StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 17 18 19 20 21 ... 49 >>Post Follow-up
210 posts
msg #131744
Ignore tennisplayer2
10/4/2016 10:44:14 PM

Kevin, my computer scan did not come up with a sell tomorrow. Any idea why the discrepancy. Thanks.

764 posts
msg #131745
Ignore gmg733
10/4/2016 10:49:46 PM

Mine came up with it yesterday.

Are you using Yahoo data feeds? I think everything settles around 10p CST. So i run all my signals at 11p CST. But today I got a note to sell the 10/3 long buy at open today.

65 posts
msg #131746
Ignore ferndave
10/4/2016 10:51:34 PM

mahkoh: On the SF version? Can you give me the date of an entry or two? I don't get why "draw entry" is showing zero entries.

210 posts
msg #131747
Ignore tennisplayer2
10/4/2016 11:42:56 PM

gmg, yes, I am using yahoo feed and I just imported the prices and ran the scan again. No sell for tomorrow. Thanks.

989 posts
msg #131750
Ignore mahkoh
10/5/2016 6:35:34 AM

VIX long 6 entries: 3/17, 3/31, 7/14, 8/8 and 8/22
VIX long 10 3/7, 3/24, 6/1, 7/13 and 8/11

Not sure how I came up with 7 yesterday, must have looked up the wrong strategy.

Another thing: Yesterday I noted that the optimal day setting would be 17 days for long #10, but of the 47 trades in my testing period the longest was 6 days. I guess I'd better check each individual strategy.

And no exit here, but that's no surprise as I never got an entry for long# 9.

4,599 posts
msg #131751
Ignore Kevin_in_GA
10/5/2016 8:33:40 AM

As of 8:32 AM this morning, I still get a SELL-TO-CLOSE signal for 1 unit of ^VIX with a closing value of 13.63. Right now the ^VIX has dropped overnight to 13.19 so this trade will close at a loss.

65 posts
msg #131752
Ignore ferndave
10/5/2016 8:43:07 AM

Thanks mahkoh. SF still isn't showing entry signals on those dates for those two filters. I'm at a loss. No one else is getting the same lack of entry signals on long #6 or #10?

I changed the last line of the entry section of #6 to "set{entry, entry1 + entry2}." That provides results similar to the entry dates you posted above, with a few extra signals clustered around those dates.

764 posts
msg #131754
Ignore gmg733
10/5/2016 9:22:46 AM

It popped up again today as a sell. this wouldn't be the first time SS had a minor signal issue. It happens.

81 posts
msg #131755
Ignore dtatu
10/5/2016 9:32:00 AM

this AM, like yesterday evening I have a HOLD fot the 3 open LONG trades.
You think there might be a difference in some system or trade settings between us, guys?

486 posts
msg #131756
Ignore graftonian
10/5/2016 10:12:18 AM

Messing around with Kevins filters to get a visual on how the "surrogate" triggers compare with VIX.

/*long 2*/
set{arooncrossbelow, count(ind(^vix, aroon up(11)) crossed below ind(^vix, aroon down(11)), 1)}
set{ma3belowma60, count(ind(^vix, MA(3)) below ind(^vix, ma(60)), 1)}
set{entry, arooncrossbelow * ma3belowma60}

/*surrogate entry*/
set{entry1, count(aroon up(11) crossed below aroon down(11), 1)}
set{entry2, count(MA(3) < MA(60), 1)}
set{sur_entry, entry1 * entry2}
draw aroon up(11)
draw MA(3)
draw MA(60)

set{exit, count(ind(^vix, aroon up(11)) crossed above ind(^vix, aroon down(11)), 1)}
set{10dayexit, count(days(entry above 0.5, 10) above 9,1)}

/*surrogate exit*/
set{sur_exit, count(aroon up(11) crossed above aroon down(11), 1)}

add column entry {long entry}
add column separator
add column exit
draw entry
draw exit
draw ind(^vix, close)
chart-time is 6 months
draw sur_entry
draw sur_exit

StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 17 18 19 20 21 ... 49 >>Post Follow-up

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