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Friday, March 2, 2012
FVE Indicators Creeping Up
Volatility has been fairly flat for the week. While VIX remains well below 20, VIX Futures have been reluctant to fall below the 20 level. FVE indicators, however, are now slowly rising and since VIX & VIX Futures are at "fair value" to FVE2 & FVEF indicators, the model has signaled to exit short positions.
For others that are on a similar path...
As for my continued efforts to secure a meaningful opportunity to access capital to trade my FVE model, I have faced much frustration thus far. More and more people I meet are very impressed with my volatility model, but one prop trading firm only wants day traders with 3 year record. Another prop trading firm thought my strategies were too volatile for their taste (Of course any strategy with 100%+ return potential would also have higher drawdowns than say a strategy with 20% return potential). Still other prop trading firms are still only looking to hire quants. Does a mathematics or programming expertise really trump keen market insight and experience as a trader or someone that already has a unique model that can be implemented today to generate profits?
Still, the live account is up over 45% since 11/16/2011, and I figure it's only a matter of time before my model draws greater interest. I have also found that rewriting my report has helped explain my model and trading strategies in a clear and easy to understand manner.
Another area where I believe my Fair Volatility Estimate (FVE) model can add value is in quantitative portfolio allocation. Alpha = Due Diligence + Time +VOLATILITY. I have begun to send resumes to High Net Worth Investment Advisory firms that recommend portfolio structured around alternative investments. I believe my FVE model can help to reduce risk when risk of loss is greatest (volatility spikes and correlations converge to 1).