[pyrrhotech]

Healthy skepticism is warranted! I've answered several of these in previous HN comments such as https://news.ycombinator.com/threads?id=pyrrhotech&next=3012... and https://news.ycombinator.com/threads?id=pyrrhotech&next=3012... but in brief:

1. Vix Futures are a huge part of all the VIX based models. Vix Futures came out in 2004 but the earliest intraday per-contract data publicly available is in 2009 which is needed to calculate the futures curve.

2. Slippage is included in the modeled returns but taxes are not, as mentioned in the tooltip. Taxes are not included because they vary widely by location, account type and implementation method. I've also written at large about how to minimize taxes on the blog. As a conservative estimate, feel free to multiply returns by 0.75x to get equivalent after-tax CAGR, but in most cases you'd beat this in real life.

3. Correct, and I make no guarantee that they will always be available. As of now, selling access to them in no way negatively impacts my own returns. I've met a lot of people in this journey and I enjoy leading a community and making an impact. I also make a significant amount of MRR that has grown substantially from the start of the year that gets reinvested into the models in my own account. I consider Grizzly Bulls to be a win-win alternative to the hedge fund industry for those interested in alternative investments. We've only ever had one Platinum member cancel, and given the model's underperformance in Q1 it was understandable. Since Q1, the model has been crushing the market, and it makes me happy to see our customers happy as well. Finally, as I mention several places, no one should ever expect any model to achieve 100% of its backtest performance, but there's enough leeway in the performance and drawdown figures to underperform the backtest and still generate substantial alpha, which has been my experience running them live for over 2 years now.

[thunky]

> Vix Futures came out in 2004 but the earliest intraday per-contract data publicly available is in 2009

According to https://firstratedata.com/i/futures/VX, VIX intraday is available starting 5-Aug-2008. But your chart starts April 2009, which is the exact bottom of the bear market.

[pyrrhotech]

Right, but as it mentions there, "Continuous data is from 5-Aug-2008 , Individual contracts start with VXF09 (March 2009)". To calculate the Vix Futures curve, our models need the individual contract intraday breakdown not just the intraday data for the front-month contract. I'm sure this data exists somewhere but I haven't found anyone willing to sell it to me. If you do, please let me know!

I can assure you that there's no conspiracy to start the models right at the start of the last bull market, and I'd be elated to get my hands on the data for this as well as a couple other indicators that don't stretch back as far. Though there is no guarantee, market volatility, bear markets and general downturns are actually the conditions that enable the models to outperform. During buy signals which can be quite lengthy in periods of low volatility during bull markets, the returns are exactly equivalent to buy & hold.

[thunky]

You must just be really lucky then because I see this at the top of one of the posts you shared (https://news.ycombinator.com/threads?id=pyrrhotech&next=3012...):

I've traded them with my own capital successfully since April, 2020, and I've averaged 75%+ annual return

April 2020, the exact bottom of the covid bear.

Not saying you're lying, and I don't know enough to be smart about the subject and I haven't read through your material, but it seems like a magic trick...

Your performance chart is misleading, I think, because it looks like it's showing hypothetical growth of an investment made in 2009 like we would normally expect from any other fund performance chart. Your site event says "$100,000 invested in the model at inception would have grown to $39,196,370". But your model was not investable until very recently. So it's essentially untested. The real performance numbers aren't anywhere close to that.

For this reason I think it would be fair call this out and to distinguish between the two types of trades shown on the chart: backward vs forward looking. Of course everyone would expect the backward looking trades to be impressive. The forward looking trades have already shown signs of weakness. It will be interesting to see how it does in the next few years.

Bottom line: this seems no different to me than someone producing a model that uses Jim Cramer recommendations as input to predict stock moves, fits it to produce near perfect historical trades", and then promotes their 60% CAGR as if it was real and actionable.

Good luck to you anyway.