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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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