gmg733
788 posts
msg #131075
- Ignore gmg733 |
9/11/2016 2:23:06 PM
Learned an interesting fact about presidential (and this year I use that term loosely) is in the past 17 elections the market has been down a minimum of 5% prior to November and on average 11%. I don't know if the 11% took into account the 2008 outlier move or not. Nonetheless, always good to try and maintain a little short delta. Most of these moves last 5-7 weeks.
I hope vix does not go back to the teens. What a lot of folks don't realize is no one really makes money when vol is so low. When we have healthy vol everyone long or short and make some bucks.
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shillllihs
6,093 posts
msg #131113
- Ignore shillllihs |
9/12/2016 2:11:00 PM
Good system. Did you pull the trigger?
What are the current signals?
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Kevin_in_GA
4,599 posts
msg #131126
- Ignore Kevin_in_GA |
9/12/2016 8:59:22 PM
SIGNAL UPDATES FOR TUESDAY (9/13/16) AT THE OPEN:
1. A NEW LONG BUY SIGNAL has been triggered from VIX LONG FILTER #9
2. THE 2 OPEN LONG POSITIONS WERE SOLD AT THE OPEN ON MONDAY (CLOSING up 61.66% and 60.37% respectively). If you were trading VXX your gain would have been 13.98% and 12.77% - not too shabby.
3. THE THREE CURRENT SHORT POSITIONS (ONE ENTERED ON 9/9/16 AND TWO ENTERED ON 9/12/16) CONTINUE TO BE HELD (the first down 21.09% but the other two up 24.69%).
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shillllihs
6,093 posts
msg #131127
- Ignore shillllihs |
9/12/2016 9:54:00 PM
A couple questions, you have a max hold time of 10 days regardless if exit has triggered or not?
What does it mean when there is a a 2 in the exit column. Any relavence?
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Kevin_in_GA
4,599 posts
msg #131130
- Ignore Kevin_in_GA |
9/13/2016 8:02:46 AM
A couple questions, you have a max hold time of 10 days regardless if exit has triggered or not?
What does it mean when there is a 2 in the exit column. Any relevance?
++++++++++
1. Yes - you close the position regardless of profit or loss.
2. The code for the exit is "close if X OR Y occurs" and SF code requires you to look for either one using the count() function. As a result, there are times when both exit criteria are triggered and you get a 1 + 1 = 2 result in the column.
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pthomas215
1,251 posts
msg #131133
- Ignore pthomas215 |
9/13/2016 10:49:07 AM
Kevin, I just want to write a quick thank you. Your updates on your VIX system help improve judgement on what is going to happen. Your system helps to manage risk--Much appreciated.
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Kevin_in_GA
4,599 posts
msg #131146
- Ignore Kevin_in_GA
modified |
9/13/2016 8:53:07 PM
SIGNAL UPDATES FOR WEDNESDAY (9/14/16) AT THE OPEN:
A NEW SHORT SELL SIGNAL has been triggered from VIX SHORT SIGNAL #1 - this position will be opened at the start of trading tomorrow.
THE LONG POSITION FROM VIX LONG SIGNAL #9 OPENED THIS MORNING IS TO BE CLOSED AT THE OPEN TOMORROW - currently up 11.70%.
THE THREE CURRENT SHORT POSITIONS (ONE ENTERED ON 9/9/16 AND TWO ENTERED ON 9/12/16) CONTINUE TO BE HELD (the first down 42.57% but the other two up 11.33%).
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Kevin_in_GA
4,599 posts
msg #131165
- Ignore Kevin_in_GA |
9/14/2016 7:55:56 PM
SIGNAL UPDATES FOR THURSDAY (9/15/16) AT THE OPEN:
No new signals.
| OPEN TRADES | Date Opened | Opening Value | Date Closed | Closing Value | Net Gain/Loss (%) |
| SHORT ^VIX | 09/09/16 | 12.52 | - - - - | 18.14 | -44.89% |
| SHORT ^VIX | 09/12/16 | 20.13 | - - - - | 18.14 | 9.89% |
| SHORT ^VIX | 09/12/16 | 20.13 | - - - - | 18.14 | 9.89% |
| SHORT ^VIX | 09/14/16 | 17.63 | - - - - | 18.14 | -2.89% |
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| CLOSED TRADES | Date Opened | Opening Value | Date Closed | Closing Value | Net Gain/Loss (%) |
| SHORT ^VIX | 08/29/16 | 14.07 | 09/08/16 | 11.76 | 16.42% |
| LONG ^VIX | 09/06/16 | 12.54 | 09/12/16 | 20.11 | 61.66% |
| LONG ^VIX | 09/09/16 | 12.44 | 09/12/16 | 20.11 | 60.37% |
| LONG ^VIX | 09/12/16 | 15.98 | 09/13/16 | 17.63 | 10.32% |
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ericeira
23 posts
msg #131170
- Ignore ericeira |
9/14/2016 11:14:31 PM
I Kevin thanks for sharing ... do we have a NEW SHORT SELL SIGNAL VIX SHORT SIGNAL #5 ?
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Kevin_in_GA
4,599 posts
msg #131172
- Ignore Kevin_in_GA |
9/15/2016 6:41:24 AM
Using the SF code, yes. However, the original Stratasearch code does not show this as triggering, possibly due to small differences in the way indicators are calculated. Your call on this - if you have not taken any short positions you are able to enter at a better price than several of the filters that triggered earlier.
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