kibo
14 posts
msg #133413
- Ignore kibo |
12/27/2016 4:35:18 PM
The contago has rendered the system useless... Now VIX and UVXY/TVIX have negative correlation! VIX is up 4% and UVXY down 3%!!! Its ridiculous. I guess if we want to get back to where we were we need around 30-40% move on VIX.
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dtatu
143 posts
msg #133415
- Ignore dtatu |
12/27/2016 11:21:50 PM
Well, maybe you should go back and read or re-read the whole forums posts?
1. The system was backtested mostly on periods of Contango as this happens in 80 % of the time.
2.Maybe you should not trade TVIX & Co. if you do not know or read how they work, first? This was already covered here, on many occasions
3. Yes, it's sad: this idealistic system does not seem , so far, to find its real world equivalent instrument .
4. Maybe Kevin can help us and re -back test it while using only with the SELL signals? I think it might be closer to reality , that way? Actually, the reality, in this particular case might surpass the theoretical results?
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shillllihs
6,095 posts
msg #133459
- Ignore shillllihs |
1/1/2017 5:00:28 PM
Kevin, if you would be so very kind, how would of Xiv Vxx have performed from July 2014 to dec.2015
using this system? Would long have been better than shorting or vice versa. The reason I ask is because my long term indicators would have kept me out of the market for 18 months.
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kibo
14 posts
msg #133464
- Ignore kibo |
1/2/2017 7:58:12 AM
OK the last trade is now in the money but not by a huge margin compared to huge draw down. But this is very promising... Thanks Kevin for this. I think it can be optimized. I will try to see if I can re-implement it using python and post it here. That's mainly because I don't have SS account.
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ericeira
23 posts
msg #133611
- Ignore ericeira |
1/7/2017 10:09:26 PM
Hi Kevin, are you still working on the strategy that exploits contango with a parallel hedging strategy and if you are are you going to share .
I do really appreciate all your work .
Happy new Year
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Kevin_in_GA
4,599 posts
msg #133620
- Ignore Kevin_in_GA |
1/8/2017 5:14:57 PM
My apologies on the delay - the system is really quite simple, but needs to be tweaked a bit.
It is all based on levels of ^VIX contango ((F2-F1)/F1)) versus the same contango for the longer mid-term futures of the ^VXV ((F7-F4)/(F4)).
If the contango level for ^VIX is GREATER THAN the contango level for ^VXV, then you buy XIV and also buy VXZ as a hedge against sudden spikes in volatility.
If the contango level for ^VIX is LESS THAN the contango level for ^VXV, then you buy VXX and also buy ZIV as a hedge against sudden reversions in volatility.
Right now the challenge is in determining the level of hedging that gives you the best over all performance. Over the last five years ^VIX has been in contango about 85% of the time, so this system needs to provide a better overall outcome than just buying XIV and holding until the absolute contango level drops below zero. That is hard to beat, since the hedge will diminish overall return at the expense of smoothing out the ride.
As of this time I am not really seeing added value in the hedge, but rather the best performance seems to be all in on XIV when the ^VIX contango level is above 5% or so. I might be able to put together something based on index ratios, but have not really committed the time to look at that option yet.
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Kevin_in_GA
4,599 posts
msg #133639
- Ignore Kevin_in_GA |
1/9/2017 11:08:52 AM
Are folks wondering why XIV is up 1.2% this morning when the ^VIX is up 3%?
Contango (currently at 12.2%), and a thing called roll yield (currently at 9.9%). Both are pushing XIV up and VXX down, even when the ^VIX is going up. These are the factors that I think folks should be looking at rather than any specific technical indicator. These are the drivers for price action in these ETFs.
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shillllihs
6,095 posts
msg #133640
- Ignore shillllihs
modified |
1/9/2017 1:16:11 PM
One should always be in in XIV what is needed is a short range indicator telling when to be out. Easier said than done. Chasing a system that goes long Vxx is proving futile. It's hit or miss. What I'm describing is basically the same thing you are looking for but in its simplist form. Maybe don't focus on Vix but on the market as a whole. We are in a bull trend until monthly CCI dips under -150 so best to stay long, bailing and catching the dips is the challenge. Hitting top Acc. bands and either bailing all or part of your position
to buy back lower is one option.
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Kevin_in_GA
4,599 posts
msg #133644
- Ignore Kevin_in_GA |
1/9/2017 2:31:36 PM
My thought is to look at contango levels and roll yield, and simply set thresholds - example might be that you are in XIV as long as the ^VIX contango stays above 5%. The roll yield plays a more important role as we approach front month expiration, and as long as it is positive it will benefit XIV. The truth is that it is better in the long run to be profitable than to be right - you can live through periods of backwardation but looking at the contango levels lets you know when those are approaching, so you can reduce position size or go to cash.
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shillllihs
6,095 posts
msg #133779
- Ignore shillllihs |
1/17/2017 1:17:14 PM
Knock knock, what are the coordinates of this filter now? Long, short, a combo?
This used to be such a rokin thread.
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