| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 37 38 39 40 41 ... 49 >>Post Follow-up |
| shillllihs 6,094 posts msg #132969 - Ignore shillllihs |
12/1/2016 12:58:10 PM Gmg, Can you code that here? Shorting is scary but sounds good. How do the 1x ETFs react to this system. That's what I have been working on with this system. To always be short Tvix but you can never be comfortable doing that for long. |
| Kevin_in_GA 4,599 posts msg #132972 - Ignore Kevin_in_GA |
12/1/2016 1:13:11 PM 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? The number in the exit column refers to whether or not one or more of the exit criteria are triggered - you can have more than one exit trigger hit on a given day, all that means is that if ANY of them trigger you should close out the trade. If you are a newbie to SF no problem, but if you are new to trading volatility then I would suggest paper trading this using whatever volatility instrument you are considering, and see if it fits your trading style and risk tolerance. |
| mahkoh 1,065 posts msg #132981 - Ignore mahkoh |
12/1/2016 2:58:16 PM dtatu 61 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? ----------------------------------- This was merely a response to Shilis' question on current signals. Sorry if this was open to interpretation. |
| gmg733 788 posts msg #132983 - Ignore gmg733 modified |
12/1/2016 4:53:47 PM @shillllihs Shorting is not scary. Sold calls in TBT this morning. If it goes up, who cares? I will be right sooner or later. What people don't realize is options are safer than stock. The issue is folks trade options like stock which is a good way to get yourself in trouble. The systems are 5 systems rolled into one that net about a 78% success rate with all around good distribution. Here is the TBT one. Entry #1: // TRIX: 1 (increasing(trix(close, 13))) and // Moving Average Crossover - Stock: 1 (Supporting Entry) (mov(close, 1, simple) > mov(close, 80, simple)) and // Chaikin Money Flow Diverge - Sector Periods: 2 (Supporting Entry and Exit) (sector("TBT", diverge(cmf(20), mov(close, 3, simple), 7, 13)) <> 1) Exit #1: // TRIX: 1 (decreasing(trix(close, 13))) or // Chaikin Money Flow Diverge - Sector Periods: 2 (Supporting Entry and Exit) (sector("TBT", diverge(cmf(20), mov(close, 3, simple), 7, 13)) = 1) or // Long Stop Loss / Short Stop Gain (Supporting Exit) (stopdown(15)) Entry #2: // Accumulation Swing Index: 1 (crossabove(asi(100), mov(asi(100), 10, simple))) and // Cumulative Volume Divergence - Market Periods: 2 (Supporting Entry and Exit) (diverge(cvi($curexchange), mov(close, 3, simple), 8, 11) <> 1) and // Relative Strength Divergence - Market Periods: 1 (Supporting Entry and Exit) (sector($curexchange, diverge(rsi(8), mov(close, 3, simple), 8, 3)) <> -1) Exit #2: // Accumulation Swing Index: 1 (crossbelow(asi(100), mov(asi(100), 10, simple))) or // Cumulative Volume Divergence - Market Periods: 2 (Supporting Entry and Exit) (diverge(cvi($curexchange), mov(close, 3, simple), 8, 11) = 1) or // Relative Strength Divergence - Market Periods: 1 (Supporting Entry and Exit) (sector($curexchange, diverge(rsi(8), mov(close, 3, simple), 8, 3)) = -1) or // Long Stop Loss / Short Stop Gain (Supporting Exit) (stopdown(20)) Entry #3: // TRIX: 1 (increasing(trix(close, 11))) and // Klinger Oscillator Divergence - Market Periods: 1 (sector($curexchange, diverge(kvo(), mov(close, 3, simple), 5, 9)) <> -1) and // Dynamic Momentum Divergence - Stock Periods: 2 (Supporting Entry and Exit) (diverge(dmi(), mov(close, 3, simple), 1, 7) <> 1) Exit #3: // TRIX: 1 (decreasing(trix(close, 11))) or // Klinger Oscillator Divergence - Market Periods: 1 (sector($curexchange, diverge(kvo(), mov(close, 3, simple), 5, 9)) = -1) or // Dynamic Momentum Divergence - Stock Periods: 2 (Supporting Entry and Exit) (diverge(dmi(), mov(close, 3, simple), 1, 7) = 1) or // Long Stop Loss / Short Stop Gain (Supporting Exit) (stopdown(40)) Entry #4: // Momentum: 1 (crossabove(mom(close, 7), mov(mom(close, 7), 11, exponential))) and // Williams %R Divergence - Market Periods: 1 (sector($curexchange, diverge(wlr(23), mov(close, 3, simple), 8, 11)) <> -1) Exit #4: // Momentum: 1 (crossbelow(mom(close, 7), mov(mom(close, 7), 11, exponential))) or // Williams %R Divergence - Market Periods: 1 (sector($curexchange, diverge(wlr(23), mov(close, 3, simple), 8, 11)) = -1) Entry #5: // TEMA: 1 (crossabove(tema(close, 5), tema(close, 20))) Exit #5: // TEMA: 1 (crossbelow(tema(close, 5), tema(close, 20))) I'm sure Kevin could tweak this and make it better. I'm ok with the stats I get. Avg Annual return is 58.81% Average Days Held is 3 Consecutive Losses is 3 Max Drawdown is 3.44 Number of trades 158 (over 4 years) Percent in the market is 51% Percent Profitable is 76.58 Std Deviation per month is 2.63 Std Deviation per year is 15.56 If someone wants to put this into SF code, please go ahead. Tweak it if you want too. If been trading for a few months and had positive results. Nothing is perfect. It is not optimized. It is what it is. I have a few of these that I liked and trade all of them in conjunction with my normal options vol trades and futures trading. Just another vehicle to be active and have ideas to base trades. I encourage you to subscribe to SS and create your own. You can do them for TVIX and XIV and whatever your heard desires. I have one for UVXY that I like. But I think Kevin's VIX trades are better. |
| Kevin_in_GA 4,599 posts msg #132991 - Ignore Kevin_in_GA |
12/1/2016 7:39:09 PM Three new signals - 2 STC signals on the current long trades (entered on 11/21 and 11/30), and a new short sell signal for the ^VIX to be entered tomorrow. The three current long trades are all profitable. |
| shillllihs 6,094 posts msg #132997 - Ignore shillllihs |
12/1/2016 9:32:05 PM Are there any current long signals? |
| shillllihs 6,094 posts msg #132998 - Ignore shillllihs |
12/1/2016 9:43:11 PM So this is what I've discovered last night. Legitimate or not but it's worked virtually every time. You are always short TVIX. You will make money almost every time if you are short Tvix or long Xiv or Spxl but will make more shorting Tvix. Now here is the counter intuitive play and I haven't figured out how to execute it perfectly yet but, on long signal, SHORT at eod, since Tvix will usually climb, and sell next morning if down. if not, sell at normal exit. If still not down, sell on the following 7th trading day. Works virtually every time. Take a look. Question is, should you or is it practical to hedge a short position and how. This seemingly has returned between 200-300% since August. |
| gmg733 788 posts msg #133002 - Ignore gmg733 |
12/2/2016 9:27:59 AM Vix over 25 go long xiv or svxy. You still have to trade it. If you use stops, when to get out etc As TRO says it isn't what you trade but how you trade it. Trade these two to the long side. |
| Kevin_in_GA 4,599 posts msg #133040 - Ignore Kevin_in_GA |
12/4/2016 8:12:57 AM Signal triggered to close the last VIX long position (up 5.6% as of the Friday close) and hold the one VIX short position opened last week. |
| Kevin_in_GA 4,599 posts msg #133060 - Ignore Kevin_in_GA |
12/5/2016 6:45:46 PM 4 NEW SIGNALS FOR THE OPEN ON 12/6/2016: BTC the current SHORT ^VIX trade (currently up 14.2% since opening the trade on 12/2). 3 new LONG BUY ^VIX signals for tomorrow at the open. |
| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 37 38 39 40 41 ... 49 >>Post Follow-up |
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