StockFetcher Forums · General Discussion · VIX and SPX Charts<< 1 ... 10 11 12 13 14 >>Post Follow-up
Kevin_in_GA
4,539 posts
msg #86833
Ignore Kevin_in_GA
1/22/2010 5:43:01 PM

I would suggest joining the StockFetcher page on Facebook.

einok
msg #86836
Ignore einok
1/22/2010 6:03:27 PM

I just did. Hopefully they will give me access soon.
Thanks

Kevin_in_GA
4,539 posts
msg #86844
Ignore Kevin_in_GA
1/22/2010 6:42:04 PM

I believe it has already been granted.

einok
msg #86855
Ignore einok
1/22/2010 8:34:11 PM

Thanks Kevin

I just posted a comment.

Erik

Kevin_in_GA
4,539 posts
msg #86966
Ignore Kevin_in_GA
1/25/2010 8:03:05 AM

I backtested this system using VIX-BB(9,2) data since 1/2/2008. BUY when the VIX closes above the upper BB, and either SELL when it closes below the 9 day MA (reversion approach) or wait until a new SELL signal is generated by the VIX closing below the lower BB. Data was collected from www.freestockcharts.com.

I used SSO and SDS as the trading stocks for this. 2x leveraged and highly liquid.

I cheated slightly here by excluding Oct 2008, when the VIX was at or above 70. I think this was a highly anomalous period that is unlikely to reoccur. If there is a real desire to see the entire data set, I'll redo the analysis.

Reversion approach - 26 trades entered. 19 were profitable (average return +4.41%), 7 were unprofitable (average return -2.33%).
Expectancy = (19/26 * 4.41%) + (7/26 * -2.33%) = 2.60% per trade.

Signal-to-Signal approach - 11 trades entered. 9 were profitable (average return of +11.89%), 2 were unprofitable (average return of -2.43%).
Expectancy = (9/11 * 11.89%) + (2/11 * -2.33%) = 9.29%

Not too shabby. The only downside to the signal-to-signal approach is that it requires you to be invested 100% of the time in either SDS or SSO - many folks may not be comfortable doing this. The reversion approach, while yielding lower profits per trade, probably has a higher annualized ROI because you are only trading for a fraction of the year.

Kevin_in_GA
4,539 posts
msg #87002
Ignore Kevin_in_GA
1/25/2010 5:30:47 PM

Well, while not a barn-burner, the VIX BB strategy did as predicted, with the markets gaining fractionally. I had expected more from the dramatic run up the VIX made late last week.

Let's see how this week plays out. The VIX dropped as much as 10% intraday, but closed down -6.96% for the day.

StockFetcher Forums · General Discussion · VIX and SPX Charts<< 1 ... 10 11 12 13 14 >>Post Follow-up

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