We have added a brand new feature to the Portfolio Calculator called the CVIX Threshold.
The CVIX is the Capstone DayTrade Volatility Indicator. We measure the number of turning points in a day and divide by the VIX to normalize.
The CVIX data is exported to the Portfolio Calculator and we have seen that it is possible to trade less frequently during high volatility by using the CVIX Threshold at different levels.
High levels of volatility can include platform crashes, increased brokerage margins, and in general more automation errors. For all practical purposes, your results may be better when sitting out during high volatility. This is a new approach and the implementation of this approach is not part of an official portfolio as we are still researching this and it could evolve.
In this video we show you how to use the CVIX Threshold filter.
If you are a portfolio subscriber, you will receive the CVIX Threshold.
Additionally, we are removing data prior to 2008 in the Portfolio Calculator since data prior to 2008 is not relevant for the current market. It wasn't until 2008 that most futures were electronically traded - which is a regime change itself, since electronic markets trade differently than pit markets. The price levels for the indexes are also much higher.
The most relevant data is mid 2016 forward as well as 2018 forward. Download the latest Portfolio Calculator here.