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Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132376
11/6/2016 2:40:50 PM

1. Thanks for the help, pthomas
2. Kevin: yes, I did configure the emails, but I do not receive them, unless I run them manually. I think I need to configure my PC to stay Awaken at least until the run of 11 PM Eastern is completed, as the program does not seem to wake it up in order to do its routine?

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132368
modified
11/6/2016 10:01:35 AM

I would kindly ask you, guys, to post the new signals for Tue to Fri , as I will travel and have no access to Stratasearch and as I am , like some of you, having some open positions, going against my preffered direction :
Thanks

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132359
modified
11/4/2016 9:33:06 PM

Well, I guess, the definition of damage is relative: ( maybe you should define it?)
For example, if you're a longer term investor , you would not , yet, have a sell signal, by any means

https://www.barchart.com/futures/quotes/ESZ16/technical-chart#/technical-chart?plot=CANDLE&volume=contract&data=MC&density=M&pricesOn=0&asPctChange=0&logscale=0&indicators=EXPMA(10);EXPMA(20);EXPMA(50);EXPMA(100);EXPMA(200);MACD(20,50,9);MACD(12,26,9);STOSL(5,3);SMA(200)&sym=ESZ16&grid=1&height=500&studyheight=100

... maybe , also, you should read his credentials?
... being a floor trader for 10 years, running a hedge fund , etc, makes his expertise, sorry, much more credible than others ...
...if anybody is a so called expert, I would rather name us...



Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132354
11/4/2016 4:59:03 PM

... also, according to Mark Sebastian , a convincing backwardation should have an inverse curve in at least 2 consecutive months , in order to suggest a sustained period of increased VOL ( now , it would be: NOV>DEC and DEC> JAN, which is not the case, yet: )


http://vixcentral.com/

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132299
11/2/2016 9:06:02 AM

https://itunes.apple.com/ca/podcast/option-alpha-podcast-options/id932492307?l=fr&mt=2&i=377361177

Very enlighting discussion with Mark Sebastian ( Specialist in VOL products at Optionpit.com)
-look for episode OAP 068 ( Oct 31)
* what products to use, options to favor , etc. I found it helpful.

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132068
10/23/2016 5:47:16 PM

That covers it a lot.
Thanks for taking the time...

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132064
modified
10/23/2016 1:10:54 PM

@gmg733
Q: Could you give me an idea about what kind of spreads you would usually use on VXX ( I think you referred to those in the past) , when you expect the VOL ( Or VIX ) to decrease?
I'm trying to find somethig interesting to use on a regular basis but I noticed what seems to be an unfavorable Implied VOL skew for spreads ( going UP on calls ; going Down on Puts)
Or, maybe you just Sell naked premium?

Thanks

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131934
modified
10/15/2016 6:31:48 PM

Question for Kevin:
I was looking at the section 2, page 1 , equity curve 1999-2009 : mid 2001 to mid 2003 and 2008-2009, the equity curve, goes nowhere : do you think one would be able to follow religiously the system for 2 years with no palpable profit? I , probably , would bail out , in real time; what about you, guys?
Do you think this system should have a filter for high VOL / BEAR markets and be OUT of it during those periods?
I've seen some previous filters of yours ( 4 horsemen,etc) for negative markets. Maybe incorporating them might improve the performance and making it more realistic to follow?
Better being in cash or following another system , better adapted to bear markets ?

Also, if you 'd be able to zoom in the stats during those periods, might help to have a better idea about winners/ losers etc?

Thanks for your input.

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131919
10/14/2016 9:49:45 AM

my today s trade:
DEBIT 1 + VIX FUT 20161116 - VIX FUT 20161019 0.47 SMART(USD)
BOT 1 VIX, 20161116, Futures, SMART, USD 17.44 SMART(USD) 01:08:03
SLD 1 VIX, 20161019, Futures, SMART, USD 16.97 SMART(USD) 01:08:03

I keep alternating trades between:
1. VIX futures spreads F1-F2
2. Inverse trade on e mini ES futures
3. Inverse trade on e mini ES options spreads

I"ll post the closed trades in batches of 10.

PS Also, whether Yellen speaks or not, I stick with the system signals , otherwise the stats will not reflect anymore the value of the system, IMO.

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131857
10/11/2016 10:08:08 AM

My take on today's signal

CREDIT 1 : + ES FOP 20161104 2200C - ES FOP 20161104 2160C 16.25 SMART(USD) 08:34:38

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