StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 28 29 30 31 32 ... 49 >>Post Follow-up
Mactheriverrat
3,131 posts
msg #132447
Ignore Mactheriverrat
11/10/2016 2:39:57 PM

So would one say VXX is a buy- ?

mahkoh
1,065 posts
msg #132451
Ignore mahkoh
11/10/2016 4:20:48 PM

At this point the system signals to cover 1 of the 2 remaining shorts. Given that the signals have proven to be somewhat premature before I wouldn't jump in head first.

Kevin_in_GA
4,599 posts
msg #132457
Ignore Kevin_in_GA
11/10/2016 7:25:00 PM

Covering a short position is not a buy signal. The system generates buy signals and at the moment none are being signaled.

dtatu
143 posts
msg #132495
Ignore dtatu
modified
11/13/2016 9:41:20 PM

CUMUL. %PL P&L VIX FUT Spread VIX ES futures VIX ES Options
-0.01% -$8.93
0.68% $686.86
1.69% $1,008.44
2.01% $319.36  
2.28% $269.36
2.89% $619.36
3.49% $600.26
3.90% $400.80
4.37% $470.80
5.00% $633.44
5.56% $558.44
6.09% $529.38
7.16% $1,070.80
--------------------------------------------------------------------------------------------------------------------------------
TOT P&L $7,158.37 $1,933.47 $2,819.68 $2,085.86


-So, first 13 trades, real time, commissions included.( 1 loss: -8$, only)
-3 methods, 1 unit only, each, in the testing period
- the least reproducible one is the ES options spreads, which were composed according to the Gout du Jour ( Taste of the day?), given that ES futures options have different ways of being done when bullish vs bearish
- VIX Futures F1-F2 should be done ONLY as SPREADS, otherwise, you'll lose on the slippage if the legs are filled separately
- ES futures are the simplest but the most dangerous( see the lock down limit 5% for 15 minutes on the election evening, when you felt quite stressed about having an unknown drawdown when the markets re-open?
PS Sorry, my table was much larger and clearer, originally, but the post changed it. I left only the totals.


dtatu
143 posts
msg #132496
Ignore dtatu
11/13/2016 9:55:40 PM

Also, I still have the feeling that, when VIX goes in sustained backwardation, this system should not be used ( according to some of you, guys, this situation appears in only 20% of the time, so , why not be out , in cash?)

gmg733
788 posts
msg #132509
Ignore gmg733
11/14/2016 11:21:40 AM

Awesome work. Which broker are you using? Some don't allow spreads on vol products.

dtatu
143 posts
msg #132517
Ignore dtatu
11/14/2016 5:39:16 PM

Interactive Brokers ( very happy with it)

Kevin_in_GA
4,599 posts
msg #132520
Ignore Kevin_in_GA
11/15/2016 8:32:18 AM

Anyone following these filters should be out of all positions as of this morning.

gmg733
788 posts
msg #132552
Ignore gmg733
11/15/2016 3:13:39 PM

/VX futures are starting to roll today

gmg733
788 posts
msg #132571
Ignore gmg733
11/16/2016 1:18:10 PM

@datut

Does the $7,158.37 represent the VIX gain/loss? Then the next is your /VX spread?

I think I see 3 methods but 4 resulting numbers.

Thanks.

StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 28 29 30 31 32 ... 49 >>Post Follow-up

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