nibor100
1,010 posts
msg #132276
- Ignore nibor100 |
11/1/2016 11:39:49 AM
Unless the full backtest has been re-run for portfolios sizes of 1 and 2, I suspect greater returns are not guaranteed; due to the much greater # of trades that would be missed as a result of such small portfolio sizes. The odds of missing some of the larger gaining trades would probably increase.
Ed S.
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Kevin_in_GA
4,599 posts
msg #132290
- Ignore Kevin_in_GA |
11/1/2016 7:45:29 PM
3 NEW SELL-TO-OPEN SHORT SIGNALS FOR TOMORROW. NOW 6 OUT OF 10 SHORT FILTERS HAVE TRIGGERED.
I WILL STOP ENTERING IN THESE NIGHTLY UPDATES AT THE END OF THIS WEEK - I WILL BE ON VACATION AND WILL NOT HAVE TIME TO UPDATE THIS. THE RESULTS FOR THE LAST TWO MONTHS SHOULD HELP PEOPLE ASSESS THE VALUE OF THIS STRATEGY, AND I HAVE PROVIDED ALL OF THE NECESSARY CODE FOR FOLKS TO SET THESE ALERTS UP ON THEIR OWN GOING FORWARD.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| SHORT^VIX | 10/27/2016 | 14.37 | - - - - - | 18.56 | -29.16% | | SHORT^VIX | 10/28/2016 | 15.67 | - - - - - | 18.56 | -18.44% | | SHORT^VIX | 10/28/2016 | 15.67 | - - - - - | 18.56 | -18.44% |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| SHORT^VIX | 08/29/2016 | 14.07 | 09/08/2016 | 11.76 | +16.42% | | LONG ^VIX | 09/06/2016 | 12.54 | 09/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 090/9/2016 | 12.44 | 09/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 09/13/2016 | 15.98 | 09/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 09/12/2016 | 20.13 | 09/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 09/09/2016 | 12.52 | 09/22/2016 | 13.41 | -7.28% | | SHORT ^VIX | 09/12/2016 | 20.13 | 09/22/2016 | 13.41 | +33.32% | | SHORT ^VIX | 09/14/2016 | 17.63 | 09/23/2016 | 12.02 | +31.74% | | LONG ^VIX | 10/03/2016 | 13.75 | 10/05/2016 | 13.54 | -1.67% | | LONG ^VIX | 09/27/2016 | 13.36 | 10/07/2016 | 13.50 | +0.90% | | LONG ^VIX | 10/11/2016 | 13.71 | 10/12/2016 | 15.53 | +12.96% | | LONG ^VIX | 09/28/2016 | 12.90 | 10/12/2016 | 15.53 | +20.05% | | LONG ^VIX | 10/06/2016 | 13.11 | 10/12/2016 | 15.53 | +18.13% | | SHORT ^VIX | 10/12/2016 | 15.53 | 10/19/2016 | 14.95 | +3.73% | | SHORT ^VIX | 10/12/2016 | 15.53 | 10/19/2016 | 14.95 | +3.73% | | SHORT ^VIX | 10/14/2016 | 16.49 | 10/20/2016 | 14.45 | +12.49% | | SHORT ^VIX | 10/12/2016 | 15.53 | 10/20/2016 | 14.45 | +7.08% | | SHORT ^VIX | 10/12/2016 | 15.53 | 10/20/2016 | 14.45 | +7.08% | | SHORT ^VIX | 10/12/2016 | 15.53 | 10/24/2016 | 13.34 | +14.10% | | SHORT ^VIX | 10/14/2016 | 16.49 | 10/25/2016 | 12.93 | +21.49% | | LONG ^VIX | 10/26/2016 | 13.66 | 11/1/2016 | 16.54 | +21.08% |
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VenturaTrader
43 posts
msg #132291
- Ignore VenturaTrader |
11/1/2016 8:32:40 PM
Kevin, Thank you so much for your kindness and patience in posting this thread. I have been following your posts all along; the next step is to learn Stratasearch. Enjoy your vacation Bud!
Mike
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tennisplayer2
210 posts
msg #132298
- Ignore tennisplayer2 |
11/2/2016 6:53:36 AM
Kevin, have a great vacation. Thanks for all the help with this strategy. God bless.
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dtatu
143 posts
msg #132299
- Ignore dtatu |
11/2/2016 9:06:02 AM
https://itunes.apple.com/ca/podcast/option-alpha-podcast-options/id932492307?l=fr&mt=2&i=377361177
Very enlighting discussion with Mark Sebastian ( Specialist in VOL products at Optionpit.com)
-look for episode OAP 068 ( Oct 31)
* what products to use, options to favor , etc. I found it helpful.
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gmg733
788 posts
msg #132312
- Ignore gmg733 |
11/2/2016 2:22:17 PM
@datut
Thanks. I've been starting to dig into this. Very timely.
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Kevin_in_GA
4,599 posts
msg #132313
- Ignore Kevin_in_GA |
11/2/2016 2:27:09 PM
I think what is lacking in this system is taking the level of contango into account - I do not know how to do this in SS but I think it is important to look at the level of contango or backwardation when considering these signals.
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gmg733
788 posts
msg #132318
- Ignore gmg733
modified |
11/2/2016 3:22:45 PM
I don't think so Kevin. More applicable for futures calendar spreads when you are buying something against selling something.
Only way to play pure VIX is via options.
If you want 100 deltas plus or minus, structure a options trade to get you about 100 deltas.
Buy ATM calls or puts (long or short) x2 ish to get a delta total of 100. Theta not your friend.
Sell ATM call and long ATM put for short, sell ATM put and long ATM call for long. Negates theta, risk on other leg of the trade. May add long call when using a short ATM call to mitigate upside risk.
A variation of #2 in a ratio spread to get 100 deltas.
Spreads ITM (delta play): Ive been trading these so far, but thinking about going to #2 with a protection for a short call position.
Yes you can do deep ITM long for calls and puts, but little open interest, volume and wider bid/as spreads. Stick to monthly options as the b/a spreads are tighter.
Thanks.
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mahkoh
1,065 posts
msg #132323
- Ignore mahkoh |
11/2/2016 4:12:17 PM
If VIX is moving into backwardation TVIX does not suffer its natural decay but actually benefits from how its is structured. Being short TVIX at those times is like rowing a river upstream.
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Kevin_in_GA
4,599 posts
msg #132324
- Ignore Kevin_in_GA |
11/2/2016 4:55:43 PM
Tell me about it.
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