1. The enter-roll is 0.06, the stop-roll 0.03. The performance is with 285.6% for the naked and 202.2% for the hedged strategy considerable lower. But the graph is also much smoother. The max. relative drawdown is 17.7% for the naked and 11.6% for the hedged version;References: [1]: Ch. Donninger: Selling Volatility Insurance: The Sidre-and Most-Strategy
2. Revision-1;Sibyl-Working-Paper;Ch. Donninger: VIX-Futures Basis Trading: The Calvados-Strategy,2012
3. The VIX Futures Basis: Evidence and Trading Strategies
4. Ebens: The Distribution of Realized Stock Return Volatility;T Andersen;Journal of Financial Economics,2001