StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 28 29 30 31 32 ... 41 >>Post Follow-up
Mactheriverrat
958 posts
msg #132447
Ignore Mactheriverrat
11/10/2016 2:39:57 PM

So would one say VXX is a buy- ?

mahkoh
668 posts
msg #132451
Ignore mahkoh
11/10/2016 4:20:48 PM

At this point the system signals to cover 1 of the 2 remaining shorts. Given that the signals have proven to be somewhat premature before I wouldn't jump in head first.

Kevin_in_GA
3,982 posts
msg #132457
Ignore Kevin_in_GA
11/10/2016 7:25:00 PM

Covering a short position is not a buy signal. The system generates buy signals and at the moment none are being signaled.

dtatu
61 posts
msg #132495
Ignore dtatu
modified
11/13/2016 9:41:20 PM

CUMUL. %PL P&L VIX FUT Spread VIX ES futures VIX ES Options
-0.01% -$8.93
0.68% $686.86
1.69% $1,008.44
2.01% $319.36  
2.28% $269.36
2.89% $619.36
3.49% $600.26
3.90% $400.80
4.37% $470.80
5.00% $633.44
5.56% $558.44
6.09% $529.38
7.16% $1,070.80
--------------------------------------------------------------------------------------------------------------------------------
TOT P&L $7,158.37 $1,933.47 $2,819.68 $2,085.86


-So, first 13 trades, real time, commissions included.( 1 loss: -8$, only)
-3 methods, 1 unit only, each, in the testing period
- the least reproducible one is the ES options spreads, which were composed according to the Gout du Jour ( Taste of the day?), given that ES futures options have different ways of being done when bullish vs bearish
- VIX Futures F1-F2 should be done ONLY as SPREADS, otherwise, you'll lose on the slippage if the legs are filled separately
- ES futures are the simplest but the most dangerous( see the lock down limit 5% for 15 minutes on the election evening, when you felt quite stressed about having an unknown drawdown when the markets re-open?
PS Sorry, my table was much larger and clearer, originally, but the post changed it. I left only the totals.


dtatu
61 posts
msg #132496
Ignore dtatu
11/13/2016 9:55:40 PM

Also, I still have the feeling that, when VIX goes in sustained backwardation, this system should not be used ( according to some of you, guys, this situation appears in only 20% of the time, so , why not be out , in cash?)

gmg733
391 posts
msg #132509
Ignore gmg733
11/14/2016 11:21:40 AM

Awesome work. Which broker are you using? Some don't allow spreads on vol products.

dtatu
61 posts
msg #132517
Ignore dtatu
11/14/2016 5:39:16 PM

Interactive Brokers ( very happy with it)

Kevin_in_GA
3,982 posts
msg #132520
Ignore Kevin_in_GA
11/15/2016 8:32:18 AM

Anyone following these filters should be out of all positions as of this morning.

gmg733
391 posts
msg #132552
Ignore gmg733
11/15/2016 3:13:39 PM

/VX futures are starting to roll today

gmg733
391 posts
msg #132571
Ignore gmg733
11/16/2016 1:18:10 PM

@datut

Does the $7,158.37 represent the VIX gain/loss? Then the next is your /VX spread?

I think I see 3 methods but 4 resulting numbers.

Thanks.

StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 28 29 30 31 32 ... 41 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus