Actually what one should do is go short TVIX and SDS. Going short XIV during up-markets results in mostly losses for XIV.
Thanks for helping me out. I am curious though, how come I cannot use symbol $COMP? It keeps giving me an error.
$COMP is my formula for market timing. It is not a P123 formula.
George,
How do you learn to program and come up with formulas like you have done? are you a computer programmer by trade, or do just read a bunch from quants? is there any books you would recommend where I could start building models like you do, or did you just learn through trial and error. Plus if you were to publish something I could follow on trading the VIX with a great backtest, I would gladly line up and pay to follow that. I have been trying as you can see to build something both long and short to follow the VIX with less than stellar results.
Michael,
There is lots of market timing discussion with portfolio rules on the forum, especially from StockMarketStudent, Steve Auger.
Aug 15 was not a good day to be shorting TVIX
Anybody else’s “stock or bond/cash” P123 market timer give a signal to go to cash/bonds on July 2?
Thank you both for this simulation info. I’m trying to replicate it using the screener function as I do not have the full simulation license. I have a market timing calculator which I can add later, but first I’m trying to make this logic work with a nested Eval function. I tried this code, and I think it actually works to select the correct universe of ETFs. Not sure if a better market timer will keep me out of the drops… TBD.
Eval((Close(0,#bench) < SMA(200,0,#bench)),Ticker(“IEF”),Eval((Close(0,GetSeries(“$VIX”)) > 17),Ticker(“SVXY,QLD,DDM”),Ticker(“QLD,DDM”)))
Logic is supposed to be… if SPY < 200d MA, then buy IEF, otherwise evaluate if vol is > 17. if so, universe should be SVXY,DDM,QLD, if not QLD & DDM.
Using the ETF-conservative as the ranking systems with a weekly rebalance (0.25% slippage) gives the following equity curve. 
This link doesn’t work anymore.