StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 16 17 18 19 20 ... 49 >>Post Follow-up
dtatu
69 posts
msg #131700
Ignore dtatu
10/3/2016 12:18:02 PM

My take on this signal ( real trades):

1. CREDIT 1 + ES FOP 20161021 2205C - ES FOP 20161021 2165C 17.25 SMART(USD)

2. SLD 1 VIX, 20161116, Futures, CFE, USD 16.90 CFE(USD)
BOT 1 VIX, 20161019, Futures, CFE, USD 15.70 CFE(USD)


dtatu
69 posts
msg #131713
Ignore dtatu
modified
10/3/2016 9:27:23 PM

Need Help with Stratasearch:( first time user)
I copied and pasted some of the long signals : entry and exit ( is there a more elegant way to do it, faster?)
When I choose "Run signal", it looks like it's doing it over the whole database.
How do I limit it to VIX index only? I do not even find ^VIX among the choices
Thanks

Kevin_in_GA
4,543 posts
msg #131714
Ignore Kevin_in_GA
10/3/2016 9:51:11 PM

SIGNALS FOR TUESDAY 10/4/16

NO NEW SIGNALS TRIGGERED.



OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
LONG ^VIX10/3/201613.75- - - - -13.57-1.31%
LONG ^VIX9/27/201613.36- - - - -13.57+1.57%
LONG ^VIX9/28/201612.90- - - - -13.57+5.19%
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%


Kevin_in_GA
4,543 posts
msg #131715
Ignore Kevin_in_GA
10/3/2016 9:55:41 PM

@DTATU: You need to do two things before running any of the strategies - I outlined this on page 6 of this thread but here it is again:

1. Import ^VIX data: This is not automatically done. You need to go to File -> Import Prices ... and choose Source Type = Yahoo! Finance. Then move down to Yahoo! Finance settings and edit the Indexes file "indices.csv" by adding the following line at the bottom:

^VIX,^VIX,CBOE Volatility Index

Save the file and the go to File ->Import Prices and download the data for all symbols and indices.

2. Create a new sector called VIX: Go to Setups -> Sector Setups and "Add" a new sector called VIX. Add the ^VIX symbol and save.

Now you can run these strategies. using the newly created VIX sector as the data source.

dtatu
69 posts
msg #131720
Ignore dtatu
10/4/2016 6:13:32 AM

Thanks for the help, Kevin.

Kevin_in_GA
4,543 posts
msg #131724
Ignore Kevin_in_GA
modified
10/4/2016 1:15:29 PM

Posting this a little late - at 10:43 AM picked up 1000 shares of UVXY at $15.75.

3:23 PM UPDATE: Wow - I had set this limit order not really sure if it would get filled, but I just noticed that I basically caught the tradeable low of the day. Now up about $1100 on this trade. Time to pull it off the table and have a beer.

3:25 PM UPDATE: Out at $16.85 for a gain of $1090 after commissions.

ferndave
53 posts
msg #131733
Ignore ferndave
10/4/2016 4:51:47 PM

@Kevin

I added draw entry & draw exit to Long Filter #6 so that I could quickly see the entry and exit points. It showed only exit points nearly every day for the last year. Similarly, Long #10 had only one entry point in the last year. Does that correlate with the results from SS?

mahkoh
891 posts
msg #131734
Ignore mahkoh
10/4/2016 5:43:40 PM

From 2015/10/01 Long 6 has had 5 entries, Long 10 has had 7

mahkoh
891 posts
msg #131736
Ignore mahkoh
10/4/2016 5:48:55 PM

I uploaded the multisystem into Stratasearch as well and looking at the trades noticed one thing we all know; VIX tends to spike and then quickly retrace. Then I wondered; what if the system provides a short signal and after a few days in the trade there is a spike in VIX. It is very possible that the forced exit after 10 days comes at the worst possible time.

So I changed the 10 days to a variable setting, testing values between 10 and 20 days.
The results, tested from 5/10/2010 until 9/29/2016:

All days set to 10: 5 portfolio APR 173.7%, 872 trades, 82.8 % profitable
Best variable: 5 portfolio APR 188.7%, 868 trades, 83.3 % profitable

I realize that 15 % improvement in APR may not seem much when non optimized settings already are at 173, but it still is a 9 % improvement.

The settings:
Long 1 13 days
Long 2 20 days
Long 3 17 days
Long 4 13 days
Long 5 17 days
Long 6 19 days
Long 7 20 days
Long 8 11 days
Long 9 20 days
Long 10 17 days

Short 1 10 days
Short 2 14 days
Short 3 18 days
Short 4 19 days
Short 5 13 days
Short 6 11 days
Short 7 15 days
Short 8 17 days
Short 9 15 days
Short 10 14 days

And for the record, I did not get an entry signal for system Long #9.

Kevin_in_GA
4,543 posts
msg #131741
Ignore Kevin_in_GA
10/4/2016 7:36:16 PM

SIGNALS FOR WEDNESDAY 10/5/16

NEW SELL-TO-CLOSE SIGNAL TRIGGERED.


OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
LONG ^VIX10/3/201613.75SELL AT OPEN TOMORROW13.63-0.87%
LONG ^VIX9/27/201613.36- - - - -13.63+2.02%
LONG ^VIX9/28/201612.90- - - - -13.63+5.66%
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%


StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 16 17 18 19 20 ... 49 >>Post Follow-up

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