1. Setup Definition and Market Context

This strategy focuses on capturing the roll yield from contango in VIX futures by shorting VXX or UVXY.

2. Entry Rules

• Timeframe: 15-minute chart
• Indicator: VIX futures term structure (front month vs. second month)
• Price Action: For long trades (UVXY/VXX), entry on a bullish engulfing candle after a VIX spike. For short trades (SVXY), entry on a bearish dark cloud cover candle after a VIX crush.

3. Exit Rules

• Winning Scenarios: Exit when the VIX returns to its 20-period moving average on the 15-minute chart.
• Losing Scenarios: Exit if the VIX makes a new high (for shorts) or a new low (for longs) after entry.

4. Profit Target Placement

• Method: 2R (twice the risk) based on the stop loss distance.
• Example: If risking 50 cents per share, the profit target would be $1.00 above the entry for longs, or $1.00 below for shorts.

5. Stop Loss Placement

• Method: Structure-based, placing the stop loss below the low of the entry candle for longs, or above the high for shorts.

6. Risk Control

• Max Risk Per Trade: 1% of account equity.
• Daily Loss Limit: 3% of account equity.
• Position Sizing: Calculated based on the stop loss distance and the max risk per trade.

7. Money Management

• Method: Fixed fractional (1% risk per trade).
• Scaling: No scaling in or out.

8. Edge Definition

• Statistical Advantage: Exploiting the mean-reverting nature of volatility.
• Win Rate Expectation: 60-65%
• Risk:Reward Ratio: 1:2

9. Common Mistakes and How to Avoid Them

• Mistake: Overstaying a trade and getting caught in a volatility regime shift.
• Avoidance: Adhering strictly to the exit rules and not hoping for a trade to come back.

10. Real-World Example

• Scenario: VIX is in backwardation. A sudden 15% spike in the spot VIX occurs. A bullish engulfing candle forms on the 15-minute chart of UVXY at $12.50. A long trade is entered.
• Stop Loss: Placed at $12.25 (below the low of the entry candle).
• Profit Target: Placed at $13.00 (2R).
• Outcome: The VIX mean reverts, and UVXY reaches the profit target.

VIX Contango Roll Yield Capture

1. Setup Definition and Market Context

This strategy focuses on capturing the roll yield from contango in VIX futures by shorting VXX or UVXY.

2. Entry Rules

• Timeframe: 15-minute chart
• Indicator: VIX futures term structure (front month vs. second month)
• Price Action: For long trades (UVXY/VXX), entry on a bullish engulfing candle after a VIX spike. For short trades (SVXY), entry on a bearish dark cloud cover candle after a VIX crush.

3. Exit Rules

• Winning Scenarios: Exit when the VIX returns to its 20-period moving average on the 15-minute chart.
• Losing Scenarios: Exit if the VIX makes a new high (for shorts) or a new low (for longs) after entry.

4. Profit Target Placement

• Method: 2R (twice the risk) based on the stop loss distance.
• Example: If risking 50 cents per share, the profit target would be $1.00 above the entry for longs, or $1.00 below for shorts.

5. Stop Loss Placement

• Method: Structure-based, placing the stop loss below the low of the entry candle for longs, or above the high for shorts.

6. Risk Control

• Max Risk Per Trade: 1% of account equity.
• Daily Loss Limit: 3% of account equity.
• Position Sizing: Calculated based on the stop loss distance and the max risk per trade.

7. Money Management

• Method: Fixed fractional (1% risk per trade).
• Scaling: No scaling in or out.

8. Edge Definition

• Statistical Advantage: Exploiting the mean-reverting nature of volatility.
• Win Rate Expectation: 60-65%
• Risk:Reward Ratio: 1:2

9. Common Mistakes and How to Avoid Them

• Mistake: Overstaying a trade and getting caught in a volatility regime shift.
• Avoidance: Adhering strictly to the exit rules and not hoping for a trade to come back.

10. Real-World Example

• Scenario: VIX is in backwardation. A sudden 15% spike in the spot VIX occurs. A bullish engulfing candle forms on the 15-minute chart of UVXY at $12.50. A long trade is entered.
• Stop Loss: Placed at $12.25 (below the low of the entry candle).
• Profit Target: Placed at $13.00 (2R).
• Outcome: The VIX mean reverts, and UVXY reaches the profit target.

VIX Contango Roll Yield Capture

1. Setup Definition and Market Context

This strategy focuses on capturing the roll yield from contango in VIX futures by shorting VXX or UVXY.

2. Entry Rules

• Timeframe: 15-minute chart
• Indicator: VIX futures term structure (front month vs. second month)
• Price Action: For long trades (UVXY/VXX), entry on a bullish engulfing candle after a VIX spike. For short trades (SVXY), entry on a bearish dark cloud cover candle after a VIX crush.

3. Exit Rules

• Winning Scenarios: Exit when the VIX returns to its 20-period moving average on the 15-minute chart.
• Losing Scenarios: Exit if the VIX makes a new high (for shorts) or a new low (for longs) after entry.

4. Profit Target Placement

• Method: 2R (twice the risk) based on the stop loss distance.
• Example: If risking 50 cents per share, the profit target would be $1.00 above the entry for longs, or $1.00 below for shorts.

5. Stop Loss Placement

• Method: Structure-based, placing the stop loss below the low of the entry candle for longs, or above the high for shorts.

6. Risk Control

• Max Risk Per Trade: 1% of account equity.
• Daily Loss Limit: 3% of account equity.
• Position Sizing: Calculated based on the stop loss distance and the max risk per trade.

7. Money Management

• Method: Fixed fractional (1% risk per trade).
• Scaling: No scaling in or out.

8. Edge Definition

• Statistical Advantage: Exploiting the mean-reverting nature of volatility.
• Win Rate Expectation: 60-65%
• Risk:Reward Ratio: 1:2

9. Common Mistakes and How to Avoid Them

• Mistake: Overstaying a trade and getting caught in a volatility regime shift.
• Avoidance: Adhering strictly to the exit rules and not hoping for a trade to come back.

10. Real-World Example

• Scenario: VIX is in backwardation. A sudden 15% spike in the spot VIX occurs. A bullish engulfing candle forms on the 15-minute chart of UVXY at $12.50. A long trade is entered.
• Stop Loss: Placed at $12.25 (below the low of the entry candle).
• Profit Target: Placed at $13.00 (2R).
• Outcome: The VIX mean reverts, and UVXY reaches the profit target.

VIX Contango Roll Yield Capture

1. Setup Definition and Market Context

This strategy focuses on capturing the roll yield from contango in VIX futures by shorting VXX or UVXY.

2. Entry Rules

• Timeframe: 15-minute chart
• Indicator: VIX futures term structure (front month vs. second month)
• Price Action: For long trades (UVXY/VXX), entry on a bullish engulfing candle after a VIX spike. For short trades (SVXY), entry on a bearish dark cloud cover candle after a VIX crush.

3. Exit Rules

• Winning Scenarios: Exit when the VIX returns to its 20-period moving average on the 15-minute chart.
• Losing Scenarios: Exit if the VIX makes a new high (for shorts) or a new low (for longs) after entry.

4. Profit Target Placement

• Method: 2R (twice the risk) based on the stop loss distance.
• Example: If risking 50 cents per share, the profit target would be $1.00 above the entry for longs, or $1.00 below for shorts.

5. Stop Loss Placement

• Method: Structure-based, placing the stop loss below the low of the entry candle for longs, or above the high for shorts.

6. Risk Control

• Max Risk Per Trade: 1% of account equity.
• Daily Loss Limit: 3% of account equity.
• Position Sizing: Calculated based on the stop loss distance and the max risk per trade.

7. Money Management

• Method: Fixed fractional (1% risk per trade).
• Scaling: No scaling in or out.

8. Edge Definition

• Statistical Advantage: Exploiting the mean-reverting nature of volatility.
• Win Rate Expectation: 60-65%
• Risk:Reward Ratio: 1:2

9. Common Mistakes and How to Avoid Them

• Mistake: Overstaying a trade and getting caught in a volatility regime shift.
• Avoidance: Adhering strictly to the exit rules and not hoping for a trade to come back.

10. Real-World Example

• Scenario: VIX is in backwardation. A sudden 15% spike in the spot VIX occurs. A bullish engulfing candle forms on the 15-minute chart of UVXY at $12.50. A long trade is entered.
• Stop Loss: Placed at $12.25 (below the low of the entry candle).
• Profit Target: Placed at $13.00 (2R).
• Outcome: The VIX mean reverts, and UVXY reaches the profit target.

VIX Contango Roll Yield Capture

1. Setup Definition and Market Context

This strategy focuses on capturing the roll yield from contango in VIX futures by shorting VXX or UVXY.

2. Entry Rules

• Timeframe: 15-minute chart
• Indicator: VIX futures term structure (front month vs. second month)
• Price Action: For long trades (UVXY/VXX), entry on a bullish engulfing candle after a VIX spike. For short trades (SVXY), entry on a bearish dark cloud cover candle after a VIX crush.

3. Exit Rules

• Winning Scenarios: Exit when the VIX returns to its 20-period moving average on the 15-minute chart.
• Losing Scenarios: Exit if the VIX makes a new high (for shorts) or a new low (for longs) after entry.

4. Profit Target Placement

• Method: 2R (twice the risk) based on the stop loss distance.
• Example: If risking 50 cents per share, the profit target would be $1.00 above the entry for longs, or $1.00 below for shorts.

5. Stop Loss Placement

• Method: Structure-based, placing the stop loss below the low of the entry candle for longs, or above the high for shorts.

6. Risk Control

• Max Risk Per Trade: 1% of account equity.
• Daily Loss Limit: 3% of account equity.
• Position Sizing: Calculated based on the stop loss distance and the max risk per trade.

7. Money Management

• Method: Fixed fractional (1% risk per trade).
• Scaling: No scaling in or out.

8. Edge Definition

• Statistical Advantage: Exploiting the mean-reverting nature of volatility.
• Win Rate Expectation: 60-65%
• Risk:Reward Ratio: 1:2

9. Common Mistakes and How to Avoid Them

• Mistake: Overstaying a trade and getting caught in a volatility regime shift.
• Avoidance: Adhering strictly to the exit rules and not hoping for a trade to come back.

10. Real-World Example

• Scenario: VIX is in backwardation. A sudden 15% spike in the spot VIX occurs. A bullish engulfing candle forms on the 15-minute chart of UVXY at $12.50. A long trade is entered.
• Stop Loss: Placed at $12.25 (below the low of the entry candle).
• Profit Target: Placed at $13.00 (2R).
• Outcome: The VIX mean reverts, and UVXY reaches the profit target.