StockFetcher Forums · Filter Exchange · Question for Kevin in Ga<< >>Post Follow-up
wkloss
230 posts
msg #93678
Ignore wkloss
6/9/2010 11:14:18 PM

Kevin

You wrote regarding the VXX-SPY ratio:

"The real winners have been to go long on the SPX when the ratio is below the trigger line (the OTHER half of this approach, which no one has mentioned yet)."

I looked at the charts and apparently everyone is missing how accurate this is.

1. Have you considered using this as an indicator....long trades from another system when it says SPY should go long and vice versa?

2. If I want to test other symbols against the VXX, is it correct to substitute the symbol for SPY and SP500 each time they appear in the code?

There appears to have been some whipsawing with this indicator lately and I agree with your point that no indicator is perfect. This led me to wonder if the width between the signal lines, when trading SPY or whatever directionally, might suggest position size. For example, when SPY 1st goes on a buy signal, start with a small number of shares or option contracts and add to the position as the width between the lines increase. As the width contracts, start taking off some shares or contracts. When a sell crossover happens, most of your position has been closed and any pain will be minimized.

Thanks in advance for your reply and BTW.....if I ever take a loss trading your concepts, I won't be complaining because you didn't enter the trade...I did.

Bill

louie6digits
34 posts
msg #93685
Ignore louie6digits
6/10/2010 9:07:06 AM

Just wanted to share an improved VXX-SPY ratio filter.

symlist(bac,c,spy,vxx,ule,uup,gld,fas,tna)
SET{SPY, IND(SPY,CLOSE)}
SET{VXX, IND(VXX,WMA(8))}
SET{RATIO, VXX / SPY}
SET{RATIOMA13, CMA(RATIO,13)}
SET{VXX_LONG, COUNT(RATIO ABOVE RATIOMA13,1)}
SET{SP500_LONG, COUNT(RATIO BELOW RATIOMA13,1)}
SET{TRIG,0}
DRAW RATIO ON PLOT RATIOMA13
DRAW VXX_LONG ON PLOT TRIG
DRAW SP500_LONG ON PLOT TRIG

Can someone please make it clickable!

johnpaulca
11,315 posts
msg #93687
Ignore johnpaulca
6/10/2010 9:46:35 AM

Fetcher[

symlist(bac,c,spy,vxx,ule,uup,gld,fas,tna)
SET{SPY, IND(SPY,CLOSE)}
SET{VXX, IND(VXX,WMA(8))}
SET{RATIO, VXX / SPY}
SET{RATIOMA13, CMA(RATIO,13)}
SET{VXX_LONG, COUNT(RATIO ABOVE RATIOMA13,1)}
SET{SP500_LONG, COUNT(RATIO BELOW RATIOMA13,1)}
SET{TRIG,0}
DRAW RATIO ON PLOT RATIOMA13
DRAW VXX_LONG ON PLOT TRIG
DRAW SP500_LONG ON PLOT TRIG
]



Kevin_in_GA
4,555 posts
msg #93717
Ignore Kevin_in_GA
6/11/2010 9:00:46 AM

I looked at the charts and apparently everyone is missing how accurate this is.

1. Have you considered using this as an indicator....long trades from another system when it says SPY should go long and vice versa?

2. If I want to test other symbols against the VXX, is it correct to substitute the symbol for SPY and SP500 each time they appear in the code?
++++++++++++++

1. Yes, it has worked well for most of the last year in this regard, but that may not reflect the future. The relentless drop in VXX and corresponding rise in SPY makes this one easy to trade in hindsight. However, under choppy trading conditions like we have seen recently, I believe it is best seen as a hedge - buy VXX when the ratio crosses above the trigger line as a means to reduce losses and overall volatility, rather than as an "all-in" strategy. Just my thoughts on this going forward.

2. Yes.

straken
469 posts
msg #93750
Ignore straken
6/11/2010 10:51:52 PM

ADDING KEVINS COLUMN TRIGGERS WHEREAS DELTA IS LONG SIGNAL
Fetcher[
symlist(bac,c,spy,vxx,ule,uup,gld,fas,tna)
SET{SPY, IND(SPY,CLOSE)}
SET{VXX, IND(VXX,WMA(8))}
SET{RATIO, VXX / SPY}
SET{RATIOMA13, CMA(RATIO,13)}
SET{VXX_LONG, COUNT(RATIO ABOVE RATIOMA13,1)}
SET{SP500_LONG, COUNT(RATIO BELOW RATIOMA13,1)}
SET{TRIG,0}
DRAW RATIO ON PLOT RATIOMA13
DRAW VXX_LONG ON PLOT TRIG
DRAW SP500_LONG ON PLOT TRIG

/*ADDING KEVINS COLUMN TRIGGERS WHEREAS DELTA IS LONG SIGNAL*/
ADD COLUMN SP500_LONG {SP500^}
ADD COLUMN VXX_LONG {VXX^}
]



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