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Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132580
11/16/2016 4:24:54 PM

VIX ES futures


$1,008.44
$619.36
$633.44
$558.44

TOT: $2,819.68

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132579
modified
11/16/2016 4:24:10 PM

VIX FUT Spread
-$8.93
$400.80
$470.80
$1,070.80

TOT $1,933.47

PS the first 3 trades were done with the legs filled separately : this way you can expect a loss of 0.05 per leg in slippage, which amounts to 200$ loss per round turn / 1 unit. I changed after , when I found that IB was offering, on the TWS platform, the futures spreads

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132578
modified
11/16/2016 4:19:29 PM

gmg

From left:
1.TOTAL
2.VIX Futures f1-F2
3.ES Future Inverse trade ( VIX long--> ES short)
4.ES Options on Fut inverse trade

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132517
11/14/2016 5:39:16 PM

Interactive Brokers ( very happy with it)

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132496
11/13/2016 9:55:40 PM

Also, I still have the feeling that, when VIX goes in sustained backwardation, this system should not be used ( according to some of you, guys, this situation appears in only 20% of the time, so , why not be out , in cash?)

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132495
modified
11/13/2016 9:41:20 PM

CUMUL. %PL P&L VIX FUT Spread VIX ES futures VIX ES Options
-0.01% -$8.93
0.68% $686.86
1.69% $1,008.44
2.01% $319.36  
2.28% $269.36
2.89% $619.36
3.49% $600.26
3.90% $400.80
4.37% $470.80
5.00% $633.44
5.56% $558.44
6.09% $529.38
7.16% $1,070.80
--------------------------------------------------------------------------------------------------------------------------------
TOT P&L $7,158.37 $1,933.47 $2,819.68 $2,085.86


-So, first 13 trades, real time, commissions included.( 1 loss: -8$, only)
-3 methods, 1 unit only, each, in the testing period
- the least reproducible one is the ES options spreads, which were composed according to the Gout du Jour ( Taste of the day?), given that ES futures options have different ways of being done when bullish vs bearish
- VIX Futures F1-F2 should be done ONLY as SPREADS, otherwise, you'll lose on the slippage if the legs are filled separately
- ES futures are the simplest but the most dangerous( see the lock down limit 5% for 15 minutes on the election evening, when you felt quite stressed about having an unknown drawdown when the markets re-open?
PS Sorry, my table was much larger and clearer, originally, but the post changed it. I left only the totals.


Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132430
modified
11/10/2016 12:19:48 AM

any new signals for Thursdays, guys?
Thanks in advance

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132419
11/8/2016 9:08:29 PM

oh, sorry: I meant the signals coming out of Kevin's VIX system, only.
If anybody can keep me updated?

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132417
modified
11/8/2016 7:23:19 PM

1. pthomas , you did not forget me about the daily signals until Friday, please?
2. So, was there a "close to cover" signal for today?

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132380
modified
11/6/2016 7:35:55 PM

pthomas, it looks like you might , already , be late to the party, with TVIX : the market seems to dump Trump at the open on Sunday eve.

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