Kevin_in_GA
4,599 posts
msg #131583
- Ignore Kevin_in_GA |
9/29/2016 11:29:02 AM
Given that all of these had win percentages at 90% or higher, the likely effect would simply be fewer trade opportunities.
I encourage everyone to check out Stratasearch - I have provided folks with all of the code necessary to use this system independently of any SF filters.
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tennisplayer2
210 posts
msg #131586
- Ignore tennisplayer2
modified |
9/29/2016 12:29:56 PM
Kevin, I subscribed to SS because of your willingness to share codes. Without your help, I wouldn't have been able to code this strategy. I am an older guy and not that tech knowledgeable. I volunteer at a food bank and if I make money on this strategy, you can be assured that some of the profits will be used to help the poor. Once again, thanks for all the help and sharing your great wisdom.
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graftonian
1,089 posts
msg #131589
- Ignore graftonian
modified |
9/29/2016 12:57:47 PM
Look at that VIX go!!! 14.93 at noon central
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Kevin_in_GA
4,599 posts
msg #131595
- Ignore Kevin_in_GA |
9/29/2016 1:41:40 PM
@tennisplayer2 - send me your email address (send me a note at statisticalinvesting *@* gmail.com) and I will send you a small SS database file that you can simply import and all of the pieces will automatically be set up for you. My way of thanking you for helping others.
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graftonian
1,089 posts
msg #131598
- Ignore graftonian |
9/29/2016 3:04:12 PM
Kevin, Today I sold the 9/28 long position intra day. When would be the appropriate time to re-enter that position? When VIX is below original trigger? By the way this was my first live trade trying your system.
UVXY for 15.4%, what a way to start. And thanx for the hard work.
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shillllihs
6,093 posts
msg #131599
- Ignore shillllihs |
9/29/2016 3:20:03 PM
Graf,
If you bought Uvxy next day after signal you would be down if you were still holding.
The system is promising, but has trouble tracking Vix. Some may choose to play options
to mirror Vix results, but if I were to play this system, I would wait for price divergence.
You could have gotten in Uvxy at 16.13 this morning. Anyway, good job and congrats.
Kevin?
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Kevin_in_GA
4,599 posts
msg #131601
- Ignore Kevin_in_GA |
9/29/2016 3:54:06 PM
The system is promising, but has trouble tracking Vix.
Well, actually it tracks the ^VIX quite well - the challenge is finding a tradeable investment vehicle that tracks the ^VIX, which is what I think you meant.
I am using VXX and XIV right now to trade these signals - others might use options or leveraged ETFs like TVIX or UVXY but I think I'll stick with these two for now.
If you look at the long term correlation of these ETFs to the ^VIX they are pretty high (0.85 - 0.90) but there are no good short term correlated ETFs that would work better for these trade durations. I would give up higher management fees for an ETF that would accurately mimic the index.
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shillllihs
6,093 posts
msg #131602
- Ignore shillllihs |
9/29/2016 4:13:02 PM
Oh yes, that's what I meant.
Now can you answer the question straight, have you looked into creating a system with the same
concept directly through Vxx? Am I missing a key point here or you just choose not to.
I'm really asking because I don't have enough knowledge.
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Kevin_in_GA
4,599 posts
msg #131604
- Ignore Kevin_in_GA |
9/29/2016 4:38:43 PM
These recent posts got me thinking - how closely does each ETF track the ^VIX, and track each other?
The first column is the 100 day correlation of each ETF to the ^VIX itself. After the column separator, I am making an ETF correlation matrix - the center diagonal simply compares each ETF to itself (hence the correlation of 1.00) the off-diagonal elements compare the correlations of each ETF to each other ETF.
And here is the same analysis done over a shorter 20 day period:
Interesting results - none of these accurately track the ^VIX over a short time period, but VXX and TVIX are highly correlated - so much so that it seems crazy not to be using the leveraged ETF.
My position on this had been that the use of leverage drags down performance over time, but given the short durations of these trades (no more than 10 days) it probably is more than offset by the 2x returns.
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Kevin_in_GA
4,599 posts
msg #131605
- Ignore Kevin_in_GA |
9/29/2016 4:58:40 PM
Now can you answer the question straight, have you looked into creating a system with the same
concept directly through Vxx?
Of course I have - I relatively quickly found 10 long and short systems that met my core criteria of 90% win rate and at least 20 trades each over the last five years. You could too if you were willing to put in a day or two to learn how.
The challenge with VXX is the constant drag of contango. Over a shorter time frame like these trades (10 days), there are only a few highly successful long VXX signal systems, and obviously lots of profitable short systems. However, by using the ^VIX as the signaling system, it seems that you can trade VXX long profitably in a way that I did not see from my brute force searches on VXX itself.
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