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gmg733
621 posts
msg #131312
Ignore gmg733
modified
9/19/2016 6:27:10 PM

@c1916

My work was done on Vix options. A surrogate etf would be long Vxx underlying for long signal. Be aware you'll have negative drag. So you will never see a one to one with the Vix as there is a daily roll between front and back month futures. For a short Vix signal buy either Xiv or Svxy. Note these have positive "drag" and go up since once again there is daily roll from short date futures to longer dated instruments. This is all theory as I have not traded these instruments in this system. If you are like me and feel fed manipulation keeps Vix low then buy Xiv or Svxy on pull backs. If the markets ever got back to normal this thesis would probably need revisited. I do trade Svxy when we get vol spikes and usually sell calls against it. Good premium in Svxy.

You mentioned something I negated in my other post. The amount of slippage on Vix options would be something to watch. Knowing how the options market works you would be hard pressed to get a great fill at market open since bid ask spreads are wider in early trading.

Yes it is hard to find an edge in the markets.

Kevin_in_GA
4,548 posts
msg #131314
Ignore Kevin_in_GA
9/19/2016 6:38:45 PM

Kevin,

Which signal produced the ^VIX long signal for Friday? I ran all the signals collectively and individually and did not come back with a long signal for the past Friday. Thanks.
++++++++

Okay - I reran the signals from SS for Friday and - you are correct - the long buy signal has disappeared.

It was there when I ran the signals at 6 PM but the "FINAL" VIX values must have been slightly different enough to negate the signal. Going forward I will not run the signal until 9 PM.

I will remove it from the tracking posted each night here (I did however make about $450 bucks on this one today so I will sell it tomorrow and take my profit).

shillllihs
3,540 posts
msg #131316
Ignore shillllihs
9/19/2016 7:26:07 PM

I don't want to beat a dead horse but wouldn't the solution be to model off of Tvix
instead of Vix? Just go long Tvix and play Xiv 2x to match Tvix.
So instead of looking for a 90% rate for Vix, just do it for Tvix.
Maybe I'm not getting it, I'll let it go.

gmg733
621 posts
msg #131317
Ignore gmg733
9/19/2016 9:21:33 PM

You can run strata search for tvix, Xiv, Vxx or whatever you want. I already have one for Svxy. This thread gave me an idea to do short strategies for drag products. Still cookin.

Feel free to sign up. I'm sure Pete will like the business.

ericeira
21 posts
msg #131318
Ignore ericeira
9/19/2016 10:15:32 PM

I did signed up to Stratasearch was able to download vix sector and I could do the back test for individually filters but not combined , also I need help how to get the daily trigger signal .

Kevin_in_GA
4,548 posts
msg #131319
Ignore Kevin_in_GA
9/19/2016 10:37:21 PM

SIGNAL UPDATES FOR TUESDAY (9/20/16) AT THE OPEN:

NO NEW SIGNALS.

THE THREE CURRENT SHORT POSITIONS CONTINUE TO BE HELD.

OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX09/09/1612.52 - - - - 15.53-24.04%
SHORT ^VIX09/12/1620.13- - - - 15.5322.85%
SHORT ^VIX09/14/1617.63 - - - - 15.5311.91%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX08/29/1614.07 09/08/1611.7616.42%
LONG ^VIX09/06/1612.54 09/12/1620.1361.66%
LONG ^VIX09/09/1612.44 09/12/1620.1360.37%
LONG ^VIX09/13/1615.98 09/14/1617.6310.32%
SHORT ^VIX09/12/1620.13 09/19/16 15.1624.61%
dtatu
69 posts
msg #131321
Ignore dtatu
modified
9/20/2016 1:30:13 AM

Re:

"You can run strata search for tvix, Xiv, Vxx or whatever you want. I already have one for Svxy. This thread gave me an idea to do short strategies for drag products. Still ..."

In real life , though, I see, quite often, " short sale restrictions" on TVIX or XIV: right now, TVIX, is under a short selling restriction until 20 Sept at 20.00; so, playing the short side on these ETF will not be possible when the market moves big against them


gmg733
621 posts
msg #131338
Ignore gmg733
9/20/2016 4:37:50 PM

My drag products are stuff like USO, UNG and etc. I wasn't specifically talking about the VIX ETF/ETN products. Sorry for the confusion.



Kevin_in_GA
4,548 posts
msg #131340
Ignore Kevin_in_GA
9/20/2016 9:21:25 PM

SIGNAL UPDATES FOR WEDNESDAY (9/21/16) AT THE OPEN:

NO NEW SIGNALS.

THE THREE CURRENT SHORT POSITIONS CONTINUE TO BE HELD.

OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX09/09/1612.52 - - - - 15.92-27.16%
SHORT ^VIX09/12/1620.13- - - - 15.9220.91%
SHORT ^VIX09/14/1617.63 - - - - 15.929.70%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX08/29/1614.07 09/08/1611.7616.42%
LONG ^VIX09/06/1612.54 09/12/1620.1361.66%
LONG ^VIX09/09/1612.44 09/12/1620.1360.37%
LONG ^VIX09/13/1615.98 09/14/1617.6310.32%
SHORT ^VIX09/12/1620.13 09/19/16 15.1624.61%
shillllihs
3,540 posts
msg #131342
Ignore shillllihs
9/20/2016 9:56:23 PM

I'm thinking these would go well with binary options or betting sites where you merely have to pick
direction for the day. I've never tried them and not sure if these bets exist.

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