This isn't something I would likely trade with real money (25% max DD is too much for my blood), but it was something I was curious about. Basically, I look at VXX and XIV. If they open down, I buy it and if it opens up, I sell it short at market open. 2 minutes after the market opens, I place a stop order for them with a really tight stop. Then 10 minutes after the market opens, I close the position.
One "issue" I haven't sorted out is that the stop order still sits out there after the position is closed out, so if that stop order gets triggered, it actually ends up causing me to hold the opposite trade I held in the morning. I think this "issue" actually helps overall performance. Because of this, I close out positions again a few minutes before the market closes.
Overall results seem really good with the exception of the high drawdown. I tried adding a larger basket of stocks, and it works with some of the more volatile names like the FANG stocks, but doesn't seem to work if you get much past that. Any thoughts on how to make this better? Namely to find a larger universe of stocks or to limit drawdown?