Okay, I see where you're coming from, you made me realize that I need to take a broader perspective into consideration. I'll definitely check the results of Simon & Campasano from 2011 onwards. The only mention of actual application of such a strategy I found in Chrilly Donninger's  http://www.g...

I'm afraid I don't completely follow. This strategy is supposed to only enter trades when it sees a mispricing in the curve (probably it would usually be too steeply upward sloping) and get out when it comes back to the usual state of things. Of course I can't know it in advance, but best case scena...

Hello! I got the initial idea for my thesis argument while reading Euan Sinclair's Volatility Trading, where he described a basic strategy of going long (short) VIX front futures when the futures curve is in backwardation (contango) and the expected daily convergence is smaller than -0.1 (greater th...