StockFetcher Forums · Filter Exchange · UVXY TRADING SYSTEM<< 1 2 3 4 >>Post Follow-up
miketranz
879 posts
msg #156744
Ignore miketranz
5/7/2021 10:58:03 AM

Kevin devised an amazing UVXY/VIX trading system using the following filte.He also posted signals.Can someone put this in basic English,when the buy signals occur? Thanks
Fetcher[ issymlist(uvxy)
/*ENTRY CONDITIONS*/
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}

/*EXIT CONDITIONS*/
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)}

add column entry {long entry}
add column separator
add column exit
]



davesaint86
641 posts
msg #156745
Ignore davesaint86
5/7/2021 12:08:47 PM

I like the concept. I added a 300 day offset (around COVID crash) and in my opinion UVXY should have buy signal. However, it never triggered from Feb 20, 2020 to March 27, 2020.

Davesaint

compound_gains
206 posts
msg #156746
Ignore compound_gains
5/7/2021 12:23:38 PM

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}

Enter UVXY long when...
VIX aroon up(11) crossed below VIX aroon down(11)
and
VIX ma(3) below VIX ma(60)

If you don't know, UVXY is a 1.5x ETP multiplier of the change in VIX. So Kevin's code tracked VIX, but traded the higher leveraged UVXY.

Kevin was an A1 contributor.

risjr
182 posts
msg #156747
Ignore risjr
5/7/2021 1:06:35 PM

thanks..very helpful!!!


risjr
182 posts
msg #156748
Ignore risjr
5/7/2021 1:17:48 PM

if not in UVXY,,,then in UPRO......if mixed signals..go to cash!!!!


risjr
182 posts
msg #156749
Ignore risjr
5/7/2021 2:38:06 PM

with renko...only 2head fakes in 4 years!!


Cheese
1,195 posts
msg #156750
Ignore Cheese
5/7/2021 7:44:55 PM


http://www.stockfetcher.com/forums/General-Discussion/New-List-of-Indices-Supported/155938

olathegolf 2/24/2021 1:16:01 PM

I noticed a few of my filters using volatility indices no longer worked as written.
I reached out to SF and it appears that volatility indices are no longer supported as of 2021.

Here's a current list.
https://www.stockfetcher.com/help/What-indices-are-available/100229


davesaint86
641 posts
msg #156751
Ignore davesaint86
modified
5/7/2021 10:04:06 PM

I don't remember who put this code together.

Fetcher[apply to symlist(uvxy,tqqq,upro,tmf,svxy)

draw vxvvxx on plot vxxavg
draw eriskon
draw eriskoff


set{vxxc, ind(vxx,close)}
set{vixc, ind(^vix,close)}
set{vxvc, ind(vxv,close)}
set{spyc, ind(spy,close)}
set{spxl, ind(spxl,close)}
set{vix3, ind(^VIX3M,close)}

set{vxvvix, vxvc / vixc}
set{vixavg, cema(vxvvix,13)}
set{vxvvxx, vxvc / vxxc}
set{vxxavg, cema(vxvvxx,13)}

set{eriskon, count(vxvvxx > or = to vxxavg,1)}
set{eriskoff, count(vxvvxx < or = to vxxavg,1)}

set{erisk_on, count(vxvvxx crossed above vxxavg,1)}
set{erisk_off, count(vxvvxx crossed below vxxavg,1)}
set{ervar, vxvvxx - vxxavg}

set{tbxc, ind(tbx,close)}
set{tnxc, ind(^tnx,close)}
set{iefc, ind(ief,close)}
set{ieftnx, iefc / tnx}
set{tnxavg, cema(ieftnx,13)}

set{ieftbx, iefc / tbxc}
set{tbxavg, cema(ieftbx,13)}

set{briskon, count(ieftbx > or = to tbxavg,1)}
set{briskoff, count(ieftbx < or = to tbxavg,1)}
set{brisk_on, count (ieftbx crossed above tbxavg,1)}
set{brisk_off, count(ieftbx crossed below tbxavg,1)}
set{brvar, ieftbx - tbxavg}
draw ieftbx on plot tbxavg

draw briskon
draw briskoff

draw ema(5)
draw ema(8)
draw ema(13)
draw ema(21)
draw ema(34)
draw ema(55)

add column separator
add column eriskon {Equities-riskon}
add column separator
add column ervar
add column separator
add column briskon {bonds-riskon}
add column separator
add column brvar
add column separator


]



miketranz
879 posts
msg #156763
Ignore miketranz
modified
5/8/2021 4:24:11 PM

Thanks for the info.Just wondering what the consensus is on this one? Going to zero or what? In the meantime,if it pops,sky's the limit...

Cheese
1,195 posts
msg #156767
Ignore Cheese
5/9/2021 12:38:02 PM

miketranz
modified 5/8/2021 4:24:11 PM

Thanks for the info.Just wondering what the consensus is on this one? Going to zero or what? In the meantime,if it pops,sky's the limit...
============================================================================

mike,

There are user comments on UVXY at the following link:
https://www.stockfetcher.com/forums/Filter-Exchange/uvxy-is-by-far-the-best-swing-and-scalping-trading-vehicle/112078

Consensus is usually hard to reach in a forum where people can easily opine in near complete
anonymity. There was no consensus for that whole thread. But there was consensus among
the better known long time members.

You are an experienced, accomplished member yourself, so you may want to consider the helpful
comments of your peers, and ignore the fake alt-user ids and time wasters.

Best.


StockFetcher Forums · Filter Exchange · UVXY TRADING SYSTEM<< 1 2 3 4 >>Post Follow-up

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