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Dr K VIX Volatility Timing Model (VVM)

Please read the update here.

Getting started is as easy as 1, 2, 3:
  1. You will receive an email whenever the model switches signals.
  2. Choose from the list of suggested ETFs. Buy the ETF.
  3. Await the next change in signal.

Overview of VVM:

The VIX Volatility Model uses price/volume action of leading stocks, a dynamic list that is updated as needed, and major averages to capitalize on changes in volatility in the market. It uses regression to the mean as well as trending strategies depending on market conditions. That said, it does not require an uptrending or downtrending market to be profitable.

  • Excels in Up, Down, and Sideways Markets

The VVM incorporates a number of strategies which can profit from a broad spectrum of market behaviors. For example, the VVM excels in trendless or downtrending markets where volatility is amplified. It also knows how to ride uptrending markets which tend to be less volatile.

That said, I would like each member to read this FAQ on potential weaknesses of the model.

  • Evolutions

The model has gone through a series of evolutions or "growing pains" similar to software that updates, making improvements and removing old bugs. Indeed, the challenging markets that have become ever-more challenging with each passing year have been a gift. The model is that much stronger for it.

CAUTION: Make sure you understand the risks involved in trading this model before risking any capital. Know that big gains can be reversed under unusual circumstances, such as when the VIX had one of its worst one-day losses on April 24, 2017 in decades which resulted in a loss of 26.82%, a single signal record loss for the VVM. Any strategy with big potential upside will also have big potential downside though various fail-safe strategies within the model have been fine-tuned to strike a balance between reducing the number of whipsaw losses while keeping maximum losses, notwithstanding gap-downs, also manageable.

  • Results

Not shown: Backtests using VXX start 2/2/09. Prior to 2/2/09, backtests start 3/10/99 using QQQ.


Results Table:

To give members a clear understanding of real-time trading using the signals from this strategy, these results were achieved from an actual member up through the 5-17-17 cash signal.

When the model issues a sell signal, it is selling volatility thus anticipating rising markets. When the model issues a buy signal, it is buying volatility thus anticipating falling markets.

You will receive an email whenever the model switches signals. Choose from the list of suggested ETFs. Buy the ETF. Await the next change in signal.

IMPORTANT: VVM went through a series of adjustments, ie, growing pains, which were all finally in place as of 11-8-16. By this time, $100,000 had been reduced to $59,930 by 11-8-16. The model then shot up +54.3% through 3-17-17 to $92,486 in real-time with all the adjustments in place, an excellent sign. Another adjustment was then made starting with the 4-3-17 sell signal. As you can see, since that adjustment was made on 4-3-17, losses reversed the 54.3% gains.

Some have asked why not just remove the adjustment made on 4-3-17? As discussed here, I will be closely monitoring the performance of the VVM before and after the adjustment made on 4-3-17. The adjustment greatly reduces the number of trades closed at a small loss while allowing larger profits to accrue. The downside is that with the fail-safe adjustment, the strategy's worst total drawdown (losses from peak to trough) increased to -40.9%. Further, the size of a loss for an individual signal can be greater. That said, the time to recover losses is much faster than it was prior to the adjustment made on 4-3-17 as the performance trajectory has materially steepened

UVXY is used for buy signals, XIV is used for sell signals. UVXY moves up or down twice that of XIV. If XIV is up +5%, UVXY would be down roughly -10%. More conservative investors may opt to use VXX or VIXY.

UVXY is used for buy signals, XIV is used for sell signals. UVXY moves up or down twice that of XIV. If XIV is up +5%, UVXY would be down roughly -10%. More conservative investors may opt to use VXX or VIXY.

All data shown below are delayed by up to two months for non-members.
DateSignal% gain / loss$100,000 becomes
05-23-2017 Sell2.6756,110
05-18-2017 Cash 54,650
05-17-2017 Buy-6.2754,650
05-17-2017 Cash 58,313
05-11-2017 Sell-6.9558,313
05-05-2017 Cash 62,670
04-25-2017 Sell5.1462,670
04-18-2017 Buy-26.8959,605
04-11-2017 Cash 81,524
04-03-2017 ***Sell-10.2681,524 ***
03-31-2017 Cash 90,842
03-30-2017 Sell-1.7890,842
03-17-2017 Cash 92,486
01-31-2017 Sell22.5192,486
01-30-2017 Cash 75,492
01-17-2017 Sell9.4775,492
01-12-2017 Cash 68,963
12-29-2016 Sell17.1468,963
12-14-2016 Cash 58,873
12-14-2016 Sell-1.5358,873
12-12-2016 Cash 59,789
12-09-2016 Sell-1.2459,789
12-09-2016 Cash 60,543
12-09-2016 Sell0.2460,543
12-07-2016 Cash 60,401
12-07-2016 Sell-0.7760,401
12-06-2016 Cash 60,868
12-06-2016 Buy-2.9460,868
12-01-2016 Cash 62,710
11-21-2016 Sell0.5562,710
11-17-2016 Cash 62,364
11-17-2016 Buy-2.7562,364
11-16-2016 Cash 64,129
11-11-2016 Sell6.8164,129
11-10-2016 Cash 60,040
11-09-2016 Sell0.1860,040
11-08-2016 **Cash 59,930 **
11-08-2016 Buy-3.6659,930
10-25-2016 Cash 62,204
10-25-2016 Sell-0.7862,204
10-21-2016 Cash 62,695
10-21-2016 Buy-0.662,695
09-16-2016 Cash 63,073
09-15-2016 Sell0.2663,073
09-14-2016 Cash 62,911
09-14-2016 Buy1.1662,911
09-14-2016 Cash 62,192
09-14-2016 Buy-3.1362,192
09-14-2016 Cash 64,202
09-14-2016 Buy-2.3764,202
09-12-2016 Sell-11.1865,758
09-09-2016 Buy-13.0774,034
07-15-2016 Sell16.9185,164
07-15-2016 Cash 72,847
07-14-2016 Sell-2.0672,847
07-12-2016 Cash 74,381
07-12-2016 Sell-1.5974,381
07-11-2016 Buy-3.1975,583
07-08-2016 Cash 78,074
07-08-2016 Buy-4.3578,074
07-06-2016 Sell7.5181,628
07-06-2016 Cash 75,928
07-06-2016 Sell-1.1275,928
06-29-2016 Cash 76,792
06-29-2016 Buy-2.7476,792
06-26-2016 Cash 78,956
06-23-2016 Sell-18.1178,956
06-22-2016 Cash 96,418
06-22-2016 Sell-0.4996,418
06-20-2016 Cash 96,892
06-20-2016 Sell-0.1396,892
06-13-2016 Cash 97,014
06-13-2016 Sell-0.4397,014
06-13-2016 Buy1.1697,433
05-23-2016 Sell8.1696,315
05-20-2016 Cash 89,046
05-20-2016 Buy-1.9289,046
05-11-2016 Cash 90,794
05-11-2016 Sell-1.6490,794
05-09-2016 Cash 92,308
05-09-2016 Buy-2.9492,308
05-04-2016 Cash 95,105
05-04-2016 Sell-0.195,105
05-03-2016 Cash 95,199
05-03-2016 Buy-0.0695,199
04-29-2016 Cash 95,259
04-28-2016 Sell-7.6495,259
04-18-2016 Cash 103,138
03-15-2016 Sell18.9103,138
03-15-2016 Cash 86,744
03-14-2016 Sell-0.7286,744
03-10-2016 Cash 87,377
03-10-2016 Buy-0.4487,377
03-10-2016 Cash 87,766
03-08-2016 Buy-7.6887,766
03-08-2016 Cash 95,070
03-08-2016 Buy1.6195,070
03-07-2016 Cash 93,560
03-07-2016 Sell-0.2993,560
03-02-2016 Cash 93,837
03-02-2016 Buy-2.4893,837
02-29-2016 Cash 96,223
02-29-2016 Sell-0.1696,223
02-26-2016 Buy2.5596,377
02-25-2016 Cash 93,984
02-23-2016 Buy-1.6493,984
02-22-2016 Cash 95,547
02-22-2016 Buy-3.0195,547
02-19-2016 Cash 98,510
02-16-2016 Buy-2.1998,510
02-09-2016 Cash 100,716
02-09-2016 Buy-4.45100,716
02-09-2016 Cash 105,412
02-09-2016 Buy-5.76105,412
02-04-2016 Cash 111,850
02-02-2016 Buy-1.98111,850
01-27-2016 Cash 114,107
01-27-2016 Sell0.03114,107
01-21-2016 Cash 114,077
01-21-2016 Buy1.71114,077
01-14-2016 Cash 112,157
01-14-2016 Sell-1.26112,157
01-14-2016 Cash 113,589
01-14-2016 Sell-1.48113,589
01-08-2016 Cash 115,292
01-07-2016 Buy0.17115,292
01-05-2016 Cash 115,095
12-30-2015 Buy15.09115,095
There are no earlier results
** All adjustments in place as of this date.
*** Material adjustment made as of this date. It will be monitored to see whether this particular adjustment should be removed.