1. XIV Investment Strategy Optimization
Vittorio Manente
Alpha Growth Capital

2. Optimization Overview
Objective
Define an investment scheme to trade XIV and to provide returns higher than the classical buy & hold approach
Strategy Definition Methodology
Entry/Exit: based on NEXT-alpha investment algorithm
Buy signal  algorithm gives the green light to invest in US equities
Sell signal  algorithm gives the green light to invest in US bonds or gold
NEXT-alpha: strategies-next-alpha-strategy.html
Optimization of the optimal elapsed time between two consecutive entry/exit signal evaluation  varied between 5 and 220 working days
Optimization of the optimal number of days offset from the nominal entry/exit evaluation date using the optimal elapsed time  varied between 0 and 40 days
Strategy developed and backtested using the daily XIV data from January the 1st 2011
Alpha Growth Capital

3. Optimization Results STEP 1
If the entry/exit signal is evaluated every 55 days  the current trading approach enables 20% higher returns vs. the classical buy & hold
55 days
STEP 2
2 days
If the nominal and optimal entry/exit signal evaluation date is offseted by 2 days  the current trading approach enables 3.5 times higher returns vs. the conventional buy & hold
Alpha Growth Capital

4. Optimization Results Profit Loss winning Alpha Growth Capital
Strategy backtested with optimized settings
Profit
winning
Loss
Trades
Buy [$]
13.541
5.27
17.17
24.42
Sell [$]
17.355
12.6
47.16
105.08
P/L [-]
1.282
2.391
2.747
4.303
Compound Profit [-]
1.28
3.06
8.42
36.22
Alpha Growth Capital

5. Disclaimer
All the information provided on this PowerPoint are not intended to be an investment advice and do not constitute an offer to sell or a solicitation of an offer to buy any securities. The author of the PowerPoint is not responsible of any loss incurred in using the information presented and provided in this PowerPoint. Performance estimates are without benefit of audit and subject to revision. Past performance does not guarantee future results. Actual returns will likely vary and investment result will fluctuate. 
Alpha Growth Capital