I was intrigued by Mark Sebastian's long term VXX put trades and decided to understand the trade better using backtesting. For the purpose of the backtest I bought the historical EOD option data and programmed the rules in a custom R back-tester. This allowed me to backtest the strategy going all the way back to Jan 2012. My main concern was to understand the risk and the nature of drawdowns. The only thing I haven't programmed in is to filter out being in the trade when in backwardation. Once I get my hands on the VIX futures data, I'll program that in and see how it changes the results. Overall, the results of the strategy were pretty impressive. * Annualized return: 17.57% * Annualized Std. deviation: 15% * Annualized sharpe ratio: 1.19 The max-drawdown is in the 15% range with occasional drawdowns in the 10% range (see attached image). I wish VXX options were around in 2008-2009 timeframe to understand the severity of drawdowns back then. My next steps are to program in the backwardation calculations and seeing if staying out of the trade during that time helps it any better or not. Wanted to share this data point as it might pique the interest of fellow traders.