A Professional Quant Based Portfolio Trading Strategy
Volatility Trend Trader is the result of analyzing volatility in a completely new way. We have scoured the web and can not find anyone looking at volatility in this way. The back-tested results are profound. The strategy is generating 30% plus annual returns by trading both long (VIXY) and short volatility (SVXY). The results are breathtaking.
Trades only VIXY & SVXY
Long trades only
For experienced traders only
Developed by professional quant based researchers
Trades take about five to ten minutes per day to enter
This may be the simplest and most profitable trading strategy that I’ve ever traded in my 20 years of trading experience. As an independent strategy, this strategy seems to find exactly when to be short volatility and when to be long volatility. Incredible. I’m even using it now as an indicator for when to get out of other long positions. I’ve learned over the years that between my long-term holds and my daily trading that my whole account is essentially short volatility. I’ve added in only the long volatility component just so I can hedge my account when the market starts going down. Phenomenal. Steven Gabriel Cesar’s trading buddy and fellow researcher
Choose the Portfolio that is Best for You
Testing period is from January 1, 2011 to September 30, 2024 and metrics are updated after the end of each quarter.
Live trading signals have been published on the site since November 2016. You will have access to all entry & exit signals since then.
Portfolio 1 – SVXY/VIXY
The portfolio can be 50% long in VIXY or 100% long in SVXY or 100% cash. Before 1/1/2012 the backtest portfolio traded XIV instead of SVXY. Before 2/27/2018, this portfolio traded SVXY OR XIV at 50% size.
Portfolio Statistics
33.9% Compounded Annual Returns
54.6% Exposure
1.12 Sharpe Ratio
Top three drawdowns(-32.0, -29.6, -27.2)
-31.8% Worst 3 month return
+-31.8% Worst 12 month return
+63.72% Best 3 month return
+198.196% Best 12 month return
0.21 correlation with the S&P500 index
Trades Statistics
276 Trades
54.4% winners
9.8% Average % profit on winning trades
-5.0% Average % loss on losing trades
-24.4% Worst trade
57.9% Best trade
10.3 average trading days held
Equity Curve since 2011
Sample Winner
Monthly Returns
I have over a decade of quant trading experience and am the Chief Investment Officer for a quant-based advisory firm. I’ve known Cesar for 8 years and he is my first and foremost “go-to” resource for financial markets research, quantified strategy development, and coding. Unlike some theoretical “quants,” Cesar is also a trader. He understands the markets and the real-world limitations of broker order offerings, liquidity, and order placement. Rob Davenport, LCA Capital, LLC
Portfolio 2 – VIXY Only
This portfolio can be 100% long VIXY or 100% cash.
Portfolio Statistics
11.1% Compounded Annual Returns
14.0% Exposure
0.28 Sharpe Ratio
Top three drawdowns(-42.9, -41.4, -36.1)
-18.5% Worst 3 month return
-18.5% Worst 12 month return
+94.120% Best 3 month return
+147.156% Best 12 month return
-0.39 correlation with the S&P500 index
Trades Statistics
102 Trades
48.0% winners
11.4% Average % profit on winning trades
-6.1% Average % loss on losing trades
-17.4% Worst trade
68.7% Best trade
5.8 average trading days held
Equity Curve since 2011
Sample Winner
Monthly Returns
There’s no way I’d be professionally managing money today were it not for the professional advice and help of Cesar Alvarez. I’ve yet to meet a trader/researcher with such a superb understanding of the markets; as well as the dangerous trapdoors that await if you decide to develop your own quant system. Mark Angil, Architect of Midway II, 1st Place Winner of BattleFin’s Sharpe Ratio Shootout International Quant Finance Tournament 4.0 (Pro Division)
Portfolio 3 – SVXY Only
This portfolio can be 100% long SVXY or 100% cash. Before 1/1/2012 the backtest portfolio traded XIV instead of SVXY. Before 2/27/2018, this portfolio traded SVXY OR XIV at 50% size.
Portfolio Statistics
21.5% Compounded Annual Returns
44.4% Exposure
0.86 Sharpe Ratio
Top three drawdowns(-29.7, -27.2, -23.5)
-22.8% Worst 3 month return
-18.5% Worst 12 month return
+38.32% Best 3 month return
+102% Best 12 month return
00.50 correlation with the S&P500 index
Trades Statistics
198 Trades
60.1% winners
7.5% Average % profit on winning trades
-4.8% Average % loss on losing trades
-22.8% Worst trade
46.8% Best trade
10.8 average trading days held
Equity Curve since 2011
Sample Winner
Monthly Returns
Portfolio 4 – SVXY/VIXY v2
The portfolio can be 50% long in VIXY or 100% long in SVXY or 100% cash. Before 1/1/2012 the backtest portfolio traded XIV instead of SVXY. Before 2/27/2018, this portfolio traded SVXY OR XIV at 50% size.
Portfolio Statistics
34.0% Compounded Annual Returns
52.8% Exposure
1.01 Sharpe Ratio
Top three drawdowns(-40.5, -28.3, -28.1)
-24.7% Worst 3 month return
+-32.7% Worst 12 month return
+63.90% Best 3 month return
+198.145% Best 12 month return
0.10 correlation with the S&P500 index
Trades Statistics
271 Trades
55.4% winners
9.8% Average % profit on winning trades
-5.3% Average % loss on losing trades
-24.4% Worst trade
68.7% Best trade
10.2 average trading days held
Equity Curve since 2011
Monthly Returns
Portfolio 5 – VIXY Only v2
This portfolio can be 100% long VIXY or 100% cash.
Portfolio Statistics
13.1% Compounded Annual Returns
15.4% Exposure
0.32 Sharpe Ratio
Top three drawdowns(-50.4, -32.8, -31.1)
-20.8% Worst 3 month return
-35.5% Worst 12 month return
+94.120% Best 3 month return
+147.109% Best 12 month return
-0.39 correlation with the S&P500 index
Trades Statistics
109 Trades
47.7% winners
11.7% Average % profit on winning trades
-6.1% Average % loss on losing trades
-18.5% Worst trade
68.7% Best trade
5.9 average trading days held
Equity Curve since 2011
Monthly Returns
Portfolio 6 – SVXY Only v2
This portfolio can be 100% long SVXY or 100% cash. Before 1/1/2012 the backtest portfolio traded XIV instead of SVXY. Before 2/27/2018, this portfolio traded SVXY OR XIV at 50% size.
Portfolio Statistics
24.1% Compounded Annual Returns
45.0% Exposure
0.95 Sharpe Ratio
Top three drawdowns(-33.3, -24.1, -22.9)
-23.1% Worst 3 month return
-24.3% Worst 12 month return
+38.35% Best 3 month return
+129% Best 12 month return
00.54 correlation with the S&P500 index
Trades Statistics
162 Trades
60.5% winners
8.8% Average % profit on winning trades
-4.5% Average % loss on losing trades
-24.4% Worst trade
46.8% Best trade
13.0 average trading days held
Equity Curve since 2011
Monthly Returns
Portfolio 7 – SVXY/VIXY v3
The portfolio can be 50% long in VIXY or 100% long in SVXY or 100% cash. Before 1/1/2012 the backtest portfolio traded XIV instead of SVXY. Before 2/27/2018, this portfolio traded SVXY OR XIV at 50% size.
Portfolio Statistics
32.7% Compounded Annual Returns
49.7% Exposure
0.99 Sharpe Ratio
Top three drawdowns(-36.1, -26.5, -25.9)
-28.4% Worst 3 month return
+-27.4% Worst 12 month return
+63.90% Best 3 month return
+198.151% Best 12 month return
0.07 correlation with the S&P500 index
Trades Statistics
291 Trades
57.4% winners
8.7% Average % profit on winning trades
-5.2% Average % loss on losing trades
-24.4% Worst trade
68.7% Best trade
9.1 average trading days held
Equity Curve since 2011
Monthly Returns
Portfolio 8 – VIXY Only v3
This portfolio can be 100% long VIXY or 100% cash.
Portfolio Statistics
13.9% Compounded Annual Returns
15.1% Exposure
0.35 Sharpe Ratio
Top three drawdowns(-50.8, -32.8, -31.1)
-20.8% Worst 3 month return
-36.1% Worst 12 month return
+94.120% Best 3 month return
+147.117% Best 12 month return
-0.40 correlation with the S&P500 index
Trades Statistics
108 Trades
48.1% winners
11.6% Average % profit on winning trades
-5.9% Average % loss on losing trades
-18.5% Worst trade
68.7% Best trade
5.9 average trading days held
Equity Curve since 2011
Monthly Returns
Portfolio 9 – SVXY Only v3
This portfolio can be 100% long SVXY or 100% cash. Before 1/1/2012 the backtest portfolio traded XIV instead of SVXY. Before 2/27/2018, this portfolio traded SVXY OR XIV at 50% size.
Portfolio Statistics
22.4% Compounded Annual Returns
42.1% Exposure
0.92 Sharpe Ratio
Top three drawdowns(-31.0, -27.3, -21.0)
-26.1% Worst 3 month return
-23.5% Worst 12 month return
+38.29% Best 3 month return
+90% Best 12 month return
00.51 correlation with the S&P500 index
Trades Statistics
183 Trades
62.8% winners
7.3% Average % profit on winning trades
-4.7% Average % loss on losing trades
-24.4% Worst trade
46.8% Best trade
11.0 average trading days held
Equity Curve since 2011
Monthly Returns
Start your free one week trial
During your trial you will have access to all previous trades and commentary. Cesar or Steve are available to answer your questions.
I have been corresponding with Cesar and following his work for several years. His research is first rate and his reports are clear and unambiguous. He is an expert trading system developer and programmer. Most importantly, he has discovered profitable and persistent patterns, and developed profitable and practical trading systems around them. Dr. Howard Bandy Recognized Quant Author
The Researchers
Cesar Alvarez
Cesar is well known in the quant community from his trading blog, Alvarez Quant Trading, where he shares his trading insights and research. He also consults with traders to test their trading ideas and help them improve their current strategies. From 2004 to 2013, Cesar was the Director of Trading Strategies at TradingMarkets.com and Connors Research. Cesar has also developed many strategies for private equity funds, is the author of multiple books on trading, and — in a former life — was a Software Engineer on the early versions of Microsoft Excel. After so many years developing well over 100 different methodologies, Cesar, like many true masters of his profession, has come back to the point of ultimate simplicity and efficiency as the best sustainable approach to active trading.
Steven Gabriel
Steven has an extensive history trading equities, options, futures, and volatility. For the past 13 years he has been a quant-based trader, working alongside Cesar on research for 100’s of different ideas, concepts, strategies, and systems. Steve is also an Emergency Room physician. But he only practices medicine half-time now, because his success in trading financial markets.
