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3,829 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.

DateTypeLeft CodeLCRight CodeRCProfitPurchase CostSell CostQty PQty STimeStamp
6/3/2016Buy/SellVIXM$50.81VXZ$10.60$0.00$9,958.76$9,995.801969436/3/2016 9:52 AM
6/3/2016Exit TradeVIXM$51.64VXZ$10.63$134.39$10,024.09$10,121.449431966/3/2016 10:01 AM
6/6/2016Sell/BuyVIXM$51.20VXZ$10.46$0.00$9,999.76$9,984.009561956/6/2016 9:45 AM
6/6/2016Exit TradeVIXM$50.73VXZ$10.47$101.21$9,892.3$10,009.321959566/6/2016 10:02 AM
6/10/2016Sell/BuyVIXM$53.40VXZ$10.92$0.00$9,991.80$9,985.809151876/10/2016 10:43 AM
6/10/2016Exit TradeVIXM$53.06VXZ$10.94$82.16$9,921.94$10,010.101879156/10/2016 11:04 AM
6/14/2016Sell/BuyVIXM$56.60VXZ$11.51$0.00$9,990.68$9,961.608681766/14/2016 9:53 AM
6/14/2016Exit TradeVIXM$56.03VXZ$11.54$125.41$9,861.2$10,015.771768686/14/2016 9:55 AM
6/14/2016Sell/BuyVIXM$56.71VXZ$11.55$0.00$9,990.75$9,980.968651766/14/2016 11:52 AM
6/14/2016Exit TradeVIXM$56.36VXZ$11.61$113.50$9,919.3$10,042.651768656/14/2016 12:05 PM
6/15/2016Sell/BuyVIXM$55.75VXZ$11.37$0.00$9,994.23$9,979.258791796/15/2016 10:02 AM
6/15/2016Exit TradeVIXM$54.85VXZ$11.30$99.57$9,818.15$9,932.701798796/15/2016 10:17 AM
6/16/2016Buy/SellVIXM$55.55VXZ$11.65$0.00$9,999.00$9,995.701808586/16/2016 9:45 AM
6/16/2016Exit TradeVIXM$57.70VXZ$11.86$206.82$10,175.88$10,386.008581806/16/2016 10:01 AM
6/17/2016Buy/SellVIXM$54.30VXZ$11.27$0.00$9,991.20$9,996.491848876/17/2016 3:36 PM
6/17/2016Exit TradeVIXM$54.74VXZ$11.26$89.83$9,987.62$10,072.168871846/17/2016 3:37 PM
6/21/2016Sell/BuyVIXM$52.97VXZ$10.80$0.00$9,990.00$9,958.369251886/21/2016 10:28 AM
6/21/2016Exit TradeVIXM$52.66VXZ$10.84$95.28$9,900.08$10,027.001889256/21/2016 10:35 AM
6/23/2016Sell/BuyVIXM$52.35VXZ$10.54$0.00$9,990.88$9,998.859481916/23/2016 9:45 AM
6/23/2016Exit TradeVIXM$51.26VXZ$10.55$218.62$9,790.6$10,001.311919486/23/2016 9:47 AM
6/23/2016Sell/BuyVIXM$51.55VXZ$10.51$0.00$9,995.01$9,949.159511936/23/2016 10:17 AM
6/23/2016Exit TradeVIXM$51.15VXZ$10.53$94.98$9,871.95$10,012.791939516/23/2016 10:23 AM
6/24/2016Sell/BuyVIXM$53.58VXZ$10.92$0.00$9,991.89$9,965.889151866/24/2016 9:46 AM
6/24/2016Exit TradeVIXM$52.69VXZ$10.86$110.37$9,800.3$9,936.721869156/24/2016 9:58 AM
6/24/2016Buy/SellVIXM$51.99VXZ$10.79$0.00$9,982.08$9,991.541929266/24/2016 10:33 AM
6/24/2016Exit TradeVIXM$52.55VXZ$10.80$98.26$10,000.8$10,089.609261926/24/2016 10:35 AM
6/24/2016Buy/SellVIXM$54.26VXZ$11.25$0.00$9,983.84$9,991.331848886/24/2016 4:10 PM
6/24/2016Exit TradeVIXM$55.19VXZ$11.35$83.65$10,078.8$10,154.968881846/24/2016 4:14 PM
6/27/2016Buy/SellVIXM$56.48VXZ$11.70$0.00$9,997.05$9,995.221778546/27/2016 10:42 AM
6/27/2016Exit TradeVIXM$57.15VXZ$11.73$96.78$10,017.4$10,116.038541776/27/2016 11:06 AM
6/27/2016Buy/SellVIXM$56.34VXZ$11.67$0.00$9,971.61$9,989.521778566/27/2016 12:09 PM
6/27/2016Exit TradeVIXM$56.77VXZ$11.66$85.24$9,980.96$10,048.298561776/27/2016 12:22 PM
6/28/2016Sell/BuyVIXM$56.22VXZ$11.38$0.00$9,991.64$9,950.948781776/28/2016 9:45 AM
6/28/2016Exit TradeVIXM$55.17VXZ$11.36$168.29$9,765.0$9,974.081778786/28/2016 9:47 AM

930 posts
msg #129503
Ignore Mactheriverrat
6/29/2016 8:43:27 PM

Very Interesting Kevin.

354 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?

45 posts
msg #129505
Ignore c1916
6/29/2016 9:31:00 PM

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?

3,829 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.

268 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?

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?

3,829 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 ( These trades were tracked using Pair Trade Finder (, 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.

268 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?

3,829 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.

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