StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 7 8 9 10 11 ... 49 >>Post Follow-up
shillllihs
3,521 posts
msg #131364
Ignore shillllihs
9/21/2016 3:16:19 PM

Kevin,

Can you give us an idea on how this performed in the Tvix spikes of Sept.14 & Aug15.
Did the dynamics change? Looks like it caught a down draft.

Kevin_in_GA
4,539 posts
msg #131373
Ignore Kevin_in_GA
modified
9/21/2016 5:47:51 PM

Here are the closed trades entered since late July (this is the exported trade list from the multi-system backtest in SS). This does not show a few of the recent wins - not sure why.

SymbolL/SEntryDateEntryPriceExitDateExitPriceGain/LossDaysHeld
^VIXShort9/12/201620.139/19/201615.1424.79%5
^VIXShort9/12/201620.139/13/201615.9820.62%1
^VIXLong9/9/201612.529/12/201620.1360.78%1
^VIXShort8/29/201614.099/8/201611.7416.68%7
^VIXShort8/25/201613.629/6/201612.428.81%7
^VIXLong8/18/201612.209/2/201613.4710.41%11
^VIXLong8/12/201611.618/25/201613.6217.31%9
^VIXLong8/23/201612.158/25/201613.6212.10%2
^VIXLong8/22/201612.538/23/201612.15-3.03%1
^VIXLong8/8/201611.668/22/201612.537.46%10
^VIXShort8/16/201612.048/19/201611.673.07%3
^VIXLong8/5/201612.088/17/201612.574.06%8
^VIXLong8/15/201611.818/17/201612.576.44%2
^VIXLong8/8/201611.668/17/201612.577.80%7
^VIXLong8/8/201611.668/16/201612.043.26%6
^VIXLong8/8/201611.668/16/201612.043.26%6
^VIXLong8/4/201612.738/11/201611.93-6.28%5
^VIXLong8/9/201611.408/11/201611.934.65%2
^VIXLong8/8/201611.668/11/201611.932.32%3
^VIXLong7/29/201612.858/3/201613.535.29%3



Anyway, the system stats include drawdowns (posted on page 1). I have been posting the results for a while now to create a permanent record of system performance going forward.


Kevin_in_GA
4,539 posts
msg #131378
Ignore Kevin_in_GA
modified
9/21/2016 10:07:09 PM

SIGNALS FOR THURSDAY 9/22/16

TWO BUY-TO-COVER SIGNALS TRIGGERED.

ONE SHORT POSITION (FOR THE TRADE OPENED ON 9/14/16) TO REMAIN OPEN.




OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX9/9/201612.52CLOSE TOMORROW AT OPEN13.30-6.23%
SHORT ^VIX9/12/201620.13CLOSE TOMORROW AT OPEN13.30+33.93%
SHORT ^VIX9/14/201617.63- - - -13.30+24.56%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX8/29/201614.079/8/201611.76 +16.42%
LONG ^VIX9/6/201612.549/12/201620.13+61.66%
LONG ^VIX9/9/201612.449/12/201620.13+60.37%
LONG ^VIX9/13/201615.989/14/201617.63+10.32%
SHORT ^VIX9/12/201620.139/19/201615.16+24.61%


gmg733
619 posts
msg #131379
Ignore gmg733
modified
9/21/2016 10:42:08 PM

That loser might be a scratch before tomorrow. I'm not telling you how to trade but vol is usually highest at the open. Usually after 15 min markets come in.

I went long some XIV today after fed released notes. I figure we have some vol crush yet.

shillllihs
3,521 posts
msg #131381
Ignore shillllihs
9/22/2016 12:14:40 AM

Now I see the problem with using ETFs to trade these. Xiv does not make much and Tvix loses
or makes very little. Maybe a strategy of only going long Xiv and staying out of market
when Vix is long.
I know 1 of you geniuses can tailor something with ETFs.

Kevin_in_GA
4,539 posts
msg #131388
Ignore Kevin_in_GA
9/22/2016 8:36:24 AM

That loser might be a scratch before tomorrow.

^VIX now at 12.34 in premarket, so you are probably right.

shillllihs
3,521 posts
msg #131433
Ignore shillllihs
9/22/2016 4:13:46 PM

Gmg or anyone else.

Since you seem to know options well. Don't the Uvxy calls for the upcoming weeks
in the 40-60 range seem rather cheap and can this be a sign that Vix will not spike
till December.





compound_gains
152 posts
msg #131434
Ignore compound_gains
9/22/2016 5:29:12 PM

http://seekingalpha.com/instablog/10211511-eli-mintz/3912076-like-a-feather-in-the-wind-vxx-and-contango

Kevin_in_GA
4,539 posts
msg #131435
Ignore Kevin_in_GA
9/22/2016 9:15:09 PM

SIGNALS FOR FRIDAY 9/22/16

FINAL BUY-TO-COVER SIGNAL TRIGGERED.

ALL POSITIONS CLOSED AT OPEN TOMORROW.






OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX9/14/201617.63CLOSE TOMORROW12.02+31.02%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX8/29/201614.079/8/201611.76 +16.42%
LONG ^VIX9/6/201612.549/12/201620.13+61.66%
LONG ^VIX9/9/201612.449/12/201620.13+60.37%
LONG ^VIX9/13/201615.989/14/201617.63+10.32%
SHORT ^VIX9/12/201620.139/19/201615.16+24.61%
SHORT ^VIX9/9/201612.529/22/201613.41-7.28%
SHORT ^VIX9/12/201620.139/22/201613.41+33.32%


c1916
70 posts
msg #131436
Ignore c1916
9/22/2016 10:18:41 PM

So we're in for a dull day tomorrow, then.

Maybe I'll sleep in.

StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 7 8 9 10 11 ... 49 >>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