Shadow Vega – Choosing a portfolio

There are two variations of Shadow Vega (SV). First that they have in commons:

• For SVXY signals, they trade 100% of the portfolio. For VIXY signals, they trade 50% of the portfolio. The reason for this is want equal volatility exposure on each trade. SVXY is .5x the VIX for VIXY is 1x of the VIX.

The strategy is very simple with only two parameters. For one of the parameters, the values are the same for VIXY & SVXY for Alpha. But for Gamma the parameter value is different because Steve wanted more trades for VIXY. Think of it this way. Say we are using a close above a moving average as our entry signal. Say the length of the MA is 50 for both SVXY and VIXY. This would be Alpha. But for Gamma, we use 50 for SVXY and 20 for VIXY. This would generate more trades for VIXY.

This really is the only difference. Now which to choose?

Alpha: Cesar likes this one because it is simpler.

Gamma: Steven likes this one because it is exposed to VIXY more and therefore has more chances for large wins.