All that said, subscribers have generally been happy with Grizzly Bulls' service as evidenced by our low churn rate, especially for the higher tiers.

However, this does mean that you'd need to open an equivalent position in the next quarter's contract to maintain your hedge, if one was open, at expiration time which is regular trading hours opening time on the third Friday of expiration month.

The only way to really drop below your maintenance margin is if you are either leveraged long (i.e. more than 100% long) or short (i.e. less than 0% long), and the market moves significantly against you. In that scenario, your broker will automatically start liquidating some of your positions.

At the end of each year, you'll only owe taxes on the net result of your hedging with futures, and futures are section 1256 contracts so they are taxed as 60% long term gains / 40% short term gains regardless of holding period. In practice, I've found that this usually works out to an effective capital gains tax of less than 15% of annual profits. If a strategy returns a gross 30%, then the after-tax return would be about 25.5%.

Also, if you implement in a retirement account which many of our members do, capital gains are irrelevant.

The easiest way to use Grizzly Bulls is to hold VOO in any brokerage account, sell it when the model generates a sell signal, and then rebuy it when the model generates the next buy signal. A slightly more advanced but more tax efficient approach would be to open a margin account with futures trading permissions and sell S&P 500 Futures (ES or MES) of equal value to your VOO during sell signals, then repurchase the contracts you sold during the next buy signal. With this method, I've found you can usually reduce your overall tax burden to less than 15% and you'll only owe taxes on the net result of your futures trading.

Grizzly Bulls is currently a one man (and wife) venture :)

The models are not HFT. Swing-trading the most liquid instrument in the world (ES futures) has extremely high strategy capacity, well into the billions or perhaps 10s of billions, so selling signals does not (currently) in any way negatively impact my own returns.

The alternative would be to start a hedge fund, but that's an expensive and highly regulated endeavor that appeals to a different audience.

Since launching https://grizzlybulls.com in January 2022:

Model | Return | Max drawdown

-------------------

S&P 500 (benchmark) | 21.51% | -27.56%

VIX TA Macro MP Extreme | 64.21% | -16.48%

VIX TA Macro Advanced| 59.13% | -19.12%

VIX TA Advanced | 35.20% | -22.96%

VIX Advanced | 33.39% | -23.93%

VIX Basic | 24.29% | -24.23%

TA - Mean Reversion | 22.30% | -19.92%

TA - Trend | 27.07% | -24.98%

This is an unleveraged, apples to apples comparison. These are not high frequency trading models. Most of them only change signal once every 2-4 weeks on average. During long signals, the models are simply long the S&P 500 and during short signals, they go to cash.

One of the pros of this macro swing-trading/hedging style is high tax efficiency, by holding a core ETF long position that never gets sold and then selling S&P 500 futures (ES or MES) of equal value to the ETFs against the long position. This way your account will accumulate unrealized capital gains indefinitely and you'll only pay tax on the net result of successful hedging. The cherry on top is that the S&P 500 futures are section 1256 contracts that are taxed at 60% long term / 40% short term capital gains rates regardless of the duration they are held.

The models use a variety of indicators, many of them custom built. Most important are various VIX metrics (absolute level, VIX futures curve shape/slope, divergences against S&P 500 price, etc), trend-following TA metrics (MACD, EMV, etc), mean-reversion TA metrics (Bollinger Bands, CMO, etc), macroeconomic (unemployment, housing starts, leading composite), and monetary policy (yield curve inversion, equity risk premium, dot plot, etc). They've been backtested very cautiously to avoid overfitting to the best of my ability.

Nevertheless, it would be prudent to expect any algorithmic trading model to underperform its backtest going forward, but there's enough leeway in the CAGR and max drawdown figures to underperform the backtest and still produce substantial alpha, especially for the more advanced models.

Right now the models are specialized to trade equities. I may develop new models that trade commodities in the future though.

However, with today's $0 commissions, if you aren't overly concerned about taxes, you can try out this strategy with as little as $500 and simply buy and sell one share of the ETF VOO on signal changes. Alternatively, if you have the risk appetite, you can get started with trading MES futures with less than $10k, though caution should always be warranted when using any amount of leverage.

Since launching in January 2022, we've significantly outperformed the market with lower volatility and reduced max drawdown:

Model - Return - Max drawdown

S&P 500 (benchmark): +9.91% -27.56%

Platinum: +45.34% -16.48%

Gold: +39.53% -19.12%

Silver: +17.24% -22.96%

Bronze: +14.12% -23.93%

Vix Basic: +9.81% -24.23%

TA - Mean Reversion: +17.77% -19.92%

TA - Trend: +17.29% -24.98%

This is an unleveraged, apples to apples comparison. These are not high frequency trading models. Most of them only make a trade every 2-4 weeks on average. During long signals, the models are simply long the S&P 500 and during short signals, they go to cash. This can be implemented very tax efficiently by holding a core ETF long position that never gets sold and then selling S&P 500 futures (ES or MES) of equal value to the ETFs against the long position. This way your account will accumulate unrealized capital gains indefinitely and you'll only pay tax on the net result of successful hedging. The cherry on top is that the S&P 500 futures are section 1256 contracts that are taxed at 60% long term / 40% short term capital gains rates regardless of the duration they are held.

The models use a variety of indicators, many of them custom built. Most important are various VIX metrics (absolute level, VIX futures curve shape/slope, divergences against S&P 500 price, etc), trend-following TA metrics (MACD, EMV, etc), mean-reversion TA metrics (Bollinger Bands, CMO, etc), macroeconomic (unemployment, housing starts, leading composite), and monetary policy (yield curve inversion, equity risk premium, dot plot, etc). They've been backtested very cautiously to avoid overfitting.