mahkoh
1,065 posts
msg #134473
- Ignore mahkoh |
2/22/2017 2:11:12 PM
I don't think there should be simultaneous entries and exits on the same filter, but I just took what Kevin made and wrapped it all together. There are some filters where the column returns 2, like short exit No 4 today. This can be repaired by changing the last line into:
set{exit4a, exit1b1 + exit2b1}
set{exit4,count(exit4a above 0.5,1)}
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tennisplayer2
210 posts
msg #134485
- Ignore tennisplayer2 |
2/22/2017 10:10:54 PM
First time, I got no signals at all. Totally out. Is that what y'all are getting? Thanks in advance.
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pthomas215
1,251 posts
msg #134517
- Ignore pthomas215 |
2/23/2017 6:23:38 PM
so is it just me, or does it seem like the VIX is really heating up?? (just looking at charts, not necessarily filters).
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Kevin_in_GA
4,599 posts
msg #134520
- Ignore Kevin_in_GA |
2/23/2017 7:39:06 PM
Yet it remains at a fairly high contango level (12.7% as of today's close). The VIX is the spot price, which we cannot actually trade - that is the real challenge to this system, one which I did not take into account in its development.
The absolute level of the ^VIX is secondary to its contango level if you are trying to trade volatility using VXX, XIV, TVIX, etc. One might pay more attention to the RATIO of ^VXV/^VIX or ^VIX/^VXST as a way to gauge directional trades, but I will stick with contango levels for my indicators.
I took a very substantial position in XIV today, given the high contango levels and roll yield (at 15% with 26 days until expiration).
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davesaint86
726 posts
msg #134530
- Ignore davesaint86 |
2/24/2017 8:51:05 AM
Kevin just to let you know, I have the highest one year (84%) public portfolio called Adaptive Midterm Volatility on ETFReplay. All I'm using is your weekly 3 week and daily price filters. I changed the allocation to VXX yesterday based on the daily triggering two days ago. The weekly is close to triggering a buy for VXX.
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SAFeTRADE
649 posts
msg #134927
- Ignore SAFeTRADE |
3/15/2017 7:24:58 AM
Here is an interesting take (I think) on Kevin's post from 2/23/2017.
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c1916
77 posts
msg #135044
- Ignore c1916 |
3/21/2017 9:55:12 PM
The simple IFT filter for volatility triggered today for the first time in about six weeks (UVXY to be specific). The question is whether this is a trailing indicator representing today's action or whether there will be an additional spike tomorrow. Traditionally it has been accurate as a predictor, FWIW.
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gmg733
788 posts
msg #135047
- Ignore gmg733 |
3/21/2017 10:57:50 PM
This pullback might be a good oppty to get into XIV or SVXY. :)
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Kevin_in_GA
4,599 posts
msg #135057
- Ignore Kevin_in_GA |
3/22/2017 11:25:38 AM
Futures are expiring today - the new APR/MAY contango levels are only a little above 5%, and several of my secondary indicators are flashing caution. I agree that this is a pullback rather than a correction, but right now I want XIV to get to 69 or thereabouts before I jump in.
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shillllihs
6,095 posts
msg #135336
- Ignore shillllihs |
4/7/2017 7:39:16 PM
I know this is another of your defunct systems but wondering if the Xiv portion of it was plausible, I took another look. August 18, 2015, system 3 flashed long, then dropped 50%. How is this possible with your claim that non of the systems fell that low. Was it offset by a simultaneous exit signal?
I'll be waiting for an answer.
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