mahkoh
1,065 posts
msg #132602
- Ignore mahkoh |
11/17/2016 5:44:45 PM
No signals for me yet.
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miketranz
956 posts
msg #132603
- Ignore miketranz |
11/17/2016 5:47:20 PM
"1 NEW LONG VIX SIGNAL TRIGGERED TONIGHT." Can someone explain to me when to take an entry.Is it on next days open? Also,can TVIX be a suitable trading vehicle for this system,or what else would be applicable? Is this trade a 10 day hold? Also,is it a long side trade or strictly a volatility play? I'm trying to understand it in basic terms.Thanks for sharing Kevin.Miketranz...
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scribbles
6 posts
msg #132605
- Ignore scribbles |
11/17/2016 8:56:14 PM
Most (if not all) of these questions are already answered in the thread.
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pthomas215
1,251 posts
msg #132607
- Ignore pthomas215 |
11/17/2016 9:55:48 PM
Miketranz, the context of the system is pair trading I believe, where you have at times both long and short positions on the vix at the same time. if a signal occurs, you are to take the position at the next days open. VXX seems to have the highest correlation with the vix, although TVIX is a good and cheaper choice. it is suitable. I dont believe there is a time limit to the hold (to your 10 day hold question). You open and close signals as you see them come up in strata search. It is not purely a long side trade as sometimes you will see short vix signals come up. but if your question was whether this is a volatility play--the system seems to allow you to have weighted pair trading positions in accordance with the current volatility in the market. hope that helps. Keep in mind also that contango and backwardation issues can throw off timing. I need a masters in volatility to understand contango and backwardation to you--cant explain it well but I know it throws off timing of positions.
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dtatu
143 posts
msg #132609
- Ignore dtatu |
11/18/2016 10:08:55 AM
gmg
Thanks for the links: I'll take a look during the weekend.
I bet that the inverse correlation is lost during the periods of backwardation, with bear markets and big price swings ?
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gmg733
788 posts
msg #132626
- Ignore gmg733
modified |
11/18/2016 5:46:34 PM
When volatility increases so does risk , position reduction as a result of risk management (hedge funds / investment banks) would account for the slide.
and vice versa
__________
That all depends on how you trade. I trade volatility (most of the time). When volatility increases you increase your trade size based upon the thesis the volatility will be mean reverting. When vol is low you trade small and look for vol opportunities.
I do trade directional but find that easier to do with futures. Future tend to trade technically very well.
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gmg733
788 posts
msg #132627
- Ignore gmg733 |
11/18/2016 5:48:40 PM
Today was one of those spx/vix non-inverse corrrelation days. SPX was down as was VIX. Might have something to do with expiration.
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jackmack
334 posts
msg #132663
- Ignore jackmack |
11/21/2016 2:41:22 PM
Love the filter Kevin_in_GA
Quick question for you that I hope I didn't miss asked earlier in the thread but is it correct to take 5 positions if any of the filters return either long or short as initially stated in first page?
"This is actually pretty important - my initial thought was that I would divide my investment funds into 20 "slices" and only trade a slice when the corresponding filter triggered, but looking at the position counts it is very clear that if I did that I would be trading only a fraction of my available capital - it looks like the system rarely had more than 5 positions open at any time, so you make the best returns just trading five units whenever ANY filter triggers."
It makes sense since if you were to use only 1/20th of your buying power per signal it would take some time to gain ground but at the same time you are reducing your risk - but just wondering if this was still the designed practice for these.
Thank you for your time an generosity in presenting this newest filter.
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miketranz
956 posts
msg #132665
- Ignore miketranz |
11/21/2016 5:47:36 PM
Pthomas,thank you for the info.Here's another question.The long/vix trade signal that was just triggered,even though the market goes against you right from the open,according to the system,should you still be in the trade at close? Or should you even have entered in the first place? I probably would have taken the trade if I saw anything resembling green.I'm using TVIX as a vehicle.Thanks,Miketranz..
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pthomas215
1,251 posts
msg #132666
- Ignore pthomas215 |
11/21/2016 5:53:45 PM
I think in general trading and pair trading..any trading...you are going to have to become accustomed to eating consolidation for awhile. Im still learning how to be patient. but it is confidence in the trade. it all boils down to how confident you are in the trade.Put in stops...stop out at a maximum of 2% of your portfolio. that is the general rule.
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