pthomas215
1,251 posts
msg #131544
- Ignore pthomas215 |
9/27/2016 8:05:54 PM
oh I know Kevin--not saying it's a busted trade--just an entry point argument.
But you helped explain this a lot---I think I just assumed that the closest ETF to the VIX is VXX. I was using those 2 interchangeably. I forgot the variations..
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miketranz
978 posts
msg #131546
- Ignore miketranz |
9/27/2016 8:58:55 PM
Try TVIX @half the price....
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Kevin_in_GA
4,599 posts
msg #131547
- Ignore Kevin_in_GA |
9/27/2016 9:26:49 PM
SIGNALS FOR WEDNESDAY 9/28/16
A NEW ^VIX LONG BUY SIGNAL TRIGGERED BY VIX LONG FILTER #3.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| SHORT ^VIX | 9/27/2016 | 13.36 | - - - - - | 13.10 | -1.95% | | | | | | | |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
| SHORT^VIX | 8/29/2016 | 14.07 | 9/8/2016 | 11.76 | +16.42% | | LONG ^VIX | 9/6/2016 | 12.54 | 9/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 9/9/2016 | 12.44 | 9/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 9/13/2016 | 15.98 | 9/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 9/9/2016 | 12.52 | 9/22/16 | 13.41 | -7.28% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/22/16 | 13.41 | +33.32% | | SHORT ^VIX | 9/14/2016 | 17.63 | 9/23/16 | 12.02 | +31.74% |
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pthomas215
1,251 posts
msg #131549
- Ignore pthomas215 |
9/27/2016 9:53:40 PM
kevin, thank you as always for your generosity. Mike, I do usually go with TVIX, as I think there is about an 82% inverse correlation with the S&P.
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miketranz
978 posts
msg #131570
- Ignore miketranz |
9/28/2016 7:42:54 PM
Larry Connors did a study on VIX trading back in 2004."How Markets Really Work" is an excellent read,one which I highly recommend.It's an eye opener.Like Kevin's system,it is basically a long side trade trigger,with very high winning percentages.Professionals know that trading is a numbers game,a percentage game.Anything else,you might as well head to the casino....
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Kevin_in_GA
4,599 posts
msg #131571
- Ignore Kevin_in_GA
modified |
9/28/2016 8:38:26 PM
SIGNALS FOR THURSDAY 9/29/16
NO NEW SIGNALS TRIGGERED.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| LONG ^VIX | 9/27/2016 | 13.36 | - - - - - | 12.39 | -7.26% | | LONG ^VIX | 9/28/2016 | 12.90 | - - - - - | 12.39 | -3.95% | | | | | | | |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
| SHORT^VIX | 8/29/2016 | 14.07 | 9/8/2016 | 11.76 | +16.42% | | LONG ^VIX | 9/6/2016 | 12.54 | 9/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 9/9/2016 | 12.44 | 9/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 9/13/2016 | 15.98 | 9/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 9/9/2016 | 12.52 | 9/22/16 | 13.41 | -7.28% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/22/16 | 13.41 | +33.32% | | SHORT ^VIX | 9/14/2016 | 17.63 | 9/23/16 | 12.02 | +31.74% |
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gmg733
788 posts
msg #131572
- Ignore gmg733 |
9/28/2016 10:13:32 PM
Kevin
I show two longs and one short open right now. One long open today and one yesterday. Short opened today. unless there were sell orders from today
Thanks
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c1916
77 posts
msg #131573
- Ignore c1916
modified |
9/28/2016 10:26:40 PM
@Kevin. Like CMG, I'm confused, I read both the 9/27 and 9/28 signals as LONG Vix. You indicate two Short VIX positions in the table 2 messages above here (although the gain/loss suggests that they were both opened long).
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Kevin_in_GA
4,599 posts
msg #131574
- Ignore Kevin_in_GA |
9/28/2016 11:59:36 PM
Typo - now corrected. Thanks.
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dcsnowden
52 posts
msg #131578
- Ignore dcsnowden |
9/29/2016 10:42:59 AM
Question for K... or whomever may have had a chance to look into this...
There are 3 long filters and 4 short ones that can't be translated into current SF code. As one of those unfortunates who only has SF, I was curious as to the affect... not having these 7 filters in the overall mix of your basket of 20...what affect on the performance this might have? Don't know if you've had time to backtest using only the 13 available filters, but it would be interesting to know if the absence of those 7 pulls the averages up or down or not at all. I also want to add my thanks to you and all the others, for
all your hard work and generosity...DCS
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