StockFetcher Forums · General Discussion · Volatility Analysis - VIX spikes and SPX follow through 1-3 days later<< 1 ... 5 6 7 8 9 >>Post Follow-up
trendscanner
265 posts
msg #82802
Ignore trendscanner
11/10/2009 9:10:30 PM

I think a good trade on the inverse ETFs is coming up shortly and I plan to be in it with you. You guys might be spot on with your timing but it's also possible that you might have entered a little early. If you look at the filter that I believe Chetron developed that tracks VIX vs SPY, it shows that it's possible for the VIX to stay beneath the lower BB band for 1 to 2 weeks before the market top finally rolls over.

Fetcher[
symlist(spy)

set{vix10dayma, cma(ind(^VIX,close),10)}
draw vix10dayma
draw ind(^vix,close) on plot vix10dayma

set{5pct,vix10dayma * .05}

set{plus5%,vix10dayma plus 5pct}
draw plus5% on plot vix10dayma

set{minus5%,vix10dayma minus 5pct}
draw minus5% on plot vix10dayma
draw weekly RSI(2) on plot rsi(2)

add column plus5%
add column ind(^vix,close)
add column vix10dayma
add column minus5%
add column RSI(2)
]



Waiting for weekly rsi(2) to begin dropping seems to be a good confirmation signal that the top is finally in and ready to decline. So far I haven't seen that so will probably stay neutral until that happens.

Bartune, I've looked for the Larry Conners books you mentioned at all 3 major bookstore chains in this small town I live in and none of them carry them. Will have to order from Amazon.





BarTune1
403 posts
msg #82803
Ignore BarTune1
11/10/2009 9:14:49 PM

M reports tomorrow too .... I got out of my paired trade with JCP at a very fractional loss .... still think its well overbought though .... i would be tempted to get back into that pair if it gapped up tomorrow ....

TradingMarkets top shorts for tomorrow are AET AKAM GENZ GT RIMM VRTX WYNN AMZN BKS CVH STAR.

Short positions should be entered on an intraday advance of 3% or more.

BarTune1
403 posts
msg #82805
Ignore BarTune1
modified
11/10/2009 9:27:53 PM

Trendscanner,

I ordered them from TradingMarkets direct. I kind of wonder whether you might think the trading rules are too simple. However, the best rules I know are the simplest .... and if you simply pound them into your head (I have a thick skull) I think you can be successful. I was extremely successful following the rules to a tee in the spring.

My biggest problem is that I keep shorting since the SPY crossed its 200 dma in July and that is a no-no according to one of Connors basic rules. That is, statistically he argues that you are better buying the pullbacks than shorting oversold markets in such conditions. You want to short overbought conditions when the SPY is below its 200 dma.

Here we are again trying to short a fundamentally strong market (at least I am). The odds are still with us based on the VIX rule, but not as strong as if we were buying a pullback given where the market is at.

I must admit that I don't know how to back test here. Kevin is the expert at that. I wish he would test this theory I mentioned above and see if his results are consistent with what Connors says.

trendscanner
265 posts
msg #82808
Ignore trendscanner
11/10/2009 10:48:46 PM

Thanks Bartune. I found the TradingMarkets site; looks like probably the best place to order the Conners books. Since I haven't read his books, I can't claim to really understand his trading strategy. Right now, I'm just looking at VIX-SPY charts, trying to read the tea leaves.

The one thing I don't seem to get is that I haven't seen many indicators that the market has truly put in a top yet. I could be wrong of course, happens all the time. But it seems like we were just at an intermediate term bottom a few days ago. Doesn't seem like we should be at a top already. I guess we'll find out over the next few days



tmanbone
124 posts
msg #82811
Ignore tmanbone
11/11/2009 12:36:37 AM

http://www.amazon.com/High-Probability-ETF-Trading-Professional/dp/0615297412/ref=wl_it_dp_o?ie=UTF8&coliid=I2KJWXK99T9R7N&colid=1I3CINSGBHTY7

http://www.amazon.com/Short-Term-Trading-Strategies-That/dp/0981923909/ref=wl_it_dp_o?ie=UTF8&coliid=I29WNS64PFXE0S&colid=1I3CINSGBHTY7

I always buy the used ones. Hope this helps.

BarTune1
403 posts
msg #82881
Ignore BarTune1
11/11/2009 8:17:53 PM

Ok Kevin, so what moves did you make today?

Kevin_in_GA
4,536 posts
msg #82885
Ignore Kevin_in_GA
11/11/2009 8:58:55 PM

I posted this yesterday when both the VIX and SPX closed down on the day:

TIMES WHEN BOTH THE ^SPX AND THE ^VIX ARE DOWN:

273 TIMES SINCE 1/1/1999
AVERAGE FOR NEXT DAY ON SPX = 0.06%

25 TIMES SINCE 1/1/2009
AVERAGE FOR NEXT DAY ON SPX = 0.36%

TIMES WHEN BOTH THE ^SPX AND THE ^VIX ARE UP:

243 TIMES SINCE 1/1/1999
AVERAGE FOR NEXT DAY ON SPX = -0.28%

17 TIMES SINCE 1/1/2009
AVERAGE FOR NEXT DAY ON SPX = -0.43%

Well, today the S&P was up 0.50%, right in line with the predictions.

Today also had both the VIX and SPX close UP for the day. Therefore the other set of data should come into play. Also I did not post that TWO DAYS after the VIX and SPX both close down, the SPX on average trades -0.10% below where it was two days prior (down 13 of 25 days).



Kevin_in_GA
4,536 posts
msg #82886
Ignore Kevin_in_GA
11/11/2009 9:02:34 PM

Ok Kevin, so what moves did you make today?
++++++++++++++++

I basically watched and waited to see if any of the stocks would close 2% below my prior entry - if so I would buy another unit. TZA did this, but I did not get my limit order filled right at the close (shooting for 12.00, only got to 12.05). In the end, no adds to my current positions.

GNW more than made up for my small positional losses in BGZ, TYP, TZA, and SPXU.

What did your day look like?

BarTune1
403 posts
msg #82891
Ignore BarTune1
11/11/2009 9:24:34 PM

My day was not all that great with the M debacle, I covered the last two days .... with all the hype about earnings going to be great etc etc. Dropped like a rock today.

My SDS position was obviously negative .... but it could have been worse.

I did add some positions .... shorted around 10:30 so I got in around the top and added to my SKF near the low.

Got out of DRI at 32.50, cross of the 5 DMA - had shorted at 33 so it was a small profit.

I'm sitting on loss or break even positions right now but they are all unrealized. One decent down day and I will recover all and then some.









Kevin_in_GA
4,536 posts
msg #82933
Ignore Kevin_in_GA
11/12/2009 1:29:54 PM

So far, VIX statistics have been spot on - the day after the double UP on both the VIX and SPX, the SPX is down. Currently down about 0.7%.

My 3x bears are now back at breakeven.

StockFetcher Forums · General Discussion · Volatility Analysis - VIX spikes and SPX follow through 1-3 days later<< 1 ... 5 6 7 8 9 >>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