StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 7 8 9 10 11 ... 49 >>Post Follow-up
shillllihs
5,963 posts
msg #131364
Ignore shillllihs
9/21/2016 3:16:19 PM

Kevin,

Can you give us an idea on how this performed in the Tvix spikes of Sept.14 & Aug15.
Did the dynamics change? Looks like it caught a down draft.

Kevin_in_GA
4,599 posts
msg #131373
Ignore Kevin_in_GA
modified
9/21/2016 5:47:51 PM

Here are the closed trades entered since late July (this is the exported trade list from the multi-system backtest in SS). This does not show a few of the recent wins - not sure why.

SymbolL/SEntryDateEntryPriceExitDateExitPriceGain/LossDaysHeld
^VIXShort9/12/201620.139/19/201615.1424.79%5
^VIXShort9/12/201620.139/13/201615.9820.62%1
^VIXLong9/9/201612.529/12/201620.1360.78%1
^VIXShort8/29/201614.099/8/201611.7416.68%7
^VIXShort8/25/201613.629/6/201612.428.81%7
^VIXLong8/18/201612.209/2/201613.4710.41%11
^VIXLong8/12/201611.618/25/201613.6217.31%9
^VIXLong8/23/201612.158/25/201613.6212.10%2
^VIXLong8/22/201612.538/23/201612.15-3.03%1
^VIXLong8/8/201611.668/22/201612.537.46%10
^VIXShort8/16/201612.048/19/201611.673.07%3
^VIXLong8/5/201612.088/17/201612.574.06%8
^VIXLong8/15/201611.818/17/201612.576.44%2
^VIXLong8/8/201611.668/17/201612.577.80%7
^VIXLong8/8/201611.668/16/201612.043.26%6
^VIXLong8/8/201611.668/16/201612.043.26%6
^VIXLong8/4/201612.738/11/201611.93-6.28%5
^VIXLong8/9/201611.408/11/201611.934.65%2
^VIXLong8/8/201611.668/11/201611.932.32%3
^VIXLong7/29/201612.858/3/201613.535.29%3



Anyway, the system stats include drawdowns (posted on page 1). I have been posting the results for a while now to create a permanent record of system performance going forward.


Kevin_in_GA
4,599 posts
msg #131378
Ignore Kevin_in_GA
modified
9/21/2016 10:07:09 PM

SIGNALS FOR THURSDAY 9/22/16

TWO BUY-TO-COVER SIGNALS TRIGGERED.

ONE SHORT POSITION (FOR THE TRADE OPENED ON 9/14/16) TO REMAIN OPEN.




OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX9/9/201612.52CLOSE TOMORROW AT OPEN13.30-6.23%
SHORT ^VIX9/12/201620.13CLOSE TOMORROW AT OPEN13.30+33.93%
SHORT ^VIX9/14/201617.63- - - -13.30+24.56%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX8/29/201614.079/8/201611.76 +16.42%
LONG ^VIX9/6/201612.549/12/201620.13+61.66%
LONG ^VIX9/9/201612.449/12/201620.13+60.37%
LONG ^VIX9/13/201615.989/14/201617.63+10.32%
SHORT ^VIX9/12/201620.139/19/201615.16+24.61%


gmg733
788 posts
msg #131379
Ignore gmg733
modified
9/21/2016 10:42:08 PM

That loser might be a scratch before tomorrow. I'm not telling you how to trade but vol is usually highest at the open. Usually after 15 min markets come in.

I went long some XIV today after fed released notes. I figure we have some vol crush yet.

shillllihs
5,963 posts
msg #131381
Ignore shillllihs
9/22/2016 12:14:40 AM

Now I see the problem with using ETFs to trade these. Xiv does not make much and Tvix loses
or makes very little. Maybe a strategy of only going long Xiv and staying out of market
when Vix is long.
I know 1 of you geniuses can tailor something with ETFs.

Kevin_in_GA
4,599 posts
msg #131388
Ignore Kevin_in_GA
9/22/2016 8:36:24 AM

That loser might be a scratch before tomorrow.

^VIX now at 12.34 in premarket, so you are probably right.

shillllihs
5,963 posts
msg #131433
Ignore shillllihs
9/22/2016 4:13:46 PM

Gmg or anyone else.

Since you seem to know options well. Don't the Uvxy calls for the upcoming weeks
in the 40-60 range seem rather cheap and can this be a sign that Vix will not spike
till December.





compound_gains
221 posts
msg #131434
Ignore compound_gains
9/22/2016 5:29:12 PM

http://seekingalpha.com/instablog/10211511-eli-mintz/3912076-like-a-feather-in-the-wind-vxx-and-contango

Kevin_in_GA
4,599 posts
msg #131435
Ignore Kevin_in_GA
9/22/2016 9:15:09 PM

SIGNALS FOR FRIDAY 9/22/16

FINAL BUY-TO-COVER SIGNAL TRIGGERED.

ALL POSITIONS CLOSED AT OPEN TOMORROW.






OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX9/14/201617.63CLOSE TOMORROW12.02+31.02%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX8/29/201614.079/8/201611.76 +16.42%
LONG ^VIX9/6/201612.549/12/201620.13+61.66%
LONG ^VIX9/9/201612.449/12/201620.13+60.37%
LONG ^VIX9/13/201615.989/14/201617.63+10.32%
SHORT ^VIX9/12/201620.139/19/201615.16+24.61%
SHORT ^VIX9/9/201612.529/22/201613.41-7.28%
SHORT ^VIX9/12/201620.139/22/201613.41+33.32%


c1916
77 posts
msg #131436
Ignore c1916
9/22/2016 10:18:41 PM

So we're in for a dull day tomorrow, then.

Maybe I'll sleep in.

StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 7 8 9 10 11 ... 49 >>Post Follow-up

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