A 30% allocation to the VIX and 70% allocation to the SPY would have only suffered a maximum 14% peak to trough drawdown and grown a $100k account into $1,261,750 which is a 17% annual growth rate. As a comparison a $100k account invested entirely into SPY would have suffered a max 48% drawdown and would only be worth $250 k which is a 5.89% annual growth rate.

A positive January has predicted a positive rest of the year in 36 out of 44 of the occurrences since 1934 for a 81.8% accuracy. When January was an Up month the average return for the balance of the year was +9.6%. As a comparison the return for all periods from Feb – Dec was +6.14% with 54 up and 18 down or a 72% win rate.

These performance metrics show the historical open to close results of buying 1 S&P futures contract based on the trade day of month since 1982. You will probably notice that most of the total net profits occur during the first half of the month. I’m not sure why this phenomena exists, maybe it has something to do with the way people get paid at the end or middle of the calendar month.

The current price pattern in the S&P, spike in VIX and spike in the long bond set up a short term bullish scenario for the S&P if tomorrow January 13th the S&P futures open below todays close 868. This pattern has occurred 36 times and 35 of the trades have been wins when using the below entry and exit criteria.