045 - Rob Hanna - Trading the VIX in a Diversified Portfolio

Detailed write-up on all of the concepts discussed here: https://www.algoadvantage.io/podcast/... Rob Hanna has been trading since the mid 90's and has slowly progressed from discretionary swing trading to a systematic, research driven approach, while still carrying some of those qualitative features into his quant trading. He trades a diversified set of strategies in equities and ETFs, with a focus on the shorter term (and particularly mean-reversion) models. Of particular interest to me was his VIX trading strategies due to their usefulness as a hedge in times of crises, and because they employ more than just price data (they look to the VIX futures curve - whether in backwardation or contango as a critical filter to his models). Trading volatility (through the futures, options or ETFs) can be extremely risky, but given the strong edges that are present in trading a consistent down-trending market, it's always of interest to me how traders find a way to profit while minimizing the risks inherent in these models. Rob has been trading the VIX long enough to share some invaluable insights. Enjoy! The only reliable source for trading COURSES, COMMUNITY & more: https://algoadvantage.io Contents: 0:00 From Discretionary to Systematic Edge 8:00 Quantifiable Edges, RIA and Client Models 13:00 Portfolio: 15 Systematic Models & Assets 18:25 Large-Cap Mean Reversion & Market Filters 24:37 Diversifying Mean Reversion & Sector Caps 32:12 Hedging, Crisis Alpha and Volatility Ladders 40:04 VIX Curve, Contango/Backwardation Basics 47:03 Short Volatility Risk, Timing and S&P Signals 52:55 Research-First Model Design, Not Optimization 57:03 Fed Day Edge, Regimes and Tactical Filters 1:02:30 Breadth, Capitulation Signals and Tools