nibor100
1,046 posts
msg #132572
- Ignore nibor100 |
11/16/2016 1:49:42 PM
Some observations from my SS trial and SF filter coding learning experience over the past 2 weeks:
a. Based on just the last 2 months of Long trades results from SS the avg days held for winners has been 4.5 days which is very close to Kevin's SS backtest avg for winning trades of 4 days held. I was curious about the days held because the losing trades avg days held for his backtest was a much higher 7 days
The 8 long trades since the system has gone live, have had 7 winners and 1 small loser for a win rate of 88%..
b. The original backtest was reported to have a 10 days in trade limit, but the SS results show that trades of 11 days in duration occur. Probably because the exit code has "($daysheld > 10)" instead of '>9'.
c. There have been a few reported signal anomalies throughout this thread regarding SS, and my tests seem to confirm that there was no long entry for Long#1 on .9/6 nor for Long#9 on 9/13 (though both of these false signals with the trade exit dates reported ended up profitable). There was also an unreported Long#1 entry for 10/20 that exited on 10/28 for an 8.59% gain.
d. In my early filter testing I was stumped by the ^VIX chart not showiing up in my results which SF Support verified by stating "StockFetcher does not include indices in results due to the lack of volume availability.".
I've since discovered a workaround, if I click on any stock chart returned as a filter result and I enter ^VIX in the chart name box on upper left and click chart the ^VIX chart will be displayed.(this holds true for SF 2.0 also)
e. Yesterday, I asked SF Support what Limit value they use for the ASI, since Long#1 SS code uses an ASI(100), and my testing seemed to indicate SF uses a Limit value of 30, but some of the results were inconsistent; and I also asked them how far back in the past does SF go in order to start the cumulative count as starting date can drastically effect cums.
Their response "The actual starting point for cumulative measures is typically at least 100 days (usually more). The starting point will also differ for charts vs. filter results."
That last part was very surprising to me and seems a bit odd, has anyone run across that before where chart values differ from filter values? .
Thanks,
Ed S.
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dtatu
143 posts
msg #132578
- Ignore dtatu
modified |
11/16/2016 4:19:29 PM
gmg
From left:
1.TOTAL
2.VIX Futures f1-F2
3.ES Future Inverse trade ( VIX long--> ES short)
4.ES Options on Fut inverse trade
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dtatu
143 posts
msg #132579
- Ignore dtatu
modified |
11/16/2016 4:24:10 PM
VIX FUT Spread
-$8.93
$400.80
$470.80
$1,070.80
TOT $1,933.47
PS the first 3 trades were done with the legs filled separately : this way you can expect a loss of 0.05 per leg in slippage, which amounts to 200$ loss per round turn / 1 unit. I changed after , when I found that IB was offering, on the TWS platform, the futures spreads
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dtatu
143 posts
msg #132580
- Ignore dtatu |
11/16/2016 4:24:54 PM
VIX ES futures
$1,008.44
$619.36
$633.44
$558.44
TOT: $2,819.68
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dtatu
143 posts
msg #132581
- Ignore dtatu |
11/16/2016 4:25:36 PM
VIX ES Options
$686.86
$319.36
$269.36
$600.26
$529.38
TOT: $2,405.22
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Kevin_in_GA
4,599 posts
msg #132585
- Ignore Kevin_in_GA |
11/16/2016 8:25:00 PM
1 NEW LONG VIX SIGNAL TRIGGERED TONIGHT.
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gmg733
788 posts
msg #132586
- Ignore gmg733
modified |
11/16/2016 9:27:50 PM
@dtatu
Thanks. I saw somewhere the correlation between Vix and Spx. I'll see if I can't find it.
I sold an ITM Vix put spread yesterday to hedge off some short vega exposure. Portfolio adjustment.
******
edit: SPX and VIX are inversely correlated 82 to 91% of the time (yes that doesn't make sense but I think you get what I'm saying)
VIX and /VX coorelation move correlation can very. Interesting reads here:
http://www.spvixviews.com/2011/11/02/vix-education/
http://www.spvixviews.com/2012/01/18/why-are-there-different-prices-for-vix%C2%AE-spot-and-vix-futures/
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scribbles
6 posts
msg #132598
- Ignore scribbles
modified |
11/17/2016 3:08:55 PM
edit: SPX and VIX are inversely correlated 82 to 91% of the time (yes that doesn't make sense but I think you get what I'm saying)
---------------------------------------------------
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
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matt
15 posts
msg #132599
- Ignore matt |
11/17/2016 3:45:21 PM
Kevin, first thank you very much for sharing this system! I set up an account with SS and created the signals. For yesterday it triggered a long on long signal #9. Is this correct?
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scribbles
6 posts
msg #132601
- Ignore scribbles |
11/17/2016 4:56:43 PM
11/16/2016 8:25:00 PM
1 NEW LONG VIX SIGNAL TRIGGERED TONIGHT.
------------------
= YES - Long Signal 9
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