BIGG Brexit Meeting next week...how is everyone playing it?

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Kevin_in_GA
4,599 posts
msg #129502
- Ignore Kevin_in_GA

6/29/2016 8:21:27 PM

Here is how the VIXM/VXZ pair trades worked this month to date. Note that every trade is time-stamped and that you are often in and out for a profit in a fairly short time, usually in minutes. Here I am trading $20,000 over and over again, and banking all profits.

The results? 17 for 17 profitable trades netting $2000 (10%) so far this month. This is a robotic pair trading system I am testing - unfortunately not real money right now, and I think that after commissions and slippage I calculate that it actually nets more like $1500. Still, 7.5% in a month on a low risk pair trade is nothing to sneeze at.

Date	Type	Left Code	LC	Right Code	RC	Profit	Purchase Cost	Sell Cost	Qty P	Qty S	TimeStamp
6/3/2016	Buy/Sell	VIXM	$50.81	VXZ	$10.60	$0.00	$9,958.76	$9,995.80	196	943	6/3/2016 9:52 AM
6/3/2016	Exit Trade	VIXM	$51.64	VXZ	$10.63	$134.39	$10,024.09	$10,121.44	943	196	6/3/2016 10:01 AM
6/6/2016	Sell/Buy	VIXM	$51.20	VXZ	$10.46	$0.00	$9,999.76	$9,984.00	956	195	6/6/2016 9:45 AM
6/6/2016	Exit Trade	VIXM	$50.73	VXZ	$10.47	$101.21	$9,892.3	$10,009.32	195	956	6/6/2016 10:02 AM
6/10/2016	Sell/Buy	VIXM	$53.40	VXZ	$10.92	$0.00	$9,991.80	$9,985.80	915	187	6/10/2016 10:43 AM
6/10/2016	Exit Trade	VIXM	$53.06	VXZ	$10.94	$82.16	$9,921.94	$10,010.10	187	915	6/10/2016 11:04 AM
6/14/2016	Sell/Buy	VIXM	$56.60	VXZ	$11.51	$0.00	$9,990.68	$9,961.60	868	176	6/14/2016 9:53 AM
6/14/2016	Exit Trade	VIXM	$56.03	VXZ	$11.54	$125.41	$9,861.2	$10,015.77	176	868	6/14/2016 9:55 AM
6/14/2016	Sell/Buy	VIXM	$56.71	VXZ	$11.55	$0.00	$9,990.75	$9,980.96	865	176	6/14/2016 11:52 AM
6/14/2016	Exit Trade	VIXM	$56.36	VXZ	$11.61	$113.50	$9,919.3	$10,042.65	176	865	6/14/2016 12:05 PM
6/15/2016	Sell/Buy	VIXM	$55.75	VXZ	$11.37	$0.00	$9,994.23	$9,979.25	879	179	6/15/2016 10:02 AM
6/15/2016	Exit Trade	VIXM	$54.85	VXZ	$11.30	$99.57	$9,818.15	$9,932.70	179	879	6/15/2016 10:17 AM
6/16/2016	Buy/Sell	VIXM	$55.55	VXZ	$11.65	$0.00	$9,999.00	$9,995.70	180	858	6/16/2016 9:45 AM
6/16/2016	Exit Trade	VIXM	$57.70	VXZ	$11.86	$206.82	$10,175.88	$10,386.00	858	180	6/16/2016 10:01 AM
6/17/2016	Buy/Sell	VIXM	$54.30	VXZ	$11.27	$0.00	$9,991.20	$9,996.49	184	887	6/17/2016 3:36 PM
6/17/2016	Exit Trade	VIXM	$54.74	VXZ	$11.26	$89.83	$9,987.62	$10,072.16	887	184	6/17/2016 3:37 PM
6/21/2016	Sell/Buy	VIXM	$52.97	VXZ	$10.80	$0.00	$9,990.00	$9,958.36	925	188	6/21/2016 10:28 AM
6/21/2016	Exit Trade	VIXM	$52.66	VXZ	$10.84	$95.28	$9,900.08	$10,027.00	188	925	6/21/2016 10:35 AM
6/23/2016	Sell/Buy	VIXM	$52.35	VXZ	$10.54	$0.00	$9,990.88	$9,998.85	948	191	6/23/2016 9:45 AM
6/23/2016	Exit Trade	VIXM	$51.26	VXZ	$10.55	$218.62	$9,790.6	$10,001.31	191	948	6/23/2016 9:47 AM
6/23/2016	Sell/Buy	VIXM	$51.55	VXZ	$10.51	$0.00	$9,995.01	$9,949.15	951	193	6/23/2016 10:17 AM
6/23/2016	Exit Trade	VIXM	$51.15	VXZ	$10.53	$94.98	$9,871.95	$10,012.79	193	951	6/23/2016 10:23 AM
6/24/2016	Sell/Buy	VIXM	$53.58	VXZ	$10.92	$0.00	$9,991.89	$9,965.88	915	186	6/24/2016 9:46 AM
6/24/2016	Exit Trade	VIXM	$52.69	VXZ	$10.86	$110.37	$9,800.3	$9,936.72	186	915	6/24/2016 9:58 AM
6/24/2016	Buy/Sell	VIXM	$51.99	VXZ	$10.79	$0.00	$9,982.08	$9,991.54	192	926	6/24/2016 10:33 AM
6/24/2016	Exit Trade	VIXM	$52.55	VXZ	$10.80	$98.26	$10,000.8	$10,089.60	926	192	6/24/2016 10:35 AM
6/24/2016	Buy/Sell	VIXM	$54.26	VXZ	$11.25	$0.00	$9,983.84	$9,991.33	184	888	6/24/2016 4:10 PM
6/24/2016	Exit Trade	VIXM	$55.19	VXZ	$11.35	$83.65	$10,078.8	$10,154.96	888	184	6/24/2016 4:14 PM
6/27/2016	Buy/Sell	VIXM	$56.48	VXZ	$11.70	$0.00	$9,997.05	$9,995.22	177	854	6/27/2016 10:42 AM
6/27/2016	Exit Trade	VIXM	$57.15	VXZ	$11.73	$96.78	$10,017.4	$10,116.03	854	177	6/27/2016 11:06 AM
6/27/2016	Buy/Sell	VIXM	$56.34	VXZ	$11.67	$0.00	$9,971.61	$9,989.52	177	856	6/27/2016 12:09 PM
6/27/2016	Exit Trade	VIXM	$56.77	VXZ	$11.66	$85.24	$9,980.96	$10,048.29	856	177	6/27/2016 12:22 PM
6/28/2016	Sell/Buy	VIXM	$56.22	VXZ	$11.38	$0.00	$9,991.64	$9,950.94	878	177	6/28/2016 9:45 AM
6/28/2016	Exit Trade	VIXM	$55.17	VXZ	$11.36	$168.29	$9,765.0	$9,974.08	177	878	6/28/2016 9:47 AM

Mactheriverrat
3,135 posts
msg #129503
- Ignore Mactheriverrat

6/29/2016 8:43:27 PM

Very Interesting Kevin.

pthomas215
1,251 posts
msg #129504
- Ignore pthomas215

6/29/2016 9:02:20 PM

that's pretty cool Kevin. so would you equate your model to algorithmic trading?

c1916
77 posts
msg #129505
- Ignore c1916

6/29/2016 9:31:00 PM

Kevin,
You must have altered the code you posted on page 1 to provide for more frequent entry points. Perhaps you altered the +2/-2 targets? I've been monitoring the original code results and I've only seen one intraday entry point arise. Because of the commissions involved, I think the theory is more workable by retaining the original targets, rather than looking for frequent but much smaller payoffs. Am I off-base?

Kevin_in_GA
4,599 posts
msg #129509
- Ignore Kevin_in_GA

6/30/2016 4:00:02 AM

The settings used here are actually more restrictive (2.5 SD as the entry), but I assure you they are traded intraday at the times and frequency I show here. The algorithm tracks every 1 MIN bar and enters/exits using the DAILY thresholds of ma(14) of the pair, 2.5 SD away from mean for entry, cross back over/under mean for exit. The nice thing about using the 14 day MA is that the thresholds are set based on the prior days close, and do not move throughout the day as you will see with SF automatically updating the filter intraday.

novacane32000
331 posts
msg #129510
- Ignore novacane32000

6/30/2016 7:29:56 AM

Is there a poor mans version that can be used with an SF filter?

ThaGekko
139 posts
msg #129511
- Ignore ThaGekko

6/30/2016 9:28:10 AM

Kevin, what platform are you trading with for the algo?

Can you post your algo script? Or at least how to calculate the ratio/zscore?

Kevin_in_GA
4,599 posts
msg #129520
- Ignore Kevin_in_GA

6/30/2016 3:48:30 PM

@Pthomas - yes, this is pure algorithmic trading. I have spent the last two weeks at WDW while these trades were executed.

@novacane - the filter I posted on page 1 of this thread contains everything you need, but remember that the intraday data here at SF is delayed by 20 minutes, and is usually updated every 5 minutes or so, so you'll miss out on most of these short moves (example - the most recent posted trade lasted only two minutes).

@Gekko - the software I will be using is called PTL Trader (www.pairtradinglab.com). These trades were tracked using Pair Trade Finder (www.pairtradefinder.com), which is not the fully automated solution. They are developing an automated trading system that interfaces with IB's API but it is not ready yet. Ultimately I will hire a hotshot coder to develop a fully automated stand-alone system that will not require other resources to work.

novacane32000
331 posts
msg #129524
- Ignore novacane32000

6/30/2016 8:29:08 PM

Have you looked at the possibility of a black swan event that can derail this strategy and destroy months of profit in one swoop?

I guess the biggest threat would be that of a technical error where the wrong number of shares are bought or two of the same symbol ect... unlikely but possible.

How about a market event?

Have you identified your biggest risk?

Kevin_in_GA
4,599 posts
msg #129525
- Ignore Kevin_in_GA

6/30/2016 10:09:12 PM

Well, a properly constructed pair strategy should be insulated from exactly those types of events. Remember that VIXM and VXZ both track midterm volatility and thus always trade in the same direction - if the market crashes the pair both go up and you are only trading on temporary mispricings of the same investment with the expectation it will revert to the mean. Also we just had a 900 point drop in the Dow followed by a fast 600 point rebound and this pair never flinched.

The biggest risks occur when pair trading stocks that are soon to report earnings or are bought out. In that case you can see severe price ratio dislocations. Better to play ETFs against each other - smaller potential gains but much reduced risk in the case of a big market move one way or the other.

StockFetcher Forums · Filter Exchange · BIGG Brexit Meeting next week...how is everyone playing it?

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