StockFetcher Forums · General Discussion · VIX variance vs. 10 day moving average<< 1 2 3 4 5 >>Post Follow-up
BarTune1
406 posts
msg #79874
Ignore BarTune1
9/22/2009 10:32:30 PM

Kevin,

The VIX Bollenger Band optimal strategy you suggested appears to be sitting dead on the bottom band - seemingly indicating a top - or a sell signal on the SPY - particularly if it advances any further.

James



trendscanner
265 posts
msg #79945
Ignore trendscanner
9/23/2009 9:11:45 PM

James, you still holding VXX? I just about got stopped out today with the dip near the EOD but held on and was glad to see the rally into the close.

If you check the daily chart, VXX is looking like a pretty solid bottom today - highest daily volume on the chart, hollow hammer with long tail hanging beneath it. Will hopefully see a pop up from here for a few days.

Kevin_in_GA
4,553 posts
msg #79950
Ignore Kevin_in_GA
9/23/2009 10:16:50 PM

Kevin,

The VIX Bollenger Band optimal strategy you suggested appears to be sitting dead on the bottom band - seemingly indicating a top - or a sell signal on the SPY - particularly if it advances any further.

James
+++++++++++++++++++++++

Well, there certainly was no hockey stick save at 3:45 PM like I would have expected - it has happened so frequently over the last few months that I tend to think of it as a given. I was actually disturbed that it did not appear today, in fact quite the opposite happened.

Its like late last year. 2-3% swings in a day. VIX will go up, market will go down.

BarTune1
406 posts
msg #79964
Ignore BarTune1
9/24/2009 8:16:07 AM

trendscanner,

I posted my trades under kevins bollenger band thread .... I shorted heavily yesterday after the fed news pop .... got out of most of my positions near the end of the day .... picked up more VXX at 2:30 yesterday at 48.50 ... I am still holding some short positions plus some long VXX shares .... I don't like to hold positions too long so I may be looking at getting out today ... it would be nice however, to catch a few down days in a row given the way i am currently positioned ...

For some reason, I sleep much better when i am out of the market ..... LOL ..... once I am out this time I will wait for the next signifcant divergence in the VIX and then start accumulating long or short positions as the case may be ....

As for the market going down for a few days .... I am not convinced because of the month-end bias which usually sees the indexes rise the last few days going into month end ....

BarTune1
406 posts
msg #79984
Ignore BarTune1
9/24/2009 11:14:05 AM

Kevin,

We have amazingly crossed the upper (9,2) Bollenger Band .... I have turned around and gone long already .... SSO 33.90 also like KSU, a TradingMarkets "10" today

Kevin_in_GA
4,553 posts
msg #79986
Ignore Kevin_in_GA
9/24/2009 11:30:21 AM

Great to hear. Let's see how it plays out - I did that analysis on end-of-day data, but that doesn't mean that intraday wouldn't work as well.

johnpburke
3 posts
msg #100339
Ignore johnpburke
4/20/2011 11:25:09 PM

Hello all -

New to stockfetcher and have finished reading through the forums, help guides, etc. Lots of great information here! I have been particularly interested in the Larry Connors conversations, especially this thread and others regarding VIX.

I have a technical question that I am hoping someone could answer. I have been able to build several filters and backtest with no problem. I am having difficulty in one area. I would like to apply the VIX Larry Connors recommendation of buying long when the VIX is 5% higher than it's 10 day MA, but I have not been able to successfully attach that requirement to the end of my filters. I can't for the life of me figure out what I am doing wrong. Can anyone point me in the right direction as to how I would go about adding that criteria to the end of an already built filter? I am a quick learner, but unfortunately after going through this forum in detail I realize that my technical abilities are not as advanced as many here....thanks for your time.

John

four
4,010 posts
msg #100340
Ignore four
modified
4/20/2011 11:59:44 PM

Fetcher[
draw ma(10)
set{5higher, ma(10) * 1.05}
draw 5higher on plot close

set{5lower, ma(10) * .95}
draw 5lower on plot close

add column separator
add column 5lower
add column ma(10)
add column 5higher
symlist(vxx,vxz)
]



johnpburke
3 posts
msg #100348
Ignore johnpburke
4/21/2011 12:18:00 PM

Thanks you very much for the speedy response - I appreciate it!

wkloss
230 posts
msg #100729
Ignore wkloss
5/14/2011 11:54:13 AM

Poor Backtesting Results

After reading Kevin's research, I started backtesting various ETF's using BB (9,2.0) and close below MA(9) as the exit. My 1st test period was 5-1-2009 thru 4-30-2011. Most test results were excellent. To further validate the concept, I chose QQQ as my proxy (since a lot of ETF's don't have a long history). I backtested 3additional two year periods so I have data going back 8 years. The most recent 2 year period was excellent. The other 6 years were poor. These 4 tests were longs; I haven't tested shorts yet. The number of trades was fairly consistent but the win % and ROI were not.

In fairness to Kevin's research, it should be noted that his backtesting was designed to trade the VIX and I was using the Q's.

Does anyone have any idea why the system didn't hold up? Could it be that the system was designed for the VIX and if so, does anyone know how I could backtest the VIX or something else that would be a proxy for the VIX?

Bill

StockFetcher Forums · General Discussion · VIX variance vs. 10 day moving average<< 1 2 3 4 5 >>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