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Tested A New Algorithm To Trade Volatility ETFs

The algorithm is simple.

Every day after market close, gather close/settlement values for

v = Vix

v0 = Vix close value yesterday

vx = Vxv

v1 = first month Vix Future

v2 = second month Vix future

Calculate

r1 = 70% * v/v1 + 30% * v1/v2 - 1

r2 = v / vx

r3 = v/v0 - 1

if either r1 < -4.6%, or r2 <= 80% or r3 <= -10% or v > 19.8, buy XIV

else, if either r1 > 5.5%, or r2 >= 100% or r3 >= 10% or v < 14.1, buy UVXY

else, buy TQQQ

Backtested it here. You have to scroll through the very bottom to see the results.

About ~240% return per year from October 2011 to date. Cumulative return of ~1000x.

Writing some code to deploy this for live trading.

Disclosure: I am/we are long XIV.