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:
backtestingvix@hotmail.com
QUANTFOR 