pthomas215
1,251 posts
msg #134050
- Ignore pthomas215 |
2/4/2017 4:21:41 PM
i thought this is a pretty cool website for contango.
https://vixcontango.com
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four
5,087 posts
msg #134071
- Ignore four |
2/6/2017 12:21:35 AM
http://www.arrowfunds.com/files/DDF/Highlights%20-%20Contango%20and%20Cash.pdf
Contango
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mahkoh
1,065 posts
msg #134423
- Ignore mahkoh |
2/20/2017 4:22:04 PM
For those interested; composite long and short filters
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davesaint86
726 posts
msg #134443
- Ignore davesaint86 |
2/21/2017 7:58:20 PM
What does it mean when there is a
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davesaint86
726 posts
msg #134444
- Ignore davesaint86 |
2/21/2017 7:59:06 PM
What does it mean when one of the filters has both a 1 in the entry and exit?
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c1916
77 posts
msg #134448
- Ignore c1916 |
2/21/2017 10:49:16 PM
FWIW, the much simpler IFT Trigger for volatility has signals an entry to TVIX or UVXY for tomorrow. It has been ages since there's been a buy sign on the simple trigger for volatility.
Not my filter.
symlist(tvix,uvxy,xiv)
average Volume(30) ABOVE 2000000
PRICE is below EMA(13)
SMI(5,3,1) has been increasing for 2 days
% Day Change more than 2%
RSI(10) has been increasing for the past 2 days
draw MACD Fast Line(12,26,9) and MACD Slow Line(12,26,9)
draw RSI(10)
draw cci(61) line at 0
draw cci(61) line at 150
draw cci(10) line at 0
DRAW WEEKLY IFT(2,1)
DRAW WEEKLY IFT(2,1) LINE AT .90
DRAW WEEKLY IFT(2,1) LINE AT -.90
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mahkoh
1,065 posts
msg #134473
- Ignore mahkoh |
2/22/2017 2:11:12 PM
I don't think there should be simultaneous entries and exits on the same filter, but I just took what Kevin made and wrapped it all together. There are some filters where the column returns 2, like short exit No 4 today. This can be repaired by changing the last line into:
set{exit4a, exit1b1 + exit2b1}
set{exit4,count(exit4a above 0.5,1)}
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tennisplayer2
210 posts
msg #134485
- Ignore tennisplayer2 |
2/22/2017 10:10:54 PM
First time, I got no signals at all. Totally out. Is that what y'all are getting? Thanks in advance.
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pthomas215
1,251 posts
msg #134517
- Ignore pthomas215 |
2/23/2017 6:23:38 PM
so is it just me, or does it seem like the VIX is really heating up?? (just looking at charts, not necessarily filters).
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Kevin_in_GA
4,599 posts
msg #134520
- Ignore Kevin_in_GA |
2/23/2017 7:39:06 PM
Yet it remains at a fairly high contango level (12.7% as of today's close). The VIX is the spot price, which we cannot actually trade - that is the real challenge to this system, one which I did not take into account in its development.
The absolute level of the ^VIX is secondary to its contango level if you are trying to trade volatility using VXX, XIV, TVIX, etc. One might pay more attention to the RATIO of ^VXV/^VIX or ^VIX/^VXST as a way to gauge directional trades, but I will stick with contango levels for my indicators.
I took a very substantial position in XIV today, given the high contango levels and roll yield (at 15% with 26 days until expiration).
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