Strategy - VRP-SPX

Volatility Risk Premium 2

Description

This looks at the difference between realized and implied volatility in the S&P500 for advancing price formations. It decides on the amount of risk to take on based on the past history.

This uses TMF, UBT, UUP, SPY ,SSO and SPXL.

Trading happens on the next Open from the signal day.

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volatility  SPXL  SSO  TMF  TLT  UBT