-7.5%0.86%1.600010,00010,0000%0010,00010,0000%-5%
38
3/11/20091.96691.84-0.7%0.57%1.300010,00010,0000%0010,00010,0000%-4%
39
3/12/20091.946575.36-1.7%-0.03%0.900010,00010,0000%0010,00010,0000%-2%
40
3/13/20091.9166721.5%0.26%0.200010,00010,0000%0010,00010,0000%-4%
41
3/16/20091.846906.883.5%0%0.500010,00010,0000%0010,00010,0000%-7%
42
3/17/20091.96667.52-3.5%-0.75%0.201.9Buy526310,000010,0000%526310,000010,0000%-4%
43
3/18/20091.96684.160.2%1.13%-0.701.90.00%Sell0010,00010,0000%0010,00010,0000%-4%
44
3/19/20091.816997.764.7%1.35%1.601.90010,00010,0000%0010,00010,0000%-9%
45
3/20/20091.77421.446.1%1.39%1.901.90010,00010,0000%0010,00010,0000%-14%
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3/23/20091.816951.68-6.3%0.91%1.901.90010,00010,0000%0010,00010,0000%-9%
47
3/24/20091.787065.61.6%1.02%1.301.90010,00010,0000%0010,00010,0000%-10%
48
3/25/20091.816952.96-1.6%0.81%1.501.90010,00010,0000%0010,00010,0000%-9%
49
3/26/20091.886679.04-3.9%0.65%1.201.90010,00010,0000%0010,00010,0000%-5%
50
3/27/20091.826867.842.8%0.72%1.001.90010,00010,0000%0010,00010,0000%-8%
51
3/30/20091.697378.567.4%1.21%1.101.90010,00010,0000%0010,00010,0000%-15%
52
3/31/20091.727245.44-1.8%0.65%1.701.90010,00010,0000%0010,00010,0000%-13%
53
4/1/20091.757114.88-1.8%0.28%1.001.90010,00010,0000%0010,00010,0000%-12%
54
4/2/20091.786998.4-1.6%0.28%0.501.90010,00010,0000%0010,00010,0000%-10%
55
4/3/20091.816874.88-1.8%-0.06%0.601.90010,00010,0000%0010,00010,0000%-9%
56
4/6/20091.86913.280.6%-0.08%0.101.90010,00010,0000%0010,00010,0000%-9%
57
4/7/20091.86912.640%-0.5%0.101.8Buy555610,001-110,0000%555610,001-110,0000%-9%
58
4/8/20091.846769.92-2.1%-0.52%-0.401.8555610,223-110,2222%555610,223-110,2222%-7%
59
4/9/20091.916519.04-3.7%-0.9%-0.401.8555610,612-110,6116%555610,612-110,6116%-4%
60
4/13/20091.936423.68-1.5%-1.56%-0.901.8555610,723-110,7227%555610,723-110,7227%-3%
61
4/14/20091.936428.160.1%-0.93%-1.801.8555610,723-110,7227%555610,723-110,7227%-3%
62
4/15/20091.986272-2.4%0%-1.001.9810.00%10.00Sell0011,00011,00010%0011,00011,00010%0%
63
4/16/20092.046074.24-3.2%-0.09%0.201.980011,00011,00010%0011,00011,00010%3%
64
4/17/20092.095934.72-2.3%-0.03%0.101.980011,00011,00010%0011,00011,00010%6%
65
4/20/20091.936373.767.4%0.31%0.201.980011,00011,00010%0011,00011,00010%-3%
66
4/21/200926148.48-3.5%0.11%0.601.980011,00011,00010%0011,00011,00010%1%
67
4/22/200926161.280.2%0.22%0.301.980011,00011,00010%0011,00011,00010%1%
68
4/23/20092.016133.12-0.5%0.22%0.501.980011,00011,00010%0011,00011,00010%2%
69
4/24/20092.016119.04-0.2%0%0.501.980011,00011,00010%0011,00011,00010%2%
70
4/27/20091.966292.482.8%0.12%0.201.980011,00011,00010%0011,00011,00010%-1%
71
4/28/20091.986215.04-1.2%0.06%0.401.980011,00011,00010%0011,00011,00010%0%
72
4/29/20092.065953.28-4.2%-0.23%0.302.06Buy48549,9991,00111,00010%534011,000011,00010%4%
73
4/30/20092.056000.640.8%0.06%-0.102.05-0.49%-0.49Sell0010,95210,95210%0010,94710,9479%4%
74
5/1/20092.075923.84-1.3%-0.07%0.302.050010,95210,95210%0010,94710,9479%5%
75
5/4/20092.185608.32-5.3%0.07%0.102.050010,95210,95210%0010,94710,9479%10%
76
5/5/20092.165656.320.9%-0.1%0.302.050010,95210,95210%0010,94710,9479%9%
77
5/6/20092.245461.76-3.4%-0.53%0.102.24Buy44649,99995210,95210%488710,947010,9479%13%
78
5/7/20092.215540.481.4%-0.31%-0.502.2444649,86595210,8188%488710,800010,8008%12%
79
5/8/20092.315289.6-4.5%-0.51%-0.202.24446410,31295211,26413%488711,289011,28913%17%
80
5/11/20092.295336.960.9%-0.4%-0.402.24446410,22395211,17512%488711,191011,19112%16%
81
5/12/20092.35309.44-0.5%-0.55%-0.302.24446410,26795211,21912%488711,240011,24012%16%
82
5/13/20092.235473.923.1%-0.25%-0.502.2444649,95595210,9079%488710,898010,8989%13%
83
5/14/20092.325242.88-4.2%-0.73%-0.102.24446410,35695211,30913%488711,338011,33813%17%
84
5/15/20092.285339.521.8%0%-0.702.281.79%1.79Sell0011,13011,13011%0011,14211,14211%15%
85
5/18/20092.434984.32-6.7%-0.66%0.202.43Buy41159,9991,13111,13011%458511,142111,14211%23%
86
5/19/20092.484887.68-1.9%-1.53%-0.602.43411510,2051,13111,33613%458511,371111,37114%25%
87
5/20/20092.444952.321.3%-0.72%-1.702.43411510,0411,13111,17112%458511,187111,18812%23%
88
5/21/20092.315228.85.6%-0.47%-0.702.4341159,5061,13110,6366%458510,591110,5926%17%
89
5/22/20092.255363.842.6%-0.25%-0.402.4341159,2591,13110,3894%458510,316110,3173%14%
90
5/26/20092.395031.04-6.2%-0.6%-0.102.4341159,8351,13110,96610%458510,958110,95910%21%
91
5/27/20092.325173.762.8%-0.58%-0.502.4341159,5471,13110,6777%458510,637110,6386%17%
92
5/28/20092.355099.52-1.4%-0.59%-0.502.4341159,6701,13110,8018%458510,775110,7758%19%
93
5/29/20092.44987.52-2.2%-0.9%-0.502.4341159,8761,13111,00710%458511,004111,00510%21%
94
6/1/20092.514761.6-4.5%-0.85%-0.902.43411510,3291,13111,45915%458511,508111,50915%27%
95
6/2/20092.484826.241.4%-1.07%-0.902.43411510,2051,13111,33613%458511,371111,37114%25%
96
6/3/20092.365059.24.8%-1.06%-1.102.4341159,7111,13110,8428%458510,821110,8218%19%
97
6/4/20092.44961.92-1.9%-1%-1.102.4341159,8761,13111,00710%458511,004111,00510%21%
98
6/5/20092.414950.4-0.2%-1.26%-1.002.4341159,9171,13111,04810%458511,050111,05011%22%
99
6/8/20092.44975.360.5%-1.26%-1.402.4341159,8761,13111,00710%458511,004111,00510%21%
100
6/9/20092.514752.64-4.5%-1.43%-1.402.43411510,3291,13111,45915%458511,508111,50915%27%
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