StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 37 38 39 40 41 >>Post Follow-up
shillllihs
2,514 posts
msg #132946
Ignore shillllihs
11/30/2016 11:02:21 PM

A serious request unless I'm not getting it. Instead of modeling off of vix, is there a way on SS.
to use the same concept here and model off of SP. And use Spxl Spxu or Tna Tza? If I could I would, but lack the mental capacity. If so, this would solve the vehicle question &
the system would be the most reliable because the concept is sound.

Kevin_in_GA
3,982 posts
msg #132949
Ignore Kevin_in_GA
12/1/2016 8:23:19 AM

Since the two are intimately linked and inversely correlated, that should work:

Fetcher[
Symlist(spy,spxu,spxl,vxx,xiv,tvix,vxz)
add column corr(^VIX,20,close) {^VIX 20 day correlation}
add column corr(^VIX,100,close) {^VIX 100 day correlation}
]



The real issue with using the ^VIX as a trigger is contango, which is amplified when using 2x ETFs. That is why any truly robust VIX trading system needs to take contango into account, or use it as the "trend" versus using solely technical indicators as I have done here.

I would wager that anyone trading VXX and XIV off of these signals since I began sharing this system has made money. The system is profitable and reliable, but not perfect.

ferndave
23 posts
msg #132950
Ignore ferndave
12/1/2016 8:30:22 AM

dtatu: The returns dropped ~20%, not down to 20%. There are roughly 160 slice buys and sells over 170 days. Given the ups and downs VIX can exhibit, I'm not surprised.

shillllihs
2,514 posts
msg #132958
Ignore shillllihs
12/1/2016 10:30:58 AM

Found another way to play this. Probably doesn't make sense but it's been working.
Up about 250% in 4 months.


gmg733
391 posts
msg #132962
Ignore gmg733
12/1/2016 10:51:04 AM

@shillllis

I've got SS systems for short TZA, FAZ and TBT that have pretty good results. My experience is the long instruments are not as good probably due to leverage drag.


My VIX ITM put spreads (ie. VIX long) track Kevin's system pretty well.

Eightball
2 posts
msg #132965
Ignore Eightball
modified
12/1/2016 11:30:33 AM

Kevin please help me.

It is probably obvious that I am a newby to SF. So how do I use this system it confuses me when one Vix long (Vix Long5) shows entry 1 and the next (Vix long6)shows exit 2?

shillllihs
2,514 posts
msg #132969
Ignore shillllihs
12/1/2016 12:58:10 PM

Gmg,

Can you code that here?

Shorting is scary but sounds good.

How do the 1x ETFs react to this system.

That's what I have been working on with this system. To
always be short Tvix but you can never be comfortable doing
that for long.



Kevin_in_GA
3,982 posts
msg #132972
Ignore Kevin_in_GA
12/1/2016 1:13:11 PM

It is probably obvious that I am a newby to SF. So how do I use this system it confuses me when one Vix long (Vix Long5) shows entry 1 and the next (Vix long6)shows exit 2?

The number in the exit column refers to whether or not one or more of the exit criteria are triggered - you can have more than one exit trigger hit on a given day, all that means is that if ANY of them trigger you should close out the trade.

If you are a newbie to SF no problem, but if you are new to trading volatility then I would suggest paper trading this using whatever volatility instrument you are considering, and see if it fits your trading style and risk tolerance.

mahkoh
668 posts
msg #132981
Ignore mahkoh
12/1/2016 2:58:16 PM

dtatu
61 posts
msg #132941
- Ignore dtatu
modified 11/30/2016 7:04:23 PM

...well, I suppose is ^VIX, which is NOT a tradable vehicle.
I think , we are trying to find the best instrument to mirror a ^VIX system ?
Reporting that ^VIX is almost unchanged sine Nov 17 does not help too much, as , in the Real world,
VXX is down 7% and TVIX is down 14%.
My FUTURE spread 1-2 is down 25%, for example.
Just saying : let's talk real world, no?We all know that the Virtual system works: let's see if it also works on the Planet Earth?
-----------------------------------
This was merely a response to Shilis' question on current signals. Sorry if this was open to interpretation.

gmg733
391 posts
msg #132983
Ignore gmg733
modified
12/1/2016 4:53:47 PM

@shillllihs

Shorting is not scary. Sold calls in TBT this morning. If it goes up, who cares? I will be right sooner or later. What people don't realize is options are safer than stock. The issue is folks trade options like stock which is a good way to get yourself in trouble.

The systems are 5 systems rolled into one that net about a 78% success rate with all around good distribution. Here is the TBT one.

Entry #1:
// TRIX: 1
(increasing(trix(close, 13))) and

// Moving Average Crossover - Stock: 1 (Supporting Entry)
(mov(close, 1, simple) > mov(close, 80, simple)) and

// Chaikin Money Flow Diverge - Sector Periods: 2 (Supporting Entry and Exit)
(sector("TBT", diverge(cmf(20), mov(close, 3, simple), 7, 13)) <> 1)

Exit #1:
// TRIX: 1
(decreasing(trix(close, 13))) or

// Chaikin Money Flow Diverge - Sector Periods: 2 (Supporting Entry and Exit)
(sector("TBT", diverge(cmf(20), mov(close, 3, simple), 7, 13)) = 1) or

// Long Stop Loss / Short Stop Gain (Supporting Exit)
(stopdown(15))

Entry #2:
// Accumulation Swing Index: 1
(crossabove(asi(100), mov(asi(100), 10, simple))) and

// Cumulative Volume Divergence - Market Periods: 2 (Supporting Entry and Exit)
(diverge(cvi($curexchange), mov(close, 3, simple), 8, 11) <> 1) and

// Relative Strength Divergence - Market Periods: 1 (Supporting Entry and Exit)
(sector($curexchange, diverge(rsi(8), mov(close, 3, simple), 8, 3)) <> -1)

Exit #2:
// Accumulation Swing Index: 1
(crossbelow(asi(100), mov(asi(100), 10, simple))) or

// Cumulative Volume Divergence - Market Periods: 2 (Supporting Entry and Exit)
(diverge(cvi($curexchange), mov(close, 3, simple), 8, 11) = 1) or

// Relative Strength Divergence - Market Periods: 1 (Supporting Entry and Exit)
(sector($curexchange, diverge(rsi(8), mov(close, 3, simple), 8, 3)) = -1) or

// Long Stop Loss / Short Stop Gain (Supporting Exit)
(stopdown(20))

Entry #3:
// TRIX: 1
(increasing(trix(close, 11))) and

// Klinger Oscillator Divergence - Market Periods: 1
(sector($curexchange, diverge(kvo(), mov(close, 3, simple), 5, 9)) <> -1) and

// Dynamic Momentum Divergence - Stock Periods: 2 (Supporting Entry and Exit)
(diverge(dmi(), mov(close, 3, simple), 1, 7) <> 1)

Exit #3:
// TRIX: 1
(decreasing(trix(close, 11))) or

// Klinger Oscillator Divergence - Market Periods: 1
(sector($curexchange, diverge(kvo(), mov(close, 3, simple), 5, 9)) = -1) or

// Dynamic Momentum Divergence - Stock Periods: 2 (Supporting Entry and Exit)
(diverge(dmi(), mov(close, 3, simple), 1, 7) = 1) or

// Long Stop Loss / Short Stop Gain (Supporting Exit)
(stopdown(40))

Entry #4:
// Momentum: 1
(crossabove(mom(close, 7), mov(mom(close, 7), 11, exponential))) and

// Williams %R Divergence - Market Periods: 1
(sector($curexchange, diverge(wlr(23), mov(close, 3, simple), 8, 11)) <> -1)

Exit #4:
// Momentum: 1
(crossbelow(mom(close, 7), mov(mom(close, 7), 11, exponential))) or

// Williams %R Divergence - Market Periods: 1
(sector($curexchange, diverge(wlr(23), mov(close, 3, simple), 8, 11)) = -1)

Entry #5:
// TEMA: 1
(crossabove(tema(close, 5), tema(close, 20)))

Exit #5:
// TEMA: 1
(crossbelow(tema(close, 5), tema(close, 20)))


I'm sure Kevin could tweak this and make it better. I'm ok with the stats I get.
Avg Annual return is 58.81%
Average Days Held is 3
Consecutive Losses is 3
Max Drawdown is 3.44
Number of trades 158 (over 4 years)
Percent in the market is 51%
Percent Profitable is 76.58
Std Deviation per month is 2.63
Std Deviation per year is 15.56

If someone wants to put this into SF code, please go ahead. Tweak it if you want too. If been trading for a few months and had positive results. Nothing is perfect. It is not optimized. It is what it is.

I have a few of these that I liked and trade all of them in conjunction with my normal options vol trades and futures trading. Just another vehicle to be active and have ideas to base trades.

I encourage you to subscribe to SS and create your own. You can do them for TVIX and XIV and whatever your heard desires. I have one for UVXY that I like. But I think Kevin's VIX trades are better.



StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 37 38 39 40 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