Today was an awful day for many of my strategies. I was long on volatility, but volatility had a big recovery today. Below is an isolated backtest of investing $10,000 in one of my main long volatility strategies. As we can see, the drop today is evident, but it looks small compared to the massive wins that sometimes occur (this is a logarithmic chart). Those massive wins happen only about 3 out of 10 times, but they compensate for losses like today’s. So today really stinks. We see an almost 40% loss in a single day with this backtest, dropping from about $745K to $441K. Ouch! None of my real strategies experienced such a large drop because this is just one of many strategies within my portfolio. As usual, patience, consistency, and sticking to the numbers are what I will continue to do, despite how much it hurts today. I will continue to take long volatility or UVIX trades when my system calls for them, but as you can see, they can result in big wins or big losses. I will stick with chasing the average.
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