mahkoh
1,065 posts
msg #132937
- Ignore mahkoh
modified |
11/30/2016 5:56:43 PM
Currently 3 long VIX signals on my end. Those from 11/17 and 11/21 are slightly down and up resp.
The last from 11/30 up some 6 %.
I've done some digging on NUGT and DUST and their assumed decay rate. I figured if you had gone short on both and rebalance every night at the close you could have made a small riskfree fortune?
The result actually surprised me a bit. A "pair trade" short of $ 5000 both sides from 1/1/2013 until 11/25/2016 (984 trading days) results in a total profit of $ 2962.85, or about $ 3 a day. If you take into account that rebalancing every night would take $ 2 a day ($ 1 a leg at IB's rate) you're left with 994.85. And that's not taking cost to borrow into account.
Unless of course I messed up my excel formulas..
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dtatu
143 posts
msg #132938
- Ignore dtatu
modified |
11/30/2016 6:13:43 PM
Re . ferndave post
1.111% down to 20% for a 25 min delay in a buy/sell , using the same instruments? Anybody can explain it?
2. Do you, guys, think it's a good idea to use a 2X for buys( TVIX) and a 1X for sells( XIV) ?
3.what about backtesting a 2X , wasting , vehicle, reverse splitted N times?
- if you buy 5 units, in the backtest, at , example 1000$, you risk immensely more % of your account, no? Can one apply this kind of data to forward-test the system, while controlling the money management side of it, too?
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dtatu
143 posts
msg #132939
- Ignore dtatu |
11/30/2016 6:18:51 PM
makhoh
Re.Currently 3 long VIX signals on my end. Those from 11/17 and 11/21 are slightly down and up resp.
The last from 11/30 up some 6 %.
What instrument do you use to calculate the unrealized P&L ?
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dtatu
143 posts
msg #132941
- Ignore dtatu
modified |
11/30/2016 7:04:23 PM
...well, I suppose is ^VIX, which is NOT a tradable vehicle.
I think , we are trying to find the best instrument to mirror a ^VIX system ?
Reporting that ^VIX is almost unchanged sine Nov 17 does not help too much, as , in the Real world,
VXX is down 7% and TVIX is down 14%.
My FUTURE spread 1-2 is down 25%, for example.
Just saying : let's talk real world, no?We all know that the Virtual system works: let's see if it also works on the Planet Earth?
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shillllihs
6,094 posts
msg #132946
- Ignore shillllihs |
11/30/2016 11:02:21 PM
A serious request unless I'm not getting it. Instead of modeling off of vix, is there a way on SS.
to use the same concept here and model off of SP. And use Spxl Spxu or Tna Tza? If I could I would, but lack the mental capacity. If so, this would solve the vehicle question &
the system would be the most reliable because the concept is sound.
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Kevin_in_GA
4,599 posts
msg #132949
- Ignore Kevin_in_GA |
12/1/2016 8:23:19 AM
Since the two are intimately linked and inversely correlated, that should work:
The real issue with using the ^VIX as a trigger is contango, which is amplified when using 2x ETFs. That is why any truly robust VIX trading system needs to take contango into account, or use it as the "trend" versus using solely technical indicators as I have done here.
I would wager that anyone trading VXX and XIV off of these signals since I began sharing this system has made money. The system is profitable and reliable, but not perfect.
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ferndave
65 posts
msg #132950
- Ignore ferndave |
12/1/2016 8:30:22 AM
dtatu: The returns dropped ~20%, not down to 20%. There are roughly 160 slice buys and sells over 170 days. Given the ups and downs VIX can exhibit, I'm not surprised.
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shillllihs
6,094 posts
msg #132958
- Ignore shillllihs |
12/1/2016 10:30:58 AM
Found another way to play this. Probably doesn't make sense but it's been working.
Up about 250% in 4 months.
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gmg733
788 posts
msg #132962
- Ignore gmg733 |
12/1/2016 10:51:04 AM
@shillllis
I've got SS systems for short TZA, FAZ and TBT that have pretty good results. My experience is the long instruments are not as good probably due to leverage drag.
My VIX ITM put spreads (ie. VIX long) track Kevin's system pretty well.
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Eightball
3 posts
msg #132965
- Ignore Eightball
modified |
12/1/2016 11:30:33 AM
Kevin please help me.
It is probably obvious that I am a newby to SF. So how do I use this system it confuses me when one Vix long (Vix Long5) shows entry 1 and the next (Vix long6)shows exit 2?
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