dtatu
143 posts
msg #131321
- Ignore dtatu
modified |
9/20/2016 1:30:13 AM
Re:
"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 ..."
In real life , though, I see, quite often, " short sale restrictions" on TVIX or XIV: right now, TVIX, is under a short selling restriction until 20 Sept at 20.00; so, playing the short side on these ETF will not be possible when the market moves big against them
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gmg733
788 posts
msg #131338
- Ignore gmg733 |
9/20/2016 4:37:50 PM
My drag products are stuff like USO, UNG and etc. I wasn't specifically talking about the VIX ETF/ETN products. Sorry for the confusion.
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Kevin_in_GA
4,599 posts
msg #131340
- Ignore Kevin_in_GA |
9/20/2016 9:21:25 PM
SIGNAL UPDATES FOR WEDNESDAY (9/21/16) 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 | - - - - | 15.92 | -27.16% |
| SHORT ^VIX | 09/12/16 | 20.13 | - - - - | 15.92 | 20.91% |
| SHORT ^VIX | 09/14/16 | 17.63 | - - - - | 15.92 | 9.70% |
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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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shillllihs
6,093 posts
msg #131342
- Ignore shillllihs |
9/20/2016 9:56:23 PM
I'm thinking these would go well with binary options or betting sites where you merely have to pick
direction for the day. I've never tried them and not sure if these bets exist.
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shillllihs
6,093 posts
msg #131364
- Ignore shillllihs |
9/21/2016 3:16:19 PM
Kevin,
Can you give us an idea on how this performed in the Tvix spikes of Sept.14 & Aug15.
Did the dynamics change? Looks like it caught a down draft.
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Kevin_in_GA
4,599 posts
msg #131373
- Ignore Kevin_in_GA
modified |
9/21/2016 5:47:51 PM
Here are the closed trades entered since late July (this is the exported trade list from the multi-system backtest in SS). This does not show a few of the recent wins - not sure why.
| Symbol | L/S | EntryDate | EntryPrice | ExitDate | ExitPrice | Gain/Loss | DaysHeld |
|---|
| ^VIX | Short | 9/12/2016 | 20.13 | 9/19/2016 | 15.14 | 24.79% | 5 | | ^VIX | Short | 9/12/2016 | 20.13 | 9/13/2016 | 15.98 | 20.62% | 1 | | ^VIX | Long | 9/9/2016 | 12.52 | 9/12/2016 | 20.13 | 60.78% | 1 | | ^VIX | Short | 8/29/2016 | 14.09 | 9/8/2016 | 11.74 | 16.68% | 7 | | ^VIX | Short | 8/25/2016 | 13.62 | 9/6/2016 | 12.42 | 8.81% | 7 | | ^VIX | Long | 8/18/2016 | 12.20 | 9/2/2016 | 13.47 | 10.41% | 11 | | ^VIX | Long | 8/12/2016 | 11.61 | 8/25/2016 | 13.62 | 17.31% | 9 | | ^VIX | Long | 8/23/2016 | 12.15 | 8/25/2016 | 13.62 | 12.10% | 2 | | ^VIX | Long | 8/22/2016 | 12.53 | 8/23/2016 | 12.15 | -3.03% | 1 | | ^VIX | Long | 8/8/2016 | 11.66 | 8/22/2016 | 12.53 | 7.46% | 10 | | ^VIX | Short | 8/16/2016 | 12.04 | 8/19/2016 | 11.67 | 3.07% | 3 | | ^VIX | Long | 8/5/2016 | 12.08 | 8/17/2016 | 12.57 | 4.06% | 8 | | ^VIX | Long | 8/15/2016 | 11.81 | 8/17/2016 | 12.57 | 6.44% | 2 | | ^VIX | Long | 8/8/2016 | 11.66 | 8/17/2016 | 12.57 | 7.80% | 7 | | ^VIX | Long | 8/8/2016 | 11.66 | 8/16/2016 | 12.04 | 3.26% | 6 | | ^VIX | Long | 8/8/2016 | 11.66 | 8/16/2016 | 12.04 | 3.26% | 6 | | ^VIX | Long | 8/4/2016 | 12.73 | 8/11/2016 | 11.93 | -6.28% | 5 | | ^VIX | Long | 8/9/2016 | 11.40 | 8/11/2016 | 11.93 | 4.65% | 2 | | ^VIX | Long | 8/8/2016 | 11.66 | 8/11/2016 | 11.93 | 2.32% | 3 | | ^VIX | Long | 7/29/2016 | 12.85 | 8/3/2016 | 13.53 | 5.29% | 3 |
Anyway, the system stats include drawdowns (posted on page 1). I have been posting the results for a while now to create a permanent record of system performance going forward.
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Kevin_in_GA
4,599 posts
msg #131378
- Ignore Kevin_in_GA
modified |
9/21/2016 10:07:09 PM
SIGNALS FOR THURSDAY 9/22/16
TWO BUY-TO-COVER SIGNALS TRIGGERED.
ONE SHORT POSITION (FOR THE TRADE OPENED ON 9/14/16) TO REMAIN OPEN.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| SHORT ^VIX | 9/9/2016 | 12.52 | CLOSE TOMORROW AT OPEN | 13.30 | -6.23% | | SHORT ^VIX | 9/12/2016 | 20.13 | CLOSE TOMORROW AT OPEN | 13.30 | +33.93% | | SHORT ^VIX | 9/14/2016 | 17.63 | - - - - | 13.30 | +24.56% | | | | | | | | | CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) | | SHORT ^VIX | 8/29/2016 | 14.07 | 9/8/2016 | 11.76 |
+16.42% | | LONG ^VIX | 9/6/2016 | 12.54 | 9/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 9/9/2016 | 12.44 | 9/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 9/13/2016 | 15.98 | 9/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/19/2016 | 15.16 | +24.61% |
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gmg733
788 posts
msg #131379
- Ignore gmg733
modified |
9/21/2016 10:42:08 PM
That loser might be a scratch before tomorrow. I'm not telling you how to trade but vol is usually highest at the open. Usually after 15 min markets come in.
I went long some XIV today after fed released notes. I figure we have some vol crush yet.
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shillllihs
6,093 posts
msg #131381
- Ignore shillllihs |
9/22/2016 12:14:40 AM
Now I see the problem with using ETFs to trade these. Xiv does not make much and Tvix loses
or makes very little. Maybe a strategy of only going long Xiv and staying out of market
when Vix is long.
I know 1 of you geniuses can tailor something with ETFs.
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Kevin_in_GA
4,599 posts
msg #131388
- Ignore Kevin_in_GA |
9/22/2016 8:36:24 AM
That loser might be a scratch before tomorrow.
^VIX now at 12.34 in premarket, so you are probably right.
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