StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 19 20 21 22 23 ... 49 >>Post Follow-up
dtatu
69 posts
msg #131857
Ignore dtatu
10/11/2016 10:08:08 AM

My take on today's signal

CREDIT 1 : + ES FOP 20161104 2200C - ES FOP 20161104 2160C 16.25 SMART(USD) 08:34:38

gmg733
623 posts
msg #131863
Ignore gmg733
10/11/2016 3:25:44 PM

Short Put Spread in VIX; Nov16, -1 16 Put, +1 14 Put

VIX is up 20.25% today and my ITM Put spread is now OTM and it is up 20.18% today

Close to being 1:1. I'll keep working on this when time permits. On the next signal I may sell a closer dated spread since the average hold is 10 days. I don't know that it will matter. What this points to as a thesis is the spread is as predicted a delta play. Yes there is a little boost from theta, but not a lot. I wanna see if a shorter date options theta can offset some b/a spread slippage.

Yes this is one data point. So no absolute.





Kevin_in_GA
4,553 posts
msg #131868
Ignore Kevin_in_GA
10/11/2016 7:34:22 PM

SIGNALS FOR WEDNESDAY 10/12/16

ALL CURRENT OPEN LONG POSITIONS ARE TO BE CLOSED AT THE OPEN TOMORROW.

5 NEW SHORT SELL SIGNALS HAVE BEEN TRIGGERED. THIS WOULD BE GOING FULLY SHORT ON THE ^VIX SINCE THE TARGET PORTFOLIO SIZE IS 5 UNITS.




OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
LONG ^VIX10/11/201613.71SELL AT OPEN TOMORROW15.36+12.04%
LONG ^VIX09/28/201612.90SELL AT OPEN TOMORROW15.36+19.07%
LONG ^VIX10/06/201613.11SELL AT OPEN TOMORROW15.36+17.16%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT^VIX08/29/201614.0709/08/201611.76 +16.42%
LONG ^VIX09/06/201612.5409/12/201620.13+61.66%
LONG ^VIX090/9/201612.4409/12/201620.13+60.37%
LONG ^VIX09/13/201615.9809/14/201617.63+10.32%
SHORT ^VIX09/12/201620.1309/19/201615.16+24.61%
SHORT ^VIX09/09/201612.5209/22/201613.41-7.28%
SHORT ^VIX09/12/201620.1309/22/201613.41+33.32%
SHORT ^VIX09/14/201617.6309/23/201612.02+31.74%
LONG ^VIX10/03/201613.7510/05/201613.54-1.67%
LONG ^VIX09/27/201613.3610/07/201613.50+0.90%


Kevin_in_GA
4,553 posts
msg #131871
Ignore Kevin_in_GA
10/12/2016 8:52:27 AM

Personally, I will probably only take the equivalent of three or four units shorting ^VIX today, just to keep some dry powder on hand just in case. I have a few other ^VIX-related multi-signal systems like this and every one of them has made multiple short sell signals and signaled to close all open long positions.

graftonian
439 posts
msg #131878
Ignore graftonian
10/12/2016 12:22:41 PM

Kevin, Thanks again for all your hard work. So far my first 5 trades have resulted in 11.2%, 4.6%, -1.8%, 8.9%, and -1.7%. These percentages are net (after commissions), and using UVXY as a surrogate. Shorted today using SVXY.

Kevin_in_GA
4,553 posts
msg #131883
Ignore Kevin_in_GA
10/12/2016 7:44:28 PM

SIGNALS FOR THURSDAY 10/13/16

NO NEW SIGNALS TRIGGERED.




OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX10/12/201615.53- - - - -15.91-2.45%
SHORT ^VIX10/12/201615.53- - - - -15.91-2.45%
SHORT ^VIX10/12/201615.53- - - - -15.91-2.45%
SHORT ^VIX10/12/201615.53- - - - -15.91-2.45%
SHORT ^VIX10/12/201615.53- - - - -15.91-2.45%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT^VIX08/29/201614.0709/08/201611.76 +16.42%
LONG ^VIX09/06/201612.5409/12/201620.13+61.66%
LONG ^VIX090/9/201612.4409/12/201620.13+60.37%
LONG ^VIX09/13/201615.9809/14/201617.63+10.32%
SHORT ^VIX09/12/201620.1309/19/201615.16+24.61%
SHORT ^VIX09/09/201612.5209/22/201613.41-7.28%
SHORT ^VIX09/12/201620.1309/22/201613.41+33.32%
SHORT ^VIX09/14/201617.6309/23/201612.02+31.74%
LONG ^VIX10/03/201613.7510/05/201613.54-1.67%
LONG ^VIX09/27/201613.3610/07/201613.50+0.90%
LONG ^VIX10/11/201613.7110/12/201615.53+12.96%
LONG ^VIX09/28/201612.9010/12/201615.53+20.05%
LONG ^VIX10/06/201613.1110/12/2016/td>15.53+18.13%


shillllihs
3,545 posts
msg #131899
Ignore shillllihs
modified
10/13/2016 12:06:06 PM

Something to look at here is, when you get a signal, skip a day and go all in the next day with Xiv/Tvix.
If filters are hitting 90%, confirmation of additional filters don't matter.
Seems to work better as today may show.

shillllihs
3,545 posts
msg #131907
Ignore shillllihs
modified
10/13/2016 3:03:31 PM

Ok, my findings.

If short signal, skipping first day and go long Xiv would have made up an extra 18%
For long signal, simply go long Tvix the first day.

Must go all in on first day signal and ignore other signals. But since you may have a long and a short
simultaneously, go 50% in.

Kevin_in_GA
4,553 posts
msg #131908
Ignore Kevin_in_GA
10/13/2016 3:28:42 PM

I'll stick with my unit-based strategy, but thanks for sharing a tweak from which others might benefit. Still not 100% sure about moving to TVIX instead of VXX since neither of them seem to really track the VIX as well as I would like, but there really is no reason for me not to take the 2x when it is available.

Kevin_in_GA
4,553 posts
msg #131910
Ignore Kevin_in_GA
10/13/2016 8:35:37 PM

SIGNALS FOR FRIDAY 10/14/16

2 ADDITIONAL NEW SHORT SIGNALS TRIGGERED FOR TOMORRROW.

A TOTAL OF 7 OUT OF 10 SHORT FILTERS ARE NOW IN PLAY.




OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX10/12/201615.53- - - - -16.69-7.47%
SHORT ^VIX10/12/201615.53- - - - -16.69-7.47%
SHORT ^VIX10/12/201615.53- - - - -16.69-7.47%
SHORT ^VIX10/12/201615.53- - - - -16.69-7.47%
SHORT ^VIX10/12/201615.53- - - - -16.69-7.47%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT^VIX08/29/201614.0709/08/201611.76 +16.42%
LONG ^VIX09/06/201612.5409/12/201620.13+61.66%
LONG ^VIX090/9/201612.4409/12/201620.13+60.37%
LONG ^VIX09/13/201615.9809/14/201617.63+10.32%
SHORT ^VIX09/12/201620.1309/19/201615.16+24.61%
SHORT ^VIX09/09/201612.5209/22/201613.41-7.28%
SHORT ^VIX09/12/201620.1309/22/201613.41+33.32%
SHORT ^VIX09/14/201617.6309/23/201612.02+31.74%
LONG ^VIX10/03/201613.7510/05/201613.54-1.67%
LONG ^VIX09/27/201613.3610/07/201613.50+0.90%
LONG ^VIX10/11/201613.7110/12/201615.53+12.96%
LONG ^VIX09/28/201612.9010/12/201615.53+20.05%
LONG ^VIX10/06/201613.1110/12/201615.53+18.13%


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