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graftonian
439 posts
msg #131598
Ignore graftonian
9/29/2016 3:04:12 PM

Kevin, Today I sold the 9/28 long position intra day. When would be the appropriate time to re-enter that position? When VIX is below original trigger? By the way this was my first live trade trying your system.
UVXY for 15.4%, what a way to start. And thanx for the hard work.

shillllihs
3,545 posts
msg #131599
Ignore shillllihs
9/29/2016 3:20:03 PM

Graf,

If you bought Uvxy next day after signal you would be down if you were still holding.
The system is promising, but has trouble tracking Vix. Some may choose to play options
to mirror Vix results, but if I were to play this system, I would wait for price divergence.
You could have gotten in Uvxy at 16.13 this morning. Anyway, good job and congrats.
Kevin?

Kevin_in_GA
4,553 posts
msg #131601
Ignore Kevin_in_GA
9/29/2016 3:54:06 PM

The system is promising, but has trouble tracking Vix.

Well, actually it tracks the ^VIX quite well - the challenge is finding a tradeable investment vehicle that tracks the ^VIX, which is what I think you meant.

I am using VXX and XIV right now to trade these signals - others might use options or leveraged ETFs like TVIX or UVXY but I think I'll stick with these two for now.

If you look at the long term correlation of these ETFs to the ^VIX they are pretty high (0.85 - 0.90) but there are no good short term correlated ETFs that would work better for these trade durations. I would give up higher management fees for an ETF that would accurately mimic the index.

shillllihs
3,545 posts
msg #131602
Ignore shillllihs
9/29/2016 4:13:02 PM

Oh yes, that's what I meant.

Now can you answer the question straight, have you looked into creating a system with the same
concept directly through Vxx? Am I missing a key point here or you just choose not to.
I'm really asking because I don't have enough knowledge.

Kevin_in_GA
4,553 posts
msg #131604
Ignore Kevin_in_GA
9/29/2016 4:38:43 PM

These recent posts got me thinking - how closely does each ETF track the ^VIX, and track each other?

The first column is the 100 day correlation of each ETF to the ^VIX itself. After the column separator, I am making an ETF correlation matrix - the center diagonal simply compares each ETF to itself (hence the correlation of 1.00) the off-diagonal elements compare the correlations of each ETF to each other ETF.

Fetcher[
Symlist(vxx,xiv,tvix,uvxy,svxy,viix,vxz)
add column corr(^VIX,100,close) {^VIX 100 day}
add column separator
add column corr(svxy,100,close) {SVXY 100 day}
add column corr(tvix,100,close) {TVIX 100 day}
add column corr(uvxy,100,close) {UVXY 100 day}
add column corr(viix,100,close) {VIIX 100 day}
add column corr(vxx,100,close) {VXX 100 day}
add column corr(vxz,100,close) {VXZ 100 day}
add column corr(xiv,100,close) {XIV 100 day}
]



And here is the same analysis done over a shorter 20 day period:

Fetcher[
Symlist(vxx,xiv,tvix,uvxy,svxy,viix,vxz)
add column corr(^VIX,20,close) {^VIX 20 day}
add column separator
add column corr(svxy,20,close) {SVXY 20 day}
add column corr(tvix,20,close) {TVIX 20 day}
add column corr(uvxy,20,close) {UVXY 20 day}
add column corr(viix,20,close) {VIIX 20 day}
add column corr(vxx,20,close) {VXX 20 day}
add column corr(vxz,20,close) {VXZ 20 day}
add column corr(xiv,20,close) {XIV 20 day}
]



Interesting results - none of these accurately track the ^VIX over a short time period, but VXX and TVIX are highly correlated - so much so that it seems crazy not to be using the leveraged ETF.

My position on this had been that the use of leverage drags down performance over time, but given the short durations of these trades (no more than 10 days) it probably is more than offset by the 2x returns.

Kevin_in_GA
4,553 posts
msg #131605
Ignore Kevin_in_GA
9/29/2016 4:58:40 PM

Now can you answer the question straight, have you looked into creating a system with the same
concept directly through Vxx?


Of course I have - I relatively quickly found 10 long and short systems that met my core criteria of 90% win rate and at least 20 trades each over the last five years. You could too if you were willing to put in a day or two to learn how.

The challenge with VXX is the constant drag of contango. Over a shorter time frame like these trades (10 days), there are only a few highly successful long VXX signal systems, and obviously lots of profitable short systems. However, by using the ^VIX as the signaling system, it seems that you can trade VXX long profitably in a way that I did not see from my brute force searches on VXX itself.

Kevin_in_GA
4,553 posts
msg #131607
Ignore Kevin_in_GA
9/29/2016 7:29:35 PM

SIGNALS FOR FRIDAY 9/30/16

NO NEW SIGNALS TRIGGERED.



OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
LONG ^VIX9/27/201613.36- - - - -14.02+4.94%
LONG ^VIX9/28/201612.90- - - - -14.02+8.68%
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%


dtatu
69 posts
msg #131614
Ignore dtatu
modified
9/30/2016 6:18:09 AM

re:The system is promising, but has trouble tracking Vix.

Just an idea : ( go again to : http://vixcentral.com/ , then click on the contango tab, then choose VIX Spot and F1-F2 Contango which will project their comparative graphs, and ZOOM !):

1. what about trading the Spread futures F1-F2 for long signals and F2- F1 for shorts ( eg. for a Long now, you would buy 1 Oct contract and sell 1 Nov and play the spread only; this would also limit the drawdowns,which could be very violent, in real life, in VIX?)

2. Did you try to take the opposite trade in SPY? ( for long VIX ,short SPY,etc.)

pthomas215
1,030 posts
msg #131623
Ignore pthomas215
9/30/2016 11:38:22 AM

dtatu, could you explain how you interpret it? I did the F1 and F2--not sure I understand how I use the chart as a predictive model for vix? Thank you.

dtatu
69 posts
msg #131631
Ignore dtatu
modified
9/30/2016 1:14:04 PM

No, i's not at all a predictive model for the VIX spot: I only see it as a possible way to trade the VIX system above, ( and maybe a more prudent one) as the VIX index cannot be traded.

If you move your cursor on the graph from Sep 7 to 14, you can see that:
1. VIX spot goes from 11.94 to 18.14= an increase of almost 52%
2. the difference between F2 and F1( 2 nd month minus front month) drops from 19.28% to 2.72%= a drop of 86 % ! this means that the front month(F1) advances much more than the second month (F2) when the VIX spot goes up.If the price of F1 becomes higher than F2= Backwardation ( bullish for VIX- bearish for the markets)

So, if the system gives a buy signal, one buys 1 Vix futures front month(F1) and simultaneously sells short the 2 nd month (F2) , hoping that F1 will gain more than the loss in F2( the spread narrows). When one exits on an exit signal, one closes BOTH in the same time as a spread again ( sells to close F1 and buys to close F2)

Hope it' s clearer?
Any opinions on this alternative / surrogate for VIX spot are welcome , of course.

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