shillllihs
6,046 posts
msg #138017
- Ignore shillllihs |
9/7/2017 12:40:30 PM
As we wind down the road and a decade or so has gone by, it seems that a consensus on how to trade has not been reached. The ultimate optimal strategy has not been achieved.
I contend that Xiv/Vxx/Tvix/Uvxy, are the ultimate trading vehicles as they seem to be the most consistent
ETFs, and that ETFs are safer vehicles than stocks. I have developed a system that seems to be amazing in bull markets that also predicts pullbacks very well, but I'm not sure how it would perform in a bear market. To sum it all up, with some of the brilliant minds out here, an ez comprehensive strategy using Xiv In/out/or add on dips would be worth striving for and welcomed.
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Kevin_in_GA
4,599 posts
msg #138024
- Ignore Kevin_in_GA
modified |
9/7/2017 3:10:33 PM
Since the inception of the volatility ETFs (on or around the end of 2010 for XIV and VXX, and early 2013 for the others) there has not been many down periods for the market that would allow for effective backtesting of this option. That becomes a critical weakness in any long volatility strategy ... the lack of enough data to see if something really works.
I think that you might want to be looking at an orthogonal approach - do not trade volatility during rough patches but rather focus on safe haven plays like gold or simply stay in cash. Just some thoughts.
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shillllihs
6,046 posts
msg #138025
- Ignore shillllihs
modified |
9/7/2017 3:25:07 PM
I'm thinking maybe SPy/Sh Sso/SDS might be a good enough surrogate for those dark periods.
Or maybe a better filter that can predict the onset of a major reversal.
I mean I can easily make over 100% a year in a bull market but that could all end.
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Kevin_in_GA
4,599 posts
msg #138029
- Ignore Kevin_in_GA |
9/7/2017 4:11:48 PM
I think what makes sense is to look at a system that trades SSO/SDS/TNA/TZA against a common set of filters. This is what I have done using SS and while the system does not return 100% per year it has a very solid equity curve with minimal drawdown (that is something we all can appreciate). Used in conjunction with a good XIV strategy and you have the core of a solid trading platform.
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BlackBars
54 posts
msg #138032
- Ignore BlackBars |
9/7/2017 6:29:54 PM
Kevin you seem extremely knowledgeable about trading, mind if I can email you some questions I have?
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davesaint86
725 posts
msg #138033
- Ignore davesaint86 |
9/7/2017 8:34:27 PM
What about TMF/XIV?
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Kevin_in_GA
4,599 posts
msg #138034
- Ignore Kevin_in_GA |
9/7/2017 8:40:05 PM
@BlackBars - lots of better traders than me here at SF, but thanks for the kind words. You can post any questions here for the group as a whole to respond, or email me at statisticalinvesting "at" gmail.com
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BlackBars
54 posts
msg #138035
- Ignore BlackBars |
9/7/2017 10:20:46 PM
Sent an email!
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shillllihs
6,046 posts
msg #138101
- Ignore shillllihs
modified |
9/11/2017 1:00:22 PM
My play in a bull market will be long Xiv then short Tmv on pullbacks.
As much as I have studied the market, I really haven't looked at a bear market that intensely.
The best thing I've come up with is using the symbol SH, when monthly MA(2) crosses and closes above MA(21) for the month, it is officially a bear. It's good but catches the change about 1 month out.
Does anyone have a better indicator? The other issue is indicators go haywire in a bear market and become obsolete. I'm thinking the only options are shorting xiv tna SPxl Sso, etc.
whipsaws can be a bitch. I know I can go all cash but that could be a boring 6-18 months.
I'm sure that Kevin, the king and grand pouba of SF. will come up with something.
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fortyfour
189 posts
msg #138631
- Ignore fortyfour |
10/8/2017 8:43:18 PM
You can sell your stock and freeze the amount of $ in your account. Good.
You can buy UUP and/or FXY and expose your $ to other currencies. Good. Usually redeem for more $ later in a bear market.
You can assume going forward that fed will not be as tight, in a bear market/recession, so buy treasuries. A little of SHY, TLH,TLT to get the whole curve or bet on short term treasuries as durarion( risk) is moving to liquidity and safety.
Some gold maybe?
Short SPY?
I would watch out for trading halts/busts , rule changes, restrictions and the unknown with these tripple inverse etfs in a bear market.
Of course, nothing has to play out the same way as it did in the past.
This is enough if you can tme and execute this. No small feat.
You may have to settle for a tad under a 99% return.
gL.
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