shainadir
25 posts
msg #131306
- Ignore shainadir |
9/19/2016 2:49:32 PM
Kevin,
Which signal produced the vix long signal for Friday? I ran all the signals collectively and individually and did not come back with a long signal for the past Friday. Thanks.
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Kevin_in_GA
4,599 posts
msg #131307
- Ignore Kevin_in_GA |
9/19/2016 2:50:11 PM
you could short Tvix or Xiv to take advantage of decay. A few days play should be safe.
++++++++
That is an option, but my goal in paper trading the futures is to replicate as closely as I can the movements of the ^VIX. And more likely the movements of VXX and XIV are being driven by the futures and options expirations this Wednesday (as well as the FOMC rate decision announcement).
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Kevin_in_GA
4,599 posts
msg #131308
- Ignore Kevin_in_GA |
9/19/2016 2:52:23 PM
@shainadir:
Kevin_in_GA
3,729 posts
msg #131229
9/16/2016 10:26:59 PM
SIGNAL UPDATES FOR MONDAY (9/19/16) AT THE OPEN:
A NEW ^VIX LONG SIGNAL HAS BEEN TRIGGERED FROM ^VIX LONG SIGNAL #9
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scottgboyle
4 posts
msg #131311
- Ignore scottgboyle |
9/19/2016 6:07:46 PM
Kevin,
I noticed that a couple of the signals use indicators that are derived from volume. How does StrataSearch perform the calculations for those indicators using the ^Vix since there does not appear to be any volume for this index?
One of your recent posts discusses the use of @VX futures for this system. How will you handle simultaneous long/short open positions? Separate accounts, net position, different contract months?
I opened up a trial account with Stratasearch over the weekend and started looking at these systems but can't seem to simulate the signals. Do I start off creating individual signal setups and then combine into one multisystem setup? I did go through some of the tutorials but do you have any quick tips to get started?
Thank you for your time and efforts
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gmg733
788 posts
msg #131312
- Ignore gmg733
modified |
9/19/2016 6:27:10 PM
@c1916
My work was done on Vix options. A surrogate etf would be long Vxx underlying for long signal. Be aware you'll have negative drag. So you will never see a one to one with the Vix as there is a daily roll between front and back month futures. For a short Vix signal buy either Xiv or Svxy. Note these have positive "drag" and go up since once again there is daily roll from short date futures to longer dated instruments. This is all theory as I have not traded these instruments in this system. If you are like me and feel fed manipulation keeps Vix low then buy Xiv or Svxy on pull backs. If the markets ever got back to normal this thesis would probably need revisited. I do trade Svxy when we get vol spikes and usually sell calls against it. Good premium in Svxy.
You mentioned something I negated in my other post. The amount of slippage on Vix options would be something to watch. Knowing how the options market works you would be hard pressed to get a great fill at market open since bid ask spreads are wider in early trading.
Yes it is hard to find an edge in the markets.
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Kevin_in_GA
4,599 posts
msg #131314
- Ignore Kevin_in_GA |
9/19/2016 6:38:45 PM
Kevin,
Which signal produced the ^VIX long signal for Friday? I ran all the signals collectively and individually and did not come back with a long signal for the past Friday. Thanks.
++++++++
Okay - I reran the signals from SS for Friday and - you are correct - the long buy signal has disappeared.
It was there when I ran the signals at 6 PM but the "FINAL" VIX values must have been slightly different enough to negate the signal. Going forward I will not run the signal until 9 PM.
I will remove it from the tracking posted each night here (I did however make about $450 bucks on this one today so I will sell it tomorrow and take my profit).
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shillllihs
6,093 posts
msg #131316
- Ignore shillllihs |
9/19/2016 7:26:07 PM
I don't want to beat a dead horse but wouldn't the solution be to model off of Tvix
instead of Vix? Just go long Tvix and play Xiv 2x to match Tvix.
So instead of looking for a 90% rate for Vix, just do it for Tvix.
Maybe I'm not getting it, I'll let it go.
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gmg733
788 posts
msg #131317
- Ignore gmg733 |
9/19/2016 9:21:33 PM
You can run strata search for tvix, Xiv, Vxx or whatever you want. I already have one for Svxy. This thread gave me an idea to do short strategies for drag products. Still cookin.
Feel free to sign up. I'm sure Pete will like the business.
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ericeira
23 posts
msg #131318
- Ignore ericeira |
9/19/2016 10:15:32 PM
I did signed up to Stratasearch was able to download vix sector and I could do the back test for individually filters but not combined , also I need help how to get the daily trigger signal .
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Kevin_in_GA
4,599 posts
msg #131319
- Ignore Kevin_in_GA |
9/19/2016 10:37:21 PM
SIGNAL UPDATES FOR TUESDAY (9/20/16) AT THE OPEN:
NO NEW SIGNALS.
THE THREE CURRENT SHORT POSITIONS CONTINUE TO BE HELD.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
| SHORT ^VIX | 09/09/16 | 12.52 | - - - - | 15.53 | -24.04% |
| SHORT ^VIX | 09/12/16 | 20.13 | - - - - | 15.53 | 22.85% |
| SHORT ^VIX | 09/14/16 | 17.63 | - - - - | 15.53 | 11.91% |
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| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
| SHORT ^VIX | 08/29/16 | 14.07 | 09/08/16 | 11.76 | 16.42% |
| LONG ^VIX | 09/06/16 | 12.54 | 09/12/16 | 20.13 | 61.66% |
| LONG ^VIX | 09/09/16 | 12.44 | 09/12/16 | 20.13 | 60.37% |
| LONG ^VIX | 09/13/16 | 15.98 | 09/14/16 | 17.63 | 10.32% |
| SHORT ^VIX | 09/12/16 | 20.13 | 09/19/16 | 15.16 | 24.61% |
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