Research
#102Strategies, Backtested
Toby Crabel's Thrust Patterns: 17,424 Backtests. Random Entries Matched the Up Thrust on Half the Markets
Jul 23, 2024 · 11 min read
Toby Crabel's up and down thrust patterns travel with rules, working code and three parameter settings, and almost never with a measured statistic. I have now run them 17,424 ways across eight markets. The patterns are real and they do make money on stock indexes. The headline up-thrust long at its 10-bar hold also loses to random entries with the same holding period on 4 of the 8 markets tested, and the short side is a coin flip.
#101Strategies, Backtested
VIX Trading Strategy Tested: 2,520 Backtests Say the Roll Pays, Not the Timing
Jul 16, 2024 · 10 min read
Short the VIX on a spike, win three trades in four. That part is true: three published rules produce a 74.6% win rate across 4,924 days of the back-adjusted VX continuous. The average trade is $173, and the strategy earned 34.6% of what simply staying short the contract earned over the same days.