StockFetcher Forums · General Discussion · OVX Variance Signal<< 1 2 >>Post Follow-up
BarTune1
403 posts
msg #81037
Ignore BarTune1
10/13/2009 6:16:03 PM

Kevin,

Not sure if you can back test this one but the OVX closed below the lower 9,2 BB. When matched against the price of OIL this looks like a good short.

So, I bought a double short oil ETF that trades on the TSE today (HOD.to).

Here is the chart.

http://stockcharts.com/c-sc/sc?s=$OVX&p=D&yr=0&mn=6&dy=0&i=t03945978228&r=3384

Kevin_in_GA
4,536 posts
msg #81049
Ignore Kevin_in_GA
10/13/2009 10:53:11 PM

I have seen this volatility indicator, but never tried to play with it.

Some thoughts on the use of the BB(9,2) strategy here:

1. It was optimized for the VIX/^SPX pair, so the 9,2 settings are probably sub-optimal for this system.

2. The volatility on this indicator is huge - there are several instances where both bands are touched ON THE SAME DAY (8/18 and 9/1 as examples). Lots of action here.

3. Your call is probably a good one - not only do you have the close below the lower BB, but the price of oil is bumping up against a resistance line at 75 that will be tough to violate. Also, the $WTIC closed above the upper BB(9,2), so it is signaling a pullback.

Kevin

Kevin_in_GA
4,536 posts
msg #81074
Ignore Kevin_in_GA
10/14/2009 4:42:13 PM

Well, it's hard to stop a moving train. Not too bad, though - hod.to only lost about 2.5%. Easily made up with a 2x ETF.

Just out of curiousity - why not SCO or DTO?

BarTune1
403 posts
msg #81083
Ignore BarTune1
10/14/2009 7:36:53 PM

You are right Kevin, I am swimming against the tide.

Actually, according to Connors, there is a marked statistical and quantified difference/advantage versus buying weakness and selling strength when a security is trading above or below its 200 dma. That is, there is a marked advantage to buying weakness when a security is trading above its 200 dma versus selling strength. This works vice versa for securities trading below the 200 dma.

Consequently, since OIL is above its 200 dma, a bigger edge lies in buying weakness rather than selling strength. I dont know if you have considered this in your BB strategy but it is one of the reasons I was asking you about short candidates earlier. That is, I would rather short weak stocks that are overbought rather than strong ones.

Anyways, to answer your question, I am in Canada so I trade US and Canadian, although primarily US. I am pretty familiar with some of the Canadian ETFs and used HOD simply because I am familiar with it and was scrambling to make the trade at 3:58 yesterday. At least I got in at the low.

You are correct, I only need a minor correction to make a profit or break even. According to my metrics the market is quite overbought, but the momentum scares me. I would be better off simply buying weakness in this trend rather than shorting.



BarTune1
403 posts
msg #81123
Ignore BarTune1
10/15/2009 12:11:56 PM

I am shorting more .....

Kevin_in_GA
4,536 posts
msg #81135
Ignore Kevin_in_GA
10/15/2009 2:59:52 PM

As your system would suggest.

2 shares today, but hopefully not 3 tomorrow ... Good luck on this trade, buddy.

Spot price of oil is at $77.54 right now, up 3.14%. Yikes.

BarTune1
403 posts
msg #81136
Ignore BarTune1
10/15/2009 3:06:52 PM

I am getting my ass kicked right now ....

Kevin_in_GA
4,536 posts
msg #81138
Ignore Kevin_in_GA
10/15/2009 3:18:17 PM

Patience. Do not trade out of fear or emotion. Stick to your plan.

Kevin_in_GA
4,536 posts
msg #81308
Ignore Kevin_in_GA
10/17/2009 8:50:17 PM

BarTune1:

Hoping you got out without losing too much blood.

^OVX may not be a good indicator upon which to base trades. But this recent move in crude oil runs counter to a lot of recent patterns - not linked to dollar, nor to stocks over the past few sessions. Given that $WTIC had closed above its upper BB as well, this seems like a statistically sound play.

Kevin

BarTune1
403 posts
msg #81340
Ignore BarTune1
10/18/2009 1:00:54 PM

Kevin,

I am still - averaged in - so I only need a moderate reversal to break even - I will let you know ....

Would it be possible to start a Volatility Variance thread where you placed all the VIX related charts with instant update? Not sure how you posted the other charts (else I would do it myself) but there could be all the charts for an instant snapshot of the markets in general ...... this would certainly help me if no one else ....

VIX 9,2 BB chart
underlying the SPY price
and RSI (2)

QQV 9,2 BB chart
underlying the QQQQ price
and RSI(2)

RVX 9,2 BB
underlying the IWM price
and RSI(2)

VXD 9,2 BB
underlying the DIA
and RSI(2)

OVX 9,2 BB
underlying OIL
and RSI(2)

I know there is a Gold Volatility Index, but stockcharts wont seem to let you chart it.


James

StockFetcher Forums · General Discussion · OVX Variance Signal<< 1 2 >>Post Follow-up

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