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msg #131631
9/30/2016 1:14:04 PM

No, i's not at all a predictive model for the VIX spot: I only see it as a possible way to trade the VIX system above, ( and maybe a more prudent one) as the VIX index cannot be traded.

If you move your cursor on the graph from Sep 7 to 14, you can see that:
1. VIX spot goes from 11.94 to 18.14= an increase of almost 52%
2. the difference between F2 and F1( 2 nd month minus front month) drops from 19.28% to 2.72%= a drop of 86 % ! this means that the front month(F1) advances much more than the second month (F2) when the VIX spot goes up.If the price of F1 becomes higher than F2= Backwardation ( bullish for VIX- bearish for the markets)

So, if the system gives a buy signal, one buys 1 Vix futures front month(F1) and simultaneously sells short the 2 nd month (F2) , hoping that F1 will gain more than the loss in F2( the spread narrows). When one exits on an exit signal, one closes BOTH in the same time as a spread again ( sells to close F1 and buys to close F2)

Hope it' s clearer?
Any opinions on this alternative / surrogate for VIX spot are welcome , of course.

msg #131614
9/30/2016 6:18:09 AM

re:The system is promising, but has trouble tracking Vix.

Just an idea : ( go again to : , then click on the contango tab, then choose VIX Spot and F1-F2 Contango which will project their comparative graphs, and ZOOM !):

1. what about trading the Spread futures F1-F2 for long signals and F2- F1 for shorts ( eg. for a Long now, you would buy 1 Oct contract and sell 1 Nov and play the spread only; this would also limit the drawdowns,which could be very violent, in real life, in VIX?)

2. Did you try to take the opposite trade in SPY? ( for long VIX ,short SPY,etc.)

Filter Exchange · I Hate Giving Up All My Secrets But
msg #131484
9/24/2016 6:36:38 PM

then, one has to check the VIX index every day: I suggest this great link ( a picture is worth a 1000 words; play with the graph: everything is in it)

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msg #131475
9/24/2016 11:15:28 AM

Sincerely, unless somebody brings solid, real time proof that this system works both with long and short signals, I think the only way one can hope having a winning system with leveraged , volatility ETFs, is to take only the SHORT signals (decreasing volatility) on VXX, TWIX.( and maybe going long the inverse XIV;not sure though)

Filter Exchange · I Hate Giving Up All My Secrets But
msg #131330
9/20/2016 10:49:41 AM

"Just what I'm trading now. You can catch all the action at collective2.
My system is called Donkey Punch Vix and it's currently up 115% in less
than 6 months. It currently sells for $29, but will soon quadruple."

I can't find any trace of it on Collective2.Can you help?

msg #131321
9/20/2016 1:30:13 AM


"You can run strata search for tvix, Xiv, Vxx or whatever you want. I already have one for Svxy. This thread gave me an idea to do short strategies for drag products. Still ..."

In real life , though, I see, quite often, " short sale restrictions" on TVIX or XIV: right now, TVIX, is under a short selling restriction until 20 Sept at 20.00; so, playing the short side on these ETF will not be possible when the market moves big against them

Filter Exchange · I Hate Giving Up All My Secrets But
msg #131187
9/15/2016 5:37:17 PM

Thanks for the interesting idea.
Question: backtesting leveraged ETF like TVIX, VXX, which were reverse split many times over the years, influences ,positively, the results of the system ?
May Some of the signals not be true, using these charts? ( example: no farther than October 2015, the close of TVIX turns around 1400, according to a 2 year SF chart , which is, definitely not a real price, but one obtained in order to fit all the reversal splits since then)

Just asking; I afraid that in real time , this system might not be the same??
Anybody has any experience with backtesting these leverage ETF's?

Take a look at this link, too:

msg #114104
6/15/2013 12:06:57 AM

Yes, you should feel bad !!
Solidarity in stupid decisions and stupid losses, this is what conforts you?
You put together a simple and , what seems to be, a profitable system and you are not even able to follow it step by step? Yes, you should feel bad !
A profitable system is a SUM of wins and losses with a positive (profitable) outcome. The losse are part of the system ! You take them ALL or you are OUT of your system and you lost your time since 2010 in this Forum...
Actually , this Forum seems to be lead by an Academic of systems- unable to pull the trigger himself in real time, and a bunch of losers , who are unable to...anything !
I'm out, but I should thank Kevin for his idea, which I took as a basis to some very profitable, sytematic, disciplined trading on etfreplay.But I do trade them ALL and take the losses and wins, as they are BOTH essential !
Maybe one day you'll get it...

msg #113169
5/7/2013 9:38:13 AM

You're right, Kevin: systems are,indeed, never 100% accurate...Humans are much less,though. And, what usually happens is that when you finally decide to go back to the system you'll maybe hit the worst month of the year?

msg #113136
5/5/2013 1:39:24 PM

Kevin, I can understand your decision to move into cash or in a low risk income instrument, but,this is not a decision based on a systematic, objective signal, but rather a more or less subjective one, based on some previous May results.
Then, why use a system if you do not follow it anyways?
At least, if you think there is a "seasonal" behaviour to your system, why not test it and, if positive results come out of it, trade it only seasonally?


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