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Kevin_in_GA
4,549 posts
msg #131228
Ignore Kevin_in_GA
9/16/2016 10:11:05 PM

A couple of points here -

1. This filter uses the ^VIX index as the main trigger, which is NOT updated until several hours AFTER the close each day. The signals are not meant to be traded intraday (in fact, they can't be because the ^VIX data input is from yesterday, not today). This is a limitation of SF, not the system.

2. I post the "official" signals each night, which are traded as market orders at the open. I use the Stratasearch signals since all of the backtesting data I posted on the first page is from SS (not SF, not traded at the close of the signal day).



Kevin_in_GA
4,549 posts
msg #131229
Ignore Kevin_in_GA
9/16/2016 10:26:59 PM

SIGNAL UPDATES FOR MONDAY (9/19/16) AT THE OPEN:

A NEW ^VIX LONG SIGNAL HAS BEEN TRIGGERED FROM ^VIX LONG SIGNAL #9

ONE OF THE TWO ^VIX SHORT POSITIONS TAKEN ON 09/12/16 (CURRENTLY UP +23.65%) WILL BE BOUGHT-TO-COVER AT THE OPEN ON MONDAY.

THE OTHER THREE SHORT POSITIONS CONTINUE TO BE HELD.

OPEN TRADESDate OpenedOpening ValueDate ClosedClosing ValueNet Gain/Loss (%)
SHORT ^VIX09/09/1612.52 - - - - 18.14-22.76%
SHORT ^VIX09/12/1620.13 - - - - 18.1423.65%
SHORT ^VIX09/12/1620.13- - - - 18.1423.65%
SHORT ^VIX09/14/1617.63 - - - - 18.1412.82%
CLOSED TRADESDate OpenedOpening ValueDate ClosedClosing ValueNet Gain/Loss (%)
SHORT ^VIX08/29/1614.07 09/08/1611.7616.42%
LONG ^VIX09/06/1612.54 09/12/1620.1161.66%
LONG ^VIX09/09/1612.44 09/12/1620.1160.37%
LONG ^VIX09/12/1615.98 09/13/1617.6310.32%
shillllihs
3,544 posts
msg #131230
Ignore shillllihs
9/16/2016 11:08:00 PM

A true winning system. So do you believe you will be trading this exclusively, and do you
think you can duplicate these results using Tvix or Spy as a model through Spxl/Spxu or Tna/Tza as surrogates?
Would make it SF friendly and would come in handy in case you fell ill or decided to take
a holiday.


Kevin_in_GA
4,549 posts
msg #131233
Ignore Kevin_in_GA
9/17/2016 12:11:35 PM

A true winning system. So do you believe you will be trading this exclusively, and do you
think you can duplicate these results using Tvix or Spy as a model through Spxl/Spxu or Tna/Tza as surrogates?
Would make it SF friendly and would come in handy in case you fell ill or decided to take a holiday.

++++++

I am already trading this pretty much exclusively in my IB account, with an occasional other trade mixed in. I am using XIV and VXX as surrogates, but they are not good at tracking the VIX. Frankly I think looking at even more distantly related leveraged ETFs is probably not the way to go - the best tracking for this (and frankly the best leverage) is likely to be found in trading VIX futures. This is something I will soon be exploring using a paper-trading account and will post the results here for others to review.

And why would you rely on SF code (or me) when you can use Stratasearch and I have literally given you every line of code necessary to set this up yourself? Stratasearch sends out nightly emails with every signal and daily updates on all open positions for any signal system. It takes all the guesswork and emotion out of the trades, which is a good thing.

shillllihs
3,544 posts
msg #131239
Ignore shillllihs
modified
9/17/2016 6:34:10 PM

Well I thought about doing joining SS. And really didn't want to start paying for something
I was not sure I was going to comprehend. Tech. Stuff is not me but I'm pretty sure I'd get the hang
of it.

Final questions, unless i'm misunderstanding, I get that you're using Vxx as a model
but are there systems that use, let's say Tvix directly l and if so wouldn't that solve the problem
of trying to use ETFs to fit Vxx?

Also, I believe we are in a second long range bull market according to some very accurate long
term indicators that I use. If I were to integrate this system, knowing there was a long range bias
pointing at a bull market would you play both long and short moves, or only long or short.
My long range system had me in Xiv around 7 and out at 45 from 2011 to 2014, I should be satisfied
with these results but just being greedy.

gmg733
623 posts
msg #131241
Ignore gmg733
modified
9/17/2016 7:02:41 PM

I actually had about an hour to look at the last set of trades that Kevin has post, 4 closed ones. My one hour conclusion was the most profitable way to trade this with Vix options is long calls for long and short calls for short Vix. Buying puts did make a profit but on a percentage basis selling calls was better for shorts (which is what I do in my trading, spreads actually).

Why? Good question. When playing the options on Vix it isn't a delta play. It's a vega play. And this makes sense at least to me. Btw, I hate buying options. Period. So why does this work. Well if you assume Vix is low when the system triggers a buy or long your vega is very very low. A pop in the vix will mean a pop in vega making the value of the call much higher. Yes there is a delta and a gamma component, but my theory is your net gains are mostly from vega. I need more time to quantify that. This is also verify in the short end of the Vix. If you buy a short put, it is profitable. But shorting the calls is more profitable. My sample is too small to have a conviction but logically it makes sense. When Vix is higher the vega component is naturally higher. So if you buy puts you are buying high vol. if you sell calls you are selling high vol. and if you know anything about trading options the pros like selling vol. vol is mean reverting unlike price. Also, why not just sell puts to get long Vix. There is no premium in them i.e. no vol. you'd be selling dime options.

On the last short signal I sold ITM call spread on VXX. It is up and the price of Vxx hadn't hardly moved. To tell a little secret I learned this from another trader. If Vxx loses 5% a month on average, buy an ATM call and sell a further ITM. The only problem with Vxx is there is assignment risk. Whereas with Vix options it is cash settled.

I'll have more later I hope. As a side note, a /VX future is north of $6k I thought. So some smaller accounts will not be out for this trade.

Ah so much to do and no time to do it

Thanks


shainadir
24 posts
msg #131248
Ignore shainadir
modified
9/18/2016 1:54:34 AM

Great work as always Kevin..

I'm running the codes in stratasearch and am getting an error on Vix Long Signal 7. The Entry string is fine but the Exit string is giving me the following error:

Missing operator: ($daysheld > 10)

I would appreciate it if you would take a look.

Thanks.

S.

mahkoh
892 posts
msg #131250
Ignore mahkoh
9/18/2016 3:35:30 AM

Shillis, I don't understand. You kill it everyday, yet you don't want to spend $30 a month on something that can make you even more wealthy? All you'd need to do is copy Kevin's code into a multisystem and you're good to go.

Kevin_in_GA
4,549 posts
msg #131252
Ignore Kevin_in_GA
modified
9/18/2016 8:58:26 AM

I'm running the codes in stratasearch and am getting an error on Vix Long Signal 7. The Entry string is fine but the Exit string is giving me the following error:

Missing operator: ($daysheld > 10)
++++++++++
You are missing the word OR preceding $daysheld

Also, anyone wanting to copy this needs to do two other things:

1. Import ^VIX data: This is not automatically done. You need to go to File -> Import Prices ... and choose Source Type = Yahoo! Finance. Then move down to Yahoo! Finance settings and edit the Indexes file "indices.csv" by adding the following line at the bottom:

^VIX,^VIX,CBOE Volatility Index

Save the file and Import Prices.

2. Create a new sector called VIX: Go to Setups -> Sector Setups and "Add" a new sector called VIX. Add the ^VIX symbol and save.

Now you can run these strategies.

shillllihs
3,544 posts
msg #131254
Ignore shillllihs
modified
9/18/2016 9:59:46 AM

It's not a matter of paying 30 bucks a month, it's just I never looked into SS before and do not want
to drop 360 a year on something I do not understand yet. And I see there are still some issues with using
ETFs via the Vix. Also, I'm not comfortable with options. This is why my question remains, since I'm just
The village idiot, can you run SS, to find systems that are as successful utilizing Spx, Russell, Tvix, etc.
Are these systems tailored only to Vix?


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