Backtesting Vix – The Summit System

The equity curve above shows the cumulative % daily returns of The Summit trading system tracked monthly.

CAGR = 118.5%

monthly max drawdown = -15.27%

daily maximum drawdown = -27.03% (compounded -24.34%)

inception = 2004 (live since September 2016)

The Summit exploits both roll-yield and VXX price behavior. The backtest extends from  January 2011 to present.

Here are cumulative monthly percentage returns:

If you have any questions, please do not hesitate to contact me at:


Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s