matt
15 posts
msg #132757
- Ignore matt |
11/23/2016 11:56:33 PM
I also can't see how gold can be related. Can you please elaborate on where your premise is coming from? These 3x ETF seem to be unreliable for basing anything on, look at DUST since it started. Was up in the thousands per share, has had a number of reverse splits (twice this year). And I can't see any correlation with it's movement vs VIX but perhaps I am missing something?
Not long after I paid for a year's subscription here I saw this thread and also signed up for SS. Seems like SS has a lot more features although I haven't really spent much time with either SF or SS as I switched to Tradestation and am immersing myself in learning Easylanguage so I can code filters and scans directly in Tradestation.
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dtatu
143 posts
msg #132764
- Ignore dtatu
modified |
11/24/2016 8:53:39 AM
matt
You're not missing anything
"VIX is the ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the market's expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options. This volatility is meant to be forward looking, is calculated from both calls and puts, and is a widely used measure of market risk, often referred to as the "investor fear gauge."
The only link between VIX and DUST is,,,silllllhs.
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pthomas215
1,251 posts
msg #132766
- Ignore pthomas215 |
11/24/2016 9:26:42 AM
It appears that any correlation is coincidental. Although on August 21 2015 there was a simultaneous breakout of the VIX and DUST in a big way, and more mild simultaneous escalations on March 9th 2015 and Dec 12 2014. But it might be just coincidence. I think historically it has been the opposite...so goes the market, people go to bonds and gold to hide.
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Kevin_in_GA
4,599 posts
msg #132768
- Ignore Kevin_in_GA |
11/24/2016 10:09:36 AM
Determining the correlation between DUST and the VIX is easy:
As you can see, the correlations are low (10 day at -0.27, 50 day at -0.22, and 100 day at 0.29). These are basically UNCORRELATED asset groups. Valuable in portfolio design, but looking at these correlations I would not use DUST to trade off of ^VIX signals. IMHO.
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jackmack
334 posts
msg #132770
- Ignore jackmack |
11/24/2016 11:22:05 AM
Kevin_in_GA
I was thinking about the position sizing and what would help in keeping with the 5.
Then I started to think about the entry and exit signals.
Maybe this was covered already in the thread but I didn't see it so... is the following feasible?
If any of the long signals fire ultimately that would mean get long - and if the next signal to get long fires you would again get long.
Then you would hold no more than 5 long positions if you got the signal to do so from 5 different filters UNTIL a short signal fires then you exit your longs and go short 1 position in the same manner as above until you would have a max of 5 short positions then hold until a long signal fires.
How would that perform?
Much worse I suspect but until I get SS I don't have the means to see how it did in back testing.
I know the thought is moving away from your signals but if ANY one of them is signaling long or short ultimately it would mean just that - no?
Thank you
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jackmack
334 posts
msg #132771
- Ignore jackmack |
11/24/2016 12:00:58 PM
Never mind
That is a bad idea I just listed above
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dtatu
143 posts
msg #132773
- Ignore dtatu |
11/24/2016 12:40:32 PM
... and Corr with GDX, which, I think, is more reasonable , than a 3x reverse splitted N times DUST, is:
^vix 10 day 0.42
^vix 50 day 0.12
^vix 100 day -0.41
Indeed: only dust
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nibor100
1,096 posts
msg #132782
- Ignore nibor100 |
11/25/2016 11:33:42 AM
Using the past 6 months of ^VIX data downloaded from Yahoo Finance into Excel, I determined that if one went short each day, then 85.8% of the time there would be a profitable exit possible at an Open, within the next 10 days.
If one went long each day then 82.5% of the time there would be profitable exit possible at an Open, over the following 10 days.
However, if one went both long and short each day then just 68% of the time would both trades have a possible profitable exit within the next 10 days.
Possibly shows how regularly volatile the ^VIX is when Open prices are used for entries and exits.
Ed S.
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ferndave
65 posts
msg #132904
- Ignore ferndave |
11/30/2016 9:19:15 AM
I scripted a backtest on the signals from 3-31 to 11-16, using TVIX and XIV, bought or sold at 5 minutes after open, with $10k. 111% return. -13.3% drawdown. Sharpe of 2.83. Ordering at 30 minutes after open dropped the returns around 20%.
Buy signal triggered for 11/30.
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shillllihs
6,094 posts
msg #132921
- Ignore shillllihs |
11/30/2016 1:48:00 PM
Is this thing long short or what now? Knock knock.
Looks like everyone made out great and moved to the Hamptons.
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