Every month around the day of VIX expiration, I make forecasts for the following month. Here is a link to Google Docs spreadsheet with all the forecasts I made. You can see what forecasts I made, when I was more accurate than the market, and when the market was better. I will be updating the spreadsheet as new data becomes available.
As you can see below my VIX forecasts are doing fairly well, but VSTOXX forecasts are lagging in performance. Recent performance has been positive due to correct forecasts on rise in volatility for both indexes.
Please note that while I use same forecasts for my own trading I do not recommend that you trade futures outright. This is purely a demonstration of my model's forecasting ability.
Please note that while I use same forecasts for my own trading I do not recommend that you trade futures outright. This is purely a demonstration of my model's forecasting ability.
