dtatu
143 posts
msg #131700
- Ignore dtatu |
10/3/2016 12:18:02 PM
My take on this signal ( real trades):
1. CREDIT 1 + ES FOP 20161021 2205C - ES FOP 20161021 2165C 17.25 SMART(USD)
2. SLD 1 VIX, 20161116, Futures, CFE, USD 16.90 CFE(USD)
BOT 1 VIX, 20161019, Futures, CFE, USD 15.70 CFE(USD)
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dtatu
143 posts
msg #131713
- Ignore dtatu
modified |
10/3/2016 9:27:23 PM
Need Help with Stratasearch:( first time user)
I copied and pasted some of the long signals : entry and exit ( is there a more elegant way to do it, faster?)
When I choose "Run signal", it looks like it's doing it over the whole database.
How do I limit it to VIX index only? I do not even find ^VIX among the choices
Thanks
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Kevin_in_GA
4,599 posts
msg #131714
- Ignore Kevin_in_GA |
10/3/2016 9:51:11 PM
SIGNALS FOR TUESDAY 10/4/16
NO NEW SIGNALS TRIGGERED.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| LONG ^VIX | 10/3/2016 | 13.75 | - - - - - | 13.57 | -1.31% | | LONG ^VIX | 9/27/2016 | 13.36 | - - - - - | 13.57 | +1.57% | | LONG ^VIX | 9/28/2016 | 12.90 | - - - - - | 13.57 | +5.19% | | | | | | | |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
| SHORT^VIX | 8/29/2016 | 14.07 | 9/8/2016 | 11.76 | +16.42% | | LONG ^VIX | 9/6/2016 | 12.54 | 9/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 9/9/2016 | 12.44 | 9/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 9/13/2016 | 15.98 | 9/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 9/9/2016 | 12.52 | 9/22/16 | 13.41 | -7.28% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/22/16 | 13.41 | +33.32% | | SHORT ^VIX | 9/14/2016 | 17.63 | 9/23/16 | 12.02 | +31.74% |
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Kevin_in_GA
4,599 posts
msg #131715
- Ignore Kevin_in_GA |
10/3/2016 9:55:41 PM
@DTATU: You need to do two things before running any of the strategies - I outlined this on page 6 of this thread but here it is again:
1. Import ^VIX data: This is not automatically done. You need to go to File -> Import Prices ... and choose Source Type = Yahoo! Finance. Then move down to Yahoo! Finance settings and edit the Indexes file "indices.csv" by adding the following line at the bottom:
^VIX,^VIX,CBOE Volatility Index
Save the file and the go to File ->Import Prices and download the data for all symbols and indices.
2. Create a new sector called VIX: Go to Setups -> Sector Setups and "Add" a new sector called VIX. Add the ^VIX symbol and save.
Now you can run these strategies. using the newly created VIX sector as the data source.
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dtatu
143 posts
msg #131720
- Ignore dtatu |
10/4/2016 6:13:32 AM
Thanks for the help, Kevin.
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Kevin_in_GA
4,599 posts
msg #131724
- Ignore Kevin_in_GA
modified |
10/4/2016 1:15:29 PM
Posting this a little late - at 10:43 AM picked up 1000 shares of UVXY at $15.75.
3:23 PM UPDATE: Wow - I had set this limit order not really sure if it would get filled, but I just noticed that I basically caught the tradeable low of the day. Now up about $1100 on this trade. Time to pull it off the table and have a beer.
3:25 PM UPDATE: Out at $16.85 for a gain of $1090 after commissions.
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ferndave
65 posts
msg #131733
- Ignore ferndave |
10/4/2016 4:51:47 PM
@Kevin
I added draw entry & draw exit to Long Filter #6 so that I could quickly see the entry and exit points. It showed only exit points nearly every day for the last year. Similarly, Long #10 had only one entry point in the last year. Does that correlate with the results from SS?
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mahkoh
1,065 posts
msg #131734
- Ignore mahkoh |
10/4/2016 5:43:40 PM
From 2015/10/01 Long 6 has had 5 entries, Long 10 has had 7
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mahkoh
1,065 posts
msg #131736
- Ignore mahkoh |
10/4/2016 5:48:55 PM
I uploaded the multisystem into Stratasearch as well and looking at the trades noticed one thing we all know; VIX tends to spike and then quickly retrace. Then I wondered; what if the system provides a short signal and after a few days in the trade there is a spike in VIX. It is very possible that the forced exit after 10 days comes at the worst possible time.
So I changed the 10 days to a variable setting, testing values between 10 and 20 days.
The results, tested from 5/10/2010 until 9/29/2016:
All days set to 10: 5 portfolio APR 173.7%, 872 trades, 82.8 % profitable
Best variable: 5 portfolio APR 188.7%, 868 trades, 83.3 % profitable
I realize that 15 % improvement in APR may not seem much when non optimized settings already are at 173, but it still is a 9 % improvement.
The settings:
Long 1 13 days
Long 2 20 days
Long 3 17 days
Long 4 13 days
Long 5 17 days
Long 6 19 days
Long 7 20 days
Long 8 11 days
Long 9 20 days
Long 10 17 days
Short 1 10 days
Short 2 14 days
Short 3 18 days
Short 4 19 days
Short 5 13 days
Short 6 11 days
Short 7 15 days
Short 8 17 days
Short 9 15 days
Short 10 14 days
And for the record, I did not get an entry signal for system Long #9.
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Kevin_in_GA
4,599 posts
msg #131741
- Ignore Kevin_in_GA |
10/4/2016 7:36:16 PM
SIGNALS FOR WEDNESDAY 10/5/16
NEW SELL-TO-CLOSE SIGNAL TRIGGERED.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| LONG ^VIX | 10/3/2016 | 13.75 | SELL AT OPEN TOMORROW | 13.63 | -0.87% | | LONG ^VIX | 9/27/2016 | 13.36 | - - - - - | 13.63 | +2.02% | | LONG ^VIX | 9/28/2016 | 12.90 | - - - - - | 13.63 | +5.66% | | | | | | | |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
| SHORT^VIX | 8/29/2016 | 14.07 | 9/8/2016 | 11.76 | +16.42% | | LONG ^VIX | 9/6/2016 | 12.54 | 9/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 9/9/2016 | 12.44 | 9/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 9/13/2016 | 15.98 | 9/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 9/9/2016 | 12.52 | 9/22/16 | 13.41 | -7.28% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/22/16 | 13.41 | +33.32% | | SHORT ^VIX | 9/14/2016 | 17.63 | 9/23/16 | 12.02 | +31.74% |
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