Short VXX on close if front month VIX futures (F1) contract is below second month VIX futures contract (F2). No positions otherwise.

   Short VXX on close if VIX index is below first month VIX futures contract (F1). No positions otherwise.

     Short VXX on close if VIX index is below 30days constant maturity futures (interpolated F1 and F2 or F2 and F3). No positions otherwise.

 Calculate ratio = VIX/VIX3M(VIX3M –  mid – term volatility index). Short VXX  if ratio< 1, stay out of the market if 1 < ratio< 1.05, long VXX if ratio>1.05

 Optimized VIX vs VIX3M:  Calculate ratio= VIX/VIX3M(VIX3M –  mid – term volatility index). Short VXX on close if ratio< 0.92, stay out of the market if 0.92 < ratio< 1.08, long VXX if ratio>1.08

Calculate R = average(F1/VIX, F2/F1) – 1. Short VXX if R < average hist R * -1, long VXX otherwise.

Calculate contango = F2 futures / F1 futures – 1. Average the contango over 21 days. Short VXX on close If averaged contango >5%, long VXX if averaged contango < -5%. No position otherwise.

Calculate IVTS = VIX/ 45days Constant Maturity. Then calculate IVTS 5-day median. Short VXX if median < 0.91, long VXX if median > 1.1. No position otherwise.

Calculate ratio VIX3M (3 month VIX)/VIX6M (6 month VIX). Calculate averaged 60, 125, 150 days ratios. Сreate 3 sub-strategies, allocating 33% of capital to each. If VIX < avg_ratio_NN_days and avg_ratio_NN_days < 1, short VXX. No position otherwise. Do this for each of the sub-strategies.

Calculate VRP = VIX – (10days volatility SPY)*100. Average VRP over 5 days. Short VXX if averaged VRP >0, long VXX if averaged VRP < 0.

Calculate VRP = VIX – (4days volatility SPY)*100. Average VRP over 8 days. Short VXX if averaged VRP >0, long VXX if averaged VRP < 0.

Calculate VRP – 30-day constant maturity price of VIX futures – (4-day historical volatility of SPY * 100). Then calculate 5-day exponential moving average of  VRP. Short VXX if exp_MA  > 1, long VXX otherwise.

Short VXX if 10-day simple moving average (SMA) is below 100-day VXX SMA and VXX is below 10-day VXX SMA. No positions otherwise.

Сalculate the return of each instrument over 4 months. Ыelect the instrument with the best return. Additionally, the return must be positive. Buy the selected instrument and close positions in all others. If the return of all is negative, stay out of the market. If the best-performing instrument is a negative VXX, short it.

If VXX 5-day simple moving average (SMA) is bellow 15-day SMA and VXX is beloow 5-day SMA – short VXX. No position otherwise.

Calculate Bollinger Bands for VXX over 20-day lookback. Use width 1.4 sigma. If VXX below middle – short VXX. If VXX above upper band – close position.

Calculate 30-day VIX  FuturesConstant Maturity (CM). Then 20-days and 10-days simple moving average of CM. If SMA(10) less then SMA(20) short VXX, no positions otherwise.

Calcluate 10-day VIX Exponential Moving Average and 10-day VIX Simple Moving Average. If EMA is below SMA – short VXX. If EMA is above SMA – long VXX.

IF VIX less then front VIX Futures (F1) and F1 less then second month futures (F2) check roll yeld. If roll yeld  (RY) is greater then its 20-day simple moving average (SMA) – short VXX. No position otherwise.

Averaged Contango

Calculate historical volatility (HV) of VIX daily returns over 10days. If  HV < 0.2 short VXX. Otherwise long VXX.

Calculate quadratic regression VIX3M'(VIX).  Use expanding window from 2008. If VIX3M'<VIX3M and VIX<VIX3M’ then short VXX. No positin otherwise.

Contango