ferndave
65 posts
msg #131733
- Ignore ferndave |
10/4/2016 4:51:47 PM
@Kevin
I added draw entry & draw exit to Long Filter #6 so that I could quickly see the entry and exit points. It showed only exit points nearly every day for the last year. Similarly, Long #10 had only one entry point in the last year. Does that correlate with the results from SS?
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mahkoh
1,065 posts
msg #131734
- Ignore mahkoh |
10/4/2016 5:43:40 PM
From 2015/10/01 Long 6 has had 5 entries, Long 10 has had 7
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mahkoh
1,065 posts
msg #131736
- Ignore mahkoh |
10/4/2016 5:48:55 PM
I uploaded the multisystem into Stratasearch as well and looking at the trades noticed one thing we all know; VIX tends to spike and then quickly retrace. Then I wondered; what if the system provides a short signal and after a few days in the trade there is a spike in VIX. It is very possible that the forced exit after 10 days comes at the worst possible time.
So I changed the 10 days to a variable setting, testing values between 10 and 20 days.
The results, tested from 5/10/2010 until 9/29/2016:
All days set to 10: 5 portfolio APR 173.7%, 872 trades, 82.8 % profitable
Best variable: 5 portfolio APR 188.7%, 868 trades, 83.3 % profitable
I realize that 15 % improvement in APR may not seem much when non optimized settings already are at 173, but it still is a 9 % improvement.
The settings:
Long 1 13 days
Long 2 20 days
Long 3 17 days
Long 4 13 days
Long 5 17 days
Long 6 19 days
Long 7 20 days
Long 8 11 days
Long 9 20 days
Long 10 17 days
Short 1 10 days
Short 2 14 days
Short 3 18 days
Short 4 19 days
Short 5 13 days
Short 6 11 days
Short 7 15 days
Short 8 17 days
Short 9 15 days
Short 10 14 days
And for the record, I did not get an entry signal for system Long #9.
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Kevin_in_GA
4,599 posts
msg #131741
- Ignore Kevin_in_GA |
10/4/2016 7:36:16 PM
SIGNALS FOR WEDNESDAY 10/5/16
NEW SELL-TO-CLOSE SIGNAL TRIGGERED.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| LONG ^VIX | 10/3/2016 | 13.75 | SELL AT OPEN TOMORROW | 13.63 | -0.87% | | LONG ^VIX | 9/27/2016 | 13.36 | - - - - - | 13.63 | +2.02% | | LONG ^VIX | 9/28/2016 | 12.90 | - - - - - | 13.63 | +5.66% | | | | | | | |
| 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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tennisplayer2
210 posts
msg #131744
- Ignore tennisplayer2 |
10/4/2016 10:44:14 PM
Kevin, my computer scan did not come up with a sell tomorrow. Any idea why the discrepancy. Thanks.
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gmg733
788 posts
msg #131745
- Ignore gmg733 |
10/4/2016 10:49:46 PM
Mine came up with it yesterday.
Are you using Yahoo data feeds? I think everything settles around 10p CST. So i run all my signals at 11p CST. But today I got a note to sell the 10/3 long buy at open today.
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ferndave
65 posts
msg #131746
- Ignore ferndave |
10/4/2016 10:51:34 PM
mahkoh: On the SF version? Can you give me the date of an entry or two? I don't get why "draw entry" is showing zero entries.
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tennisplayer2
210 posts
msg #131747
- Ignore tennisplayer2 |
10/4/2016 11:42:56 PM
gmg, yes, I am using yahoo feed and I just imported the prices and ran the scan again. No sell for tomorrow. Thanks.
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mahkoh
1,065 posts
msg #131750
- Ignore mahkoh |
10/5/2016 6:35:34 AM
VIX long 6 entries: 3/17, 3/31, 7/14, 8/8 and 8/22
VIX long 10 3/7, 3/24, 6/1, 7/13 and 8/11
Not sure how I came up with 7 yesterday, must have looked up the wrong strategy.
Another thing: Yesterday I noted that the optimal day setting would be 17 days for long #10, but of the 47 trades in my testing period the longest was 6 days. I guess I'd better check each individual strategy.
And no exit here, but that's no surprise as I never got an entry for long# 9.
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Kevin_in_GA
4,599 posts
msg #131751
- Ignore Kevin_in_GA
modified |
10/5/2016 8:33:40 AM
As of 8:32 AM this morning, I still get a SELL-TO-CLOSE signal for 1 unit of ^VIX with a closing value of 13.63. Right now the ^VIX has dropped overnight to 13.19 so this trade will close at a loss.
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