StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 9 10 11 12 13 ... 49 >>Post Follow-up
scottgboyle
4 posts
msg #131538
Ignore scottgboyle
9/27/2016 5:18:08 PM

Kevin,

The IB opening print for vxx was $35.60. Are the strategy rules to buy/sell at the open?



pthomas215
1,028 posts
msg #131539
Ignore pthomas215
9/27/2016 5:43:12 PM

you would have lost a lot of money if you bought the vix at the opening today.

Kevin_in_GA
4,546 posts
msg #131540
Ignore Kevin_in_GA
9/27/2016 7:11:11 PM

Not really - while the entry was not optimal based on the prior stats it will likely end up profitable. And the open on the ^VIX today was 13.36, closing at 13.10 (down only about 2%).

Now if you had bought TVIX yesterday and held it overnight you are probably feeling badly ...

Kevin_in_GA
4,546 posts
msg #131541
Ignore Kevin_in_GA
9/27/2016 7:13:18 PM

The IB opening print for vxx was $35.60. Are the strategy rules to buy/sell at the open?

Yes, but the strategy was developed on the ^VIX index, not on VXX. As I have noted here several times, the system is a trigger for trading volatility - how you choose to do that (ETFs, Options, VIX Futures) is up to you.

pthomas215
1,028 posts
msg #131542
Ignore pthomas215
9/27/2016 7:21:01 PM

Not really. I did buy TVIX yesterday and got out in pre market today for a little profit.

Kevin, maybe I am missing something. You said when you buy the VIX, you do so at market open. and you choose VXX. VXX opened at 35.60 and closed at 33.77. Not bagging on you--just wondering what I am missing if your response is "not really".

Kevin_in_GA
4,546 posts
msg #131543
Ignore Kevin_in_GA
9/27/2016 7:43:57 PM

As I just said - "Yes, but the strategy was developed on the ^VIX index, not on VXX. As I have noted here several times, the system is a trigger for trading volatility - how you choose to do that (ETFs, Options, VIX Futures) is up to you." The system is a signaling system, but you cannot properly track the ^VIX with VXX or TVIX so your entries and exits will not be as good.

One of the nice things about the ^VIX is that you can see that it is lower hours before the open, as you can with VXX and XIV. I opted to wait and bought in on VXX at $34.00. How people trade this is up to them. And even with the drop in VXX it does not mean that the trade is busted.


pthomas215
1,028 posts
msg #131544
Ignore pthomas215
9/27/2016 8:05:54 PM

oh I know Kevin--not saying it's a busted trade--just an entry point argument.

But you helped explain this a lot---I think I just assumed that the closest ETF to the VIX is VXX. I was using those 2 interchangeably. I forgot the variations..

miketranz
716 posts
msg #131546
Ignore miketranz
9/27/2016 8:58:55 PM

Try TVIX @half the price....

Kevin_in_GA
4,546 posts
msg #131547
Ignore Kevin_in_GA
9/27/2016 9:26:49 PM

SIGNALS FOR WEDNESDAY 9/28/16

A NEW ^VIX LONG BUY SIGNAL TRIGGERED BY VIX LONG FILTER #3.



OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX9/27/201613.36- - - - -13.10-1.95%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT^VIX8/29/201614.079/8/201611.76 +16.42%
LONG ^VIX9/6/201612.549/12/201620.13+61.66%
LONG ^VIX9/9/201612.449/12/201620.13+60.37%
LONG ^VIX9/13/201615.989/14/201617.63+10.32%
SHORT ^VIX9/12/201620.139/19/201615.16+24.61%
SHORT ^VIX9/9/201612.529/22/1613.41-7.28%
SHORT ^VIX9/12/201620.139/22/1613.41+33.32%
SHORT ^VIX9/14/201617.639/23/1612.02+31.74%


pthomas215
1,028 posts
msg #131549
Ignore pthomas215
9/27/2016 9:53:40 PM

kevin, thank you as always for your generosity. Mike, I do usually go with TVIX, as I think there is about an 82% inverse correlation with the S&P.

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