StockFetcher Forums · Filter Exchange · Interesting - VXX:SPY ratio accurately calls recent tops and bottoms<< 1 ... 5 6 7 8 9 ... 12 >>Post Follow-up
Eman93
4,659 posts
msg #98274
Ignore Eman93
12/28/2010 4:51:31 PM

Could this be it???? is this the distribution phase?????

The tax implications would be to sell all you losers in Dec and sell all your winners in JAN if you think they topped out...
If the market looks like its rolling over may see a lot of selling first of the year??? buying puts locks in your profit.. need to check the max pain site.

We have a signal though and VIX has stayed strong... protecting those gains into the new year...

mahkoh
891 posts
msg #98320
Ignore mahkoh
12/30/2010 11:00:49 AM

Well, VXX back down and ROC turned south just before touching zero. I am thinking of combining this filter with the 401K filter (PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS). If the VXX/SPY filter tells you to go long SPY, run the 401K and buy what that filter advises.

lookrei
7 posts
msg #98351
Ignore lookrei
modified
1/1/2011 9:14:15 AM

Some have asked for a backtest of this filter. Here are the results of the last two years of my preferred pair qqqq / psq (beats all other pairs).

SF Equity summary

qqqq/psq
long: +89.6%
short: -7,5%

spy/sh
long: +34.9%
short: -18.7%

dia/dog
long: +41.6%
short -18.26%

iwm/rwm
long: +81%
short: -20.4%

I use the following changes compared to Kevins original filter:

- ma period 10
- crossed above/below for entry/exit
- no roc indicator (poor results in backtesting)
- additional exit trigger crossed above/below ema(200)

entry long:
set{spy, ind(spy, close)}
set{vxx, ind(vxx, close)}
set{ratio, vxx / spy}
set{ratioma, cma(ratio,10)}
set{long, count(ratio crossed below ratioma, 1)}
set{value, count(ratio crossed above ratioma, 1)}
set{short, 0 - value}
set{trigger, long + short}
symlist(qqqq) and
trigger is above 0

exit trigger #1:
set{spy, ind(spy, close)}
set{vxx, ind(vxx, close)}
set{ratio, vxx / spy}
set{ratioma, cma(ratio,10)}
set{long, count(ratio crossed below ratioma, 1)}
set{value, count(ratio crossed above ratioma, 1)}
set{short, 0 - value}
set{trigger, long + short}
trigger is below 0

exit trigger #2:
close crossed below ema(200)

There were 32 total stocks entered. Of those, 31 or 96.88% were complete and 1 or 3.12% were open.
Of the 31 completed trades, 20 trades or 64.52%resulted in a net gain.
Your average net change for completed trades was: 2.16%.
The average draw down of your approach was: -1.22%.
The average max profit of your approach was: 4.50%
The Reward/Risk ratio for this approach is: 5.61
Annualized Return on Investment (ROI): 50.09%, the ROI of ^SPX was: 20.20%.

Initial portfolio Size: $100000.00
Maximum Open Positions: 1
Initial transaction size: $100000.00
Start Date: 03/12/09
End Date: 12/31/10
# Trading Days: 456

Running Gain/(Loss) : $89634.18
Total (Cash + Market): $189634.18

entry short:
set{spy, ind(spy, close)}
set{vxx, ind(vxx, close)}
set{ratio, vxx / spy}
set{ratioma, cma(ratio,10)}
set{long, count(ratio crossed below ratioma, 1)}
set{value, count(ratio crossed above ratioma, 1)}
set{short, 0 - value}
set{trigger, long + short}
symlist(psq) and
trigger is below 0

exit trigger #1:
set{spy, ind(spy, close)}
set{vxx, ind(vxx, close)}
set{ratio, vxx / spy}
set{ratioma, cma(ratio,10)}
set{long, count(ratio crossed below ratioma, 1)}
set{value, count(ratio crossed above ratioma, 1)}
set{short, 0 - value}
set{trigger, long + short}
trigger is above 0

exit trigger #2:
close crossed above ema(200)

There were 31 total stocks entered. Of those, 31 or 100.00% were complete and or 0.00% were open.
Of the 31 completed trades, 10 trades or 32.26%resulted in a net gain.
Your average net change for completed trades was: -0.22%.
The average draw down of your approach was: -1.43%.
The average max profit of your approach was: 2.64%
The Reward/Risk ratio for this approach is: 0.80
Annualized Return on Investment (ROI): -14.07%, the ROI of ^SPX was: 20.20%.

Initial portfolio Size: $100000.00
Maximum Open Positions: 1
Initial transaction size: $100000.00
Start Date: 03/23/09
End Date: 12/31/10
# Trading Days: 449

Running Gain/(Loss) : - $7482.42
Total (Cash + Market): $92517.58

lookrei
7 posts
msg #98552
Ignore lookrei
1/13/2011 7:04:37 AM

This filter is very suitable as a timing component in an ETF momentum trading system (see www.etfreplay.com).
Especially in combination with country or sector ETFs the risk / reward ratio of greater 7 (80% winners) is very impressive
for the last two years.

entry:
set{spy, ind(spy, close)}
set{vxx, ind(vxx, close)}
set{ratio, vxx / spy}
set{ratioma, cma(ratio,10)}

set{long, count(ratio crossed below ratioma, 1)}
set{value, count(ratio crossed above ratioma, 1)}
set{short, 0 - value}
set{trigger, long + short}

apply to watchlist(watchlist for country or sector etfs) and
trigger is above 0

Maximum holding days: 21

selection:
/* poor copy of the etfreplay modell*/
set{c1, close - close 63 days ago}
set{c11, c1 * 100}
set{return1, c11 / close 63 days ago}
set{returnweight1, return1 * 0.1}

set{c2, close - close 21 days ago}
set{c21, c2 * 100}
set{return2, c21 / close 21 days ago}
set{returnweight2, return2 * 0.7}

set{histvola, Historical Volatility(20,1)}
set{vola, 100 - histvola}
set{volaweight, vola * 0.2}

set{returnweight, returnweight1 + returnweight2}
set{modell, returnweight + volaweight}

select by modell descending

entry price: open
exit price: open
Maximum Entries Per Day: 5
Maximum Open Positions: 5

watchlist:
country etfs (http://seekingalpha.com/data/countries) or
subindex etfs (http://seekingalpha.com/data/themes_and_subsectors)

Backtesting results for the last two years for the 38 country Etfs:

There were 75 total stocks entered. Of those, 70 or 93.33% were complete and 5 or 6.67% were open.
Of the 70 completed trades, 56 trades or 80.00%resulted in a net gain.
Your average net change for completed trades was: 5.38%.
The average draw down of your approach was: -4.16%.
The average max profit of your approach was: 8.64%
The Reward/Risk ratio for this approach is: 7.51
Annualized Return on Investment (ROI): 63.23%, the ROI of ^SPX was: 20.62%.

Name: ETF trading system II
Initial portfolio Size: $100000.00
Maximum Open Positions: 5
Initial transaction size: $20000.00
Start Date: 03/12/09
End Date: 01/10/11
# Trading Days: 462
Total (Cash + Market): $202148.37

Eman93
4,659 posts
msg #99344
Ignore Eman93
2/22/2011 5:16:41 PM

VXX on fiyyyyaaaaaa

Eman93
4,659 posts
msg #99452
Ignore Eman93
3/2/2011 2:49:55 AM

It back tested the break out,,, and the RSI has forecast a break down of the trend on the SPX.

Also USD index is on major trend line on weekly chart.. will be interesting to see what happens to GLD and SLV if the dollar rallies. of course this is if the dollar bounces... the RSI has room to fall still before breaking its major lower trend line...

The only way to really move vast sums of paper is in the currency markets... IMHO

http://www.freestockcharts.com?emailChartID=599b163c-1b56-4dee-b85b-a21c290d176e

http://www.freestockcharts.com?emailChartID=98a61482-387d-4eac-9f95-bed0e0120b33

blackthought
25 posts
msg #99458
Ignore blackthought
3/2/2011 4:18:27 PM

i think money will continue to flow into gold & silver. judging by the action in the bond market, bonds are clearly not the "flight to safety" as it used to be. GLD & SLV are making new highs & going parabolic. Bernanke and Obama's reckless spending killed the bond market.

o-hoolix
2 posts
msg #99557
Ignore o-hoolix
3/9/2011 11:40:08 AM

Kevin,

First, thanks for sharing this! It has been the missing piece of many puzzles for me.

Given the reliability of the VXX:SPY predictor for intermediate term bull and bear markets, I thought applying other bullish filters during the predicted bull periods and bearish filters during the predicted bear periods might be a good way of maximizing profits and minimizing risk. It also provides some protection during the swing periods, keeping you in best of breed instead of just the broader market. This appears to be highly effective. My challenge has been figuring out the right exit strategies for the filters I have in place. To use one of the simpler examples, I have an entry filter for a simple bullish cross of the MA30 with a close below the upper bollinger band(10).

I am an experienced technical trader but am fairly new to the "programming" logic on SF. For backtesting purposes, I'm trying to set two exit triggers since I don't want to use simple stop profit and stop loss. One trigger is on a bearish cross of the MA30. This should give it room to run but jump ship on a reversal of my entry criteria. The other is an exit when the price has gone above the upper bollinger(20) and then retreated back below it. It is at the point of crossing back below bollinger(20) that I want the trigger to execute. Note: In the spirit of the VXX:SPY trend predictor, I am closing all positions at the end of the testing period due to a cross/shift.

So the way I have the exit triggers written is:

Trigger 1 (in place of stop loss):
Price crossed MA(30) from above

Trigger 2:
Price crossed upper bollinger band(20) from below
and price crossed upper bollinger band(20) from above

Based on the backtesting results and the individual stock charts during the holding period, I am clearly not writing this correctly. What am I doing wrong? Or is it just a glitch in the way backtesting operates (buying and selling on on open or close)?

Thanks,
o-hoolix

duke56468
683 posts
msg #99570
Ignore duke56468
modified
3/9/2011 5:19:34 PM

Trigger 2:
Price crossed upper bollinger band(20) from below
and price crossed upper bollinger band(20) from above
++++++++++++++++++++++++++++++++++++++++++++++
try removing the first line and just use
Trigger 2:
Price crossed the upper bollinger band (20) from above

it would have had to be above to cross from above.



Rick67
64 posts
msg #99588
Ignore Rick67
3/10/2011 11:53:27 AM

ds2007: can you post the ThinkorSwim Thinkscript code that shows the SPY:VXX signals on your TOS chart?
Thanks, Rick

StockFetcher Forums · Filter Exchange · Interesting - VXX:SPY ratio accurately calls recent tops and bottoms<< 1 ... 5 6 7 8 9 ... 12 >>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