Mactheriverrat
3,153 posts
msg #132447
- Ignore Mactheriverrat |
11/10/2016 2:39:57 PM
So would one say VXX is a buy- ?
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mahkoh
1,065 posts
msg #132451
- Ignore mahkoh |
11/10/2016 4:20:48 PM
At this point the system signals to cover 1 of the 2 remaining shorts. Given that the signals have proven to be somewhat premature before I wouldn't jump in head first.
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Kevin_in_GA
4,599 posts
msg #132457
- Ignore Kevin_in_GA |
11/10/2016 7:25:00 PM
Covering a short position is not a buy signal. The system generates buy signals and at the moment none are being signaled.
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dtatu
143 posts
msg #132495
- Ignore dtatu
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.
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dtatu
143 posts
msg #132496
- Ignore dtatu |
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?)
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gmg733
788 posts
msg #132509
- Ignore gmg733 |
11/14/2016 11:21:40 AM
Awesome work. Which broker are you using? Some don't allow spreads on vol products.
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dtatu
143 posts
msg #132517
- Ignore dtatu |
11/14/2016 5:39:16 PM
Interactive Brokers ( very happy with it)
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Kevin_in_GA
4,599 posts
msg #132520
- Ignore Kevin_in_GA |
11/15/2016 8:32:18 AM
Anyone following these filters should be out of all positions as of this morning.
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gmg733
788 posts
msg #132552
- Ignore gmg733 |
11/15/2016 3:13:39 PM
/VX futures are starting to roll today
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gmg733
788 posts
msg #132571
- Ignore gmg733 |
11/16/2016 1:18:10 PM
@datut
Does the $7,158.37 represent the VIX gain/loss? Then the next is your /VX spread?
I think I see 3 methods but 4 resulting numbers.
Thanks.
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