shillllihs
6,093 posts
msg #131899
- Ignore shillllihs
modified |
10/13/2016 12:06:06 PM
Something to look at here is, when you get a signal, skip a day and go all in the next day with Xiv/Tvix.
If filters are hitting 90%, confirmation of additional filters don't matter.
Seems to work better as today may show.
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shillllihs
6,093 posts
msg #131907
- Ignore shillllihs
modified |
10/13/2016 3:03:31 PM
Ok, my findings.
If short signal, skipping first day and go long Xiv would have made up an extra 18%
For long signal, simply go long Tvix the first day.
Must go all in on first day signal and ignore other signals. But since you may have a long and a short
simultaneously, go 50% in.
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Kevin_in_GA
4,599 posts
msg #131908
- Ignore Kevin_in_GA |
10/13/2016 3:28:42 PM
I'll stick with my unit-based strategy, but thanks for sharing a tweak from which others might benefit. Still not 100% sure about moving to TVIX instead of VXX since neither of them seem to really track the VIX as well as I would like, but there really is no reason for me not to take the 2x when it is available.
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Kevin_in_GA
4,599 posts
msg #131910
- Ignore Kevin_in_GA |
10/13/2016 8:35:37 PM
SIGNALS FOR FRIDAY 10/14/16
2 ADDITIONAL NEW SHORT SIGNALS TRIGGERED FOR TOMORRROW.
A TOTAL OF 7 OUT OF 10 SHORT FILTERS ARE NOW IN PLAY.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 16.69 | -7.47% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 16.69 | -7.47% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 16.69 | -7.47% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 16.69 | -7.47% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 16.69 | -7.47% | | | | | | | |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) | | SHORT^VIX | 08/29/2016 | 14.07 | 09/08/2016 | 11.76 | +16.42% | | LONG ^VIX | 09/06/2016 | 12.54 | 09/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 090/9/2016 | 12.44 | 09/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 09/13/2016 | 15.98 | 09/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 09/12/2016 | 20.13 | 09/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 09/09/2016 | 12.52 | 09/22/2016 | 13.41 | -7.28% | | SHORT ^VIX | 09/12/2016 | 20.13 | 09/22/2016 | 13.41 | +33.32% | | SHORT ^VIX | 09/14/2016 | 17.63 | 09/23/2016 | 12.02 | +31.74% | | LONG ^VIX | 10/03/2016 | 13.75 | 10/05/2016 | 13.54 | -1.67% | | LONG ^VIX | 09/27/2016 | 13.36 | 10/07/2016 | 13.50 | +0.90% | | LONG ^VIX | 10/11/2016 | 13.71 | 10/12/2016 | 15.53 | +12.96% | | LONG ^VIX | 09/28/2016 | 12.90 | 10/12/2016 | 15.53 | +20.05% | | LONG ^VIX | 10/06/2016 | 13.11 | 10/12/2016 | 15.53 | +18.13% |
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mahkoh
1,065 posts
msg #131916
- Ignore mahkoh |
10/14/2016 6:20:52 AM
Yellen speaks today at the Boston fed confetence at 12:00, when in profit it may be an idea to take some off the table.
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dtatu
143 posts
msg #131919
- Ignore dtatu |
10/14/2016 9:49:45 AM
my today s trade:
DEBIT 1 + VIX FUT 20161116 - VIX FUT 20161019 0.47 SMART(USD)
BOT 1 VIX, 20161116, Futures, SMART, USD 17.44 SMART(USD) 01:08:03
SLD 1 VIX, 20161019, Futures, SMART, USD 16.97 SMART(USD) 01:08:03
I keep alternating trades between:
1. VIX futures spreads F1-F2
2. Inverse trade on e mini ES futures
3. Inverse trade on e mini ES options spreads
I"ll post the closed trades in batches of 10.
PS Also, whether Yellen speaks or not, I stick with the system signals , otherwise the stats will not reflect anymore the value of the system, IMO.
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mahkoh
1,065 posts
msg #131931
- Ignore mahkoh
modified |
10/15/2016 4:58:03 AM
You do have a point there. On the other hand few will hold it against him when a trader has a backtested system but avoids stocks where earnings are due shortly. We are trading volatility here and although yesterday turned out to be a non event, if anyone is libal to ignite a volatility spike it's the fed chair.
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dtatu
143 posts
msg #131934
- Ignore dtatu
modified |
10/15/2016 6:31:48 PM
Question for Kevin:
I was looking at the section 2, page 1 , equity curve 1999-2009 : mid 2001 to mid 2003 and 2008-2009, the equity curve, goes nowhere : do you think one would be able to follow religiously the system for 2 years with no palpable profit? I , probably , would bail out , in real time; what about you, guys?
Do you think this system should have a filter for high VOL / BEAR markets and be OUT of it during those periods?
I've seen some previous filters of yours ( 4 horsemen,etc) for negative markets. Maybe incorporating them might improve the performance and making it more realistic to follow?
Better being in cash or following another system , better adapted to bear markets ?
Also, if you 'd be able to zoom in the stats during those periods, might help to have a better idea about winners/ losers etc?
Thanks for your input.
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Kevin_in_GA
4,599 posts
msg #131935
- Ignore Kevin_in_GA |
10/15/2016 9:19:00 PM
mid 2001 to mid 2003 and 2008-2009, the equity curve, goes nowhere : do you think one would be able to follow religiously the system for 2 years with no palpable profit?
For those times almost no profit crushed the market - this is designed to simply test the system with challenging out-of-sample data to make sure it does okay. I am not trying to further optimize but rather just make sure it is not already overfit to the five year time frame over which it was developed.
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gmg733
788 posts
msg #131936
- Ignore gmg733 |
10/15/2016 10:07:04 PM
Trade the system. Be mechanical. That is an edge.
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