StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 20 21 22 23 24 ... 40 >>Post Follow-up
mahkoh
666 posts
msg #131916
Ignore mahkoh
10/14/2016 6:20:52 AM

Yellen speaks today at the Boston fed confetence at 12:00, when in profit it may be an idea to take some off the table.

dtatu
61 posts
msg #131919
Ignore dtatu
10/14/2016 9:49:45 AM

my today s trade:
DEBIT 1 + VIX FUT 20161116 - VIX FUT 20161019 0.47 SMART(USD)
BOT 1 VIX, 20161116, Futures, SMART, USD 17.44 SMART(USD) 01:08:03
SLD 1 VIX, 20161019, Futures, SMART, USD 16.97 SMART(USD) 01:08:03

I keep alternating trades between:
1. VIX futures spreads F1-F2
2. Inverse trade on e mini ES futures
3. Inverse trade on e mini ES options spreads

I"ll post the closed trades in batches of 10.

PS Also, whether Yellen speaks or not, I stick with the system signals , otherwise the stats will not reflect anymore the value of the system, IMO.

mahkoh
666 posts
msg #131931
Ignore mahkoh
modified
10/15/2016 4:58:03 AM

You do have a point there. On the other hand few will hold it against him when a trader has a backtested system but avoids stocks where earnings are due shortly. We are trading volatility here and although yesterday turned out to be a non event, if anyone is libal to ignite a volatility spike it's the fed chair.



dtatu
61 posts
msg #131934
Ignore dtatu
modified
10/15/2016 6:31:48 PM

Question for Kevin:
I was looking at the section 2, page 1 , equity curve 1999-2009 : mid 2001 to mid 2003 and 2008-2009, the equity curve, goes nowhere : do you think one would be able to follow religiously the system for 2 years with no palpable profit? I , probably , would bail out , in real time; what about you, guys?
Do you think this system should have a filter for high VOL / BEAR markets and be OUT of it during those periods?
I've seen some previous filters of yours ( 4 horsemen,etc) for negative markets. Maybe incorporating them might improve the performance and making it more realistic to follow?
Better being in cash or following another system , better adapted to bear markets ?

Also, if you 'd be able to zoom in the stats during those periods, might help to have a better idea about winners/ losers etc?

Thanks for your input.

Kevin_in_GA
3,964 posts
msg #131935
Ignore Kevin_in_GA
10/15/2016 9:19:00 PM

mid 2001 to mid 2003 and 2008-2009, the equity curve, goes nowhere : do you think one would be able to follow religiously the system for 2 years with no palpable profit?

For those times almost no profit crushed the market - this is designed to simply test the system with challenging out-of-sample data to make sure it does okay. I am not trying to further optimize but rather just make sure it is not already overfit to the five year time frame over which it was developed.

gmg733
391 posts
msg #131936
Ignore gmg733
10/15/2016 10:07:04 PM

Trade the system. Be mechanical. That is an edge.

Kevin_in_GA
3,964 posts
msg #131941
Ignore Kevin_in_GA
10/16/2016 9:29:11 PM

SIGNALS FOR MONDAY 10/17/16

NO NEW SIGNALS.


OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX10/14/201616.49- - - - -16.12+2.24%
SHORT ^VIX10/14/201616.49- - - - -16.12+2.24%
SHORT ^VIX10/12/201615.53- - - - -16.12-3.80%
SHORT ^VIX10/12/201615.53- - - - -16.12-3.80%
SHORT ^VIX10/12/201615.53- - - - -16.12-3.80%
SHORT ^VIX10/12/201615.53- - - - -16.12-3.80%
SHORT ^VIX10/12/201615.53- - - - -16.12-3.80%
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%


Kevin_in_GA
3,964 posts
msg #131971
Ignore Kevin_in_GA
10/17/2016 8:30:41 PM

SIGNALS FOR TUESDAY 10/18/16

NO NEW SIGNALS.


OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX10/14/201616.49- - - - -16.21+1.70%
SHORT ^VIX10/14/201616.49- - - - -16.21+1.70%
SHORT ^VIX10/12/201615.53- - - - -16.21-4.38%
SHORT ^VIX10/12/201615.53- - - - -16.21-4.38%
SHORT ^VIX10/12/201615.53- - - - -16.21-4.38%
SHORT ^VIX10/12/201615.53- - - - -16.21-4.38%
SHORT ^VIX10/12/201615.53- - - - -16.21-4.38%
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%


Kevin_in_GA
3,964 posts
msg #131993
Ignore Kevin_in_GA
10/18/2016 7:58:14 PM

SIGNALS FOR WEDNESDAY 10/19/16

BUY-TO-COVER ON 2 UNITS TOMORROW AT THE OPEN.


OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX10/12/201615.53BUY-TO-COVER AT THE OPEN TOMORROW15.28+1.61%
SHORT ^VIX10/12/201615.53BUY-TO-COVER AT THE OPEN TOMORROW15.28+1.61%
SHORT ^VIX10/14/201616.49- - - - -15.28+7.34%
SHORT ^VIX10/14/201616.49- - - - -15.28+7.34%
SHORT ^VIX10/12/201615.53- - - - -15.28+1.61%
SHORT ^VIX10/12/201615.53- - - - -15.28+1.61%
SHORT ^VIX10/12/201615.53- - - - -15.28+1.61%
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%


Kevin_in_GA
3,964 posts
msg #132022
Ignore Kevin_in_GA
10/19/2016 10:09:17 PM

SIGNALS FOR THURSDAY 10/20/16

BUY-TO-COVER ON 3 UNITS TOMORROW AT THE OPEN.


OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX10/14/201616.49BUY-TO-COVER AT THE OPEN TOMORROW14.41+12.61%
SHORT ^VIX10/14/201616.49- - - - -14.41+12.61%
SHORT ^VIX10/12/201615.53- - - - -14.41+7.21%
SHORT ^VIX10/12/201615.53BUY-TO-COVER AT THE OPEN TOMORROW14.41+7.21%
SHORT ^VIX10/12/201615.53BUY-TO-COVER AT THE OPEN TOMORROW14.41+7.21%
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%
SHORT ^VIX10/12/201615.5310/19/201614.95+3.73%
SHORT ^VIX10/12/201615.5310/19/201614.95+3.73%


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