Features:
1, np.polyfit and vix/vxv as signal;
2, no overnight positions
3, dynamic adjusting position size by vvix value
4, inter-day trailing stop at -3%
5, 2012-present, sharp rate is above 1.5
Issues:
1, 2013 Jan - 2014 Oct no trades, which is a problem and lost chance for more profits;
2, need more carefully dealing with situation in 2008;