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A vix strategy which sharp rate > 1.7 and mdd < 0.15, seeking advices.

Features:
1, np.polyfit and vix/vxv as signal;
2, no overnight positions
3, dynamic adjusting position size by vvix value
4, inter-day trailing stop at -3%
5, 2012-present, sharp rate is above 1.5

Issues:
1, 2013 Jan - 2014 Oct no trades, which is a problem and lost chance for more profits;
2, need more carefully dealing with situation in 2008;

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5912e1151c3ec465a372a67d
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