All data below is from 21/Jan/2020 (Inception).
P-RSI daily σ= 2.4%, Alpha= 4.2
P-RSI Max-Draw down= -5.2%
P-RSI excess return= 26%.
S&amp;P 500 daily σ= 4%, Alpha = -4.17
S&amp;P 500 Max-Draw down= -32%

$SPX $VIX  #Macro # Volmageddon
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