dtatu
143 posts
msg #133215
- Ignore dtatu |
12/14/2016 8:19:11 AM
I remember reading that this " in sync" move VIX- SPX might appear at close to a TOP in the market, when the players start anticipating a turn and buy protection; it makes sense...
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Kevin_in_GA
4,599 posts
msg #133233
- Ignore Kevin_in_GA |
12/14/2016 7:41:58 PM
Two new signals for tonight - close the long position opened on 12/08/16 (currently up 9%) and open a new SHORT position on the ^VIX.
So tomorrow there will be one long position (opened on 12/6, currently up 8%) and one new short position.
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Kevin_in_GA
4,599 posts
msg #133251
- Ignore Kevin_in_GA |
12/15/2016 6:37:25 PM
Two new signals for tonight as well - close the short trade opened this morning (up a little over 2%), and open 1 additional long ^VIX trade. As of tomorrow that means 2 long ^VIX positions, no short positions.
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Kevin_in_GA
4,599 posts
msg #133264
- Ignore Kevin_in_GA |
12/16/2016 6:41:19 PM
No new signals for tomorrow - keep holding the 2 open long trades.
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kibo
14 posts
msg #133289
- Ignore kibo |
12/19/2016 1:12:31 PM
@kevin it seems both trades are in deficit now. I guess this systems needs to be enhanced by some intraday algorithm for entry and exits. I am trying to see what can be suited for this...
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Kevin_in_GA
4,599 posts
msg #133290
- Ignore Kevin_in_GA |
12/19/2016 2:37:19 PM
I don't think that an intraday algorithm makes sense, or is even possible at the moment. This system has a high win percentage but like any system will also have periods of drawdown. The key is patience and not overthinking a solution that might not be necessary.
My personal assessment is that any volatility-based trading system needs to include some measure for contango, which over the past five years strongly favors shorting the VIX ETFs. The system works well but the challenge is to find a vehicle that accurately reflects the ^VIX, and right now that is where the contango issue is confounding.
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kibo
14 posts
msg #133292
- Ignore kibo |
12/19/2016 3:20:50 PM
@kevin Thanks for the comment. Have you tested the system against the ETFs to see what would be the difference in outcome? I don't have SS account yet. Perhaps, I can help in that once I get one. Also, contago can be calculated from VXX VXZ ratios. But on the overall, I guess you are right, we shouldn't try to over optimize it if its already working.
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Kevin_in_GA
4,599 posts
msg #133302
- Ignore Kevin_in_GA
modified |
12/19/2016 7:09:48 PM
The challenge to what you were proposing is that SF does not handle intraday data all that well, and SS does not use it at all.
I also think that while the VIX/VXV ratio is useful, the real contango is determined by the prices of the current and next months futures for VIX (F2 - F1), and the four month and seven month futures prices for VXV (F7 - F4). If either of those values are positive, that index is in contango.
There is a great site for this - www.vixcentral.com. I have linked a fully operational version of it here so that folks can see what the current levels of contango are:
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Kevin_in_GA
4,599 posts
msg #133303
- Ignore Kevin_in_GA |
12/19/2016 7:11:05 PM
Two more ^VIX LONG signals triggered this evening. Now at 4 units long, none short.
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miketranz
978 posts
msg #133304
- Ignore miketranz |
12/19/2016 8:02:22 PM
Kevin,I've been following the VIX SYSTEM for the last two weeks and noticed that the long signals are producing very good results if you were long the SPY/QQQ.However,if you're trading TVIX/UVYX on the long side,these instruments have been continually selling off.The win percentages on paper are impressive.Either the system doesn't know Trump just got elected or it just hasn't been working the last few weeks.The only way the vix moves up,in a big way,is when a news shock event hits the markets.Miketranz...
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