dtatu
143 posts
msg #131857
- Ignore dtatu |
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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gmg733
788 posts
msg #131863
- Ignore gmg733 |
10/11/2016 3:25:44 PM
Short Put Spread in VIX; Nov16, -1 16 Put, +1 14 Put
VIX is up 20.25% today and my ITM Put spread is now OTM and it is up 20.18% today
Close to being 1:1. I'll keep working on this when time permits. On the next signal I may sell a closer dated spread since the average hold is 10 days. I don't know that it will matter. What this points to as a thesis is the spread is as predicted a delta play. Yes there is a little boost from theta, but not a lot. I wanna see if a shorter date options theta can offset some b/a spread slippage.
Yes this is one data point. So no absolute.
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Kevin_in_GA
4,599 posts
msg #131868
- Ignore Kevin_in_GA |
10/11/2016 7:34:22 PM
SIGNALS FOR WEDNESDAY 10/12/16
ALL CURRENT OPEN LONG POSITIONS ARE TO BE CLOSED AT THE OPEN TOMORROW.
5 NEW SHORT SELL SIGNALS HAVE BEEN TRIGGERED. THIS WOULD BE GOING FULLY SHORT ON THE ^VIX SINCE THE TARGET PORTFOLIO SIZE IS 5 UNITS.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| LONG ^VIX | 10/11/2016 | 13.71 | SELL AT OPEN TOMORROW | 15.36 | +12.04% | | LONG ^VIX | 09/28/2016 | 12.90 | SELL AT OPEN TOMORROW | 15.36 | +19.07% | | LONG ^VIX | 10/06/2016 | 13.11 | SELL AT OPEN TOMORROW | 15.36 | +17.16% | | | | | | | |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) | | SHORT^VIX | 08/29/2016 | 14.07 | 09/08/2016 | 11.76 | +16.42% | | LONG ^VIX | 09/06/2016 | 12.54 | 09/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 090/9/2016 | 12.44 | 09/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 09/13/2016 | 15.98 | 09/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 09/12/2016 | 20.13 | 09/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 09/09/2016 | 12.52 | 09/22/2016 | 13.41 | -7.28% | | SHORT ^VIX | 09/12/2016 | 20.13 | 09/22/2016 | 13.41 | +33.32% | | SHORT ^VIX | 09/14/2016 | 17.63 | 09/23/2016 | 12.02 | +31.74% | | LONG ^VIX | 10/03/2016 | 13.75 | 10/05/2016 | 13.54 | -1.67% | | LONG ^VIX | 09/27/2016 | 13.36 | 10/07/2016 | 13.50 | +0.90% |
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Kevin_in_GA
4,599 posts
msg #131871
- Ignore Kevin_in_GA |
10/12/2016 8:52:27 AM
Personally, I will probably only take the equivalent of three or four units shorting ^VIX today, just to keep some dry powder on hand just in case. I have a few other ^VIX-related multi-signal systems like this and every one of them has made multiple short sell signals and signaled to close all open long positions.
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graftonian
1,089 posts
msg #131878
- Ignore graftonian |
10/12/2016 12:22:41 PM
Kevin, Thanks again for all your hard work. So far my first 5 trades have resulted in 11.2%, 4.6%, -1.8%, 8.9%, and -1.7%. These percentages are net (after commissions), and using UVXY as a surrogate. Shorted today using SVXY.
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Kevin_in_GA
4,599 posts
msg #131883
- Ignore Kevin_in_GA |
10/12/2016 7:44:28 PM
SIGNALS FOR THURSDAY 10/13/16
NO NEW SIGNALS TRIGGERED.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 15.91 | -2.45% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 15.91 | -2.45% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 15.91 | -2.45% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 15.91 | -2.45% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 15.91 | -2.45% | | | | | | | |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) | | SHORT^VIX | 08/29/2016 | 14.07 | 09/08/2016 | 11.76 | +16.42% | | LONG ^VIX | 09/06/2016 | 12.54 | 09/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 090/9/2016 | 12.44 | 09/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 09/13/2016 | 15.98 | 09/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 09/12/2016 | 20.13 | 09/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 09/09/2016 | 12.52 | 09/22/2016 | 13.41 | -7.28% | | SHORT ^VIX | 09/12/2016 | 20.13 | 09/22/2016 | 13.41 | +33.32% | | SHORT ^VIX | 09/14/2016 | 17.63 | 09/23/2016 | 12.02 | +31.74% | | LONG ^VIX | 10/03/2016 | 13.75 | 10/05/2016 | 13.54 | -1.67% | | LONG ^VIX | 09/27/2016 | 13.36 | 10/07/2016 | 13.50 | +0.90% | | LONG ^VIX | 10/11/2016 | 13.71 | 10/12/2016 | 15.53 | +12.96% | | LONG ^VIX | 09/28/2016 | 12.90 | 10/12/2016 | 15.53 | +20.05% | | LONG ^VIX | 10/06/2016 | 13.11 | 10/12/2016/td> | 15.53 | +18.13% |
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shillllihs
6,044 posts
msg #131899
- Ignore shillllihs
modified |
10/13/2016 12:06:06 PM
Something to look at here is, when you get a signal, skip a day and go all in the next day with Xiv/Tvix.
If filters are hitting 90%, confirmation of additional filters don't matter.
Seems to work better as today may show.
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shillllihs
6,044 posts
msg #131907
- Ignore shillllihs
modified |
10/13/2016 3:03:31 PM
Ok, my findings.
If short signal, skipping first day and go long Xiv would have made up an extra 18%
For long signal, simply go long Tvix the first day.
Must go all in on first day signal and ignore other signals. But since you may have a long and a short
simultaneously, go 50% in.
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Kevin_in_GA
4,599 posts
msg #131908
- Ignore Kevin_in_GA |
10/13/2016 3:28:42 PM
I'll stick with my unit-based strategy, but thanks for sharing a tweak from which others might benefit. Still not 100% sure about moving to TVIX instead of VXX since neither of them seem to really track the VIX as well as I would like, but there really is no reason for me not to take the 2x when it is available.
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Kevin_in_GA
4,599 posts
msg #131910
- Ignore Kevin_in_GA |
10/13/2016 8:35:37 PM
SIGNALS FOR FRIDAY 10/14/16
2 ADDITIONAL NEW SHORT SIGNALS TRIGGERED FOR TOMORRROW.
A TOTAL OF 7 OUT OF 10 SHORT FILTERS ARE NOW IN PLAY.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 16.69 | -7.47% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 16.69 | -7.47% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 16.69 | -7.47% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 16.69 | -7.47% | | SHORT ^VIX | 10/12/2016 | 15.53 | - - - - - | 16.69 | -7.47% | | | | | | | |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) | | SHORT^VIX | 08/29/2016 | 14.07 | 09/08/2016 | 11.76 | +16.42% | | LONG ^VIX | 09/06/2016 | 12.54 | 09/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 090/9/2016 | 12.44 | 09/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 09/13/2016 | 15.98 | 09/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 09/12/2016 | 20.13 | 09/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 09/09/2016 | 12.52 | 09/22/2016 | 13.41 | -7.28% | | SHORT ^VIX | 09/12/2016 | 20.13 | 09/22/2016 | 13.41 | +33.32% | | SHORT ^VIX | 09/14/2016 | 17.63 | 09/23/2016 | 12.02 | +31.74% | | LONG ^VIX | 10/03/2016 | 13.75 | 10/05/2016 | 13.54 | -1.67% | | LONG ^VIX | 09/27/2016 | 13.36 | 10/07/2016 | 13.50 | +0.90% | | LONG ^VIX | 10/11/2016 | 13.71 | 10/12/2016 | 15.53 | +12.96% | | LONG ^VIX | 09/28/2016 | 12.90 | 10/12/2016 | 15.53 | +20.05% | | LONG ^VIX | 10/06/2016 | 13.11 | 10/12/2016 | 15.53 | +18.13% |
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