Kevin_in_GA
4,599 posts
msg #132748
- Ignore Kevin_in_GA |
11/23/2016 4:00:59 PM
Not really - each filter has its own exit, where in the case of the trading divergences filters they all had the same exit.
Listen - I strongly encourage you to use SS and the provided code to trigger these signals. I was able to convert the SS code into SF syntax for most of them, but you would be better off getting a subscription to Statasearch and using it for not just this, but to build and backtest other systems you might be considering.
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shillllihs
6,044 posts
msg #132749
- Ignore shillllihs
modified |
11/23/2016 4:07:46 PM
Since 7-29 Dust long/short, has returned 103% going all in.
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jackmack
334 posts
msg #132750
- Ignore jackmack |
11/23/2016 4:10:00 PM
Thank you Kevin_in_GA
I am STRONGLY leaning that way
Happy Thanksgiving to all here
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Kevin_in_GA
4,599 posts
msg #132752
- Ignore Kevin_in_GA |
11/23/2016 6:33:26 PM
Since 7-29 Dust long/short, has returned 103% going all in.
Can you post the trades (enter at the open of the day after the entry is signaled, close at the open of the day after the exit is signaled). Not doubting you, I just want to see how it worked.
I would caution though that the time interval of less than 4 months is not all that long (I trained the system against a 5 year period, and backtested it against a different 10 year period).
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shillllihs
6,044 posts
msg #132753
- Ignore shillllihs |
11/23/2016 7:09:01 PM
I haven't been sleeping well lately so cant post all but here is an example,
Start searching from page 26. Will take you 10 minutes.
9-27 DUST 33.80 10-12 DUST 50
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dtatu
143 posts
msg #132755
- Ignore dtatu
modified |
11/23/2016 9:54:14 PM
I still think:
VIX-DUST= false premise and wrong instrument=just appearance and short term coincidences= I can't believe that anybody , besides sillllhs, pays any attention to this.
I cannot find any significant correlation:
Feb-Jun: VOL goes down , GDX goes UP ( DUST down)
SEP-NOV : no relation
Recently: gold selloff( because of expected rate hike in December)(GDX down, DUST UP), VOL down
https://www.barchart.com/futures/quotes/VIM16/technical-chart#/technical-chart?plot=LINE&volume=contract&data=DO&density=X&pricesOn=0&asPctChange=0&logscale=0&indicators=EXPMA(10);EXPMA(20);EXPMA(50);EXPMA(100);EXPMA(200);SMA(200)&sym=VIM16&grid=1&height=500&studyheight=100&overlay1=dust&axis1
https://www.barchart.com/futures/quotes/VIM16/technical-chart#/technical-chart?plot=LINE&volume=contract&data=DO&density=M&pricesOn=1&asPctChange=0&logscale=0&startDate=2016-02-01&endDate=2016-06-20&daterange=specific&sym=VIM16&grid=1&height=500&studyheight=100&overlay1=gdx&axis1
https://www.barchart.com/futures/quotes/VIX16/technical-chart#/technical-chart?plot=LINE&volume=contract&data=DO&density=M&pricesOn=1&asPctChange=0&logscale=0&startDate=2016-09-01&endDate=2016-11-23&daterange=specific&sym=VIX16&grid=1&height=500&studyheight=100&overlay1=dust&axis1
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matt
15 posts
msg #132757
- Ignore matt |
11/23/2016 11:56:33 PM
I also can't see how gold can be related. Can you please elaborate on where your premise is coming from? These 3x ETF seem to be unreliable for basing anything on, look at DUST since it started. Was up in the thousands per share, has had a number of reverse splits (twice this year). And I can't see any correlation with it's movement vs VIX but perhaps I am missing something?
Not long after I paid for a year's subscription here I saw this thread and also signed up for SS. Seems like SS has a lot more features although I haven't really spent much time with either SF or SS as I switched to Tradestation and am immersing myself in learning Easylanguage so I can code filters and scans directly in Tradestation.
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dtatu
143 posts
msg #132764
- Ignore dtatu
modified |
11/24/2016 8:53:39 AM
matt
You're not missing anything
"VIX is the ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the market's expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options. This volatility is meant to be forward looking, is calculated from both calls and puts, and is a widely used measure of market risk, often referred to as the "investor fear gauge."
The only link between VIX and DUST is,,,silllllhs.
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pthomas215
1,251 posts
msg #132766
- Ignore pthomas215 |
11/24/2016 9:26:42 AM
It appears that any correlation is coincidental. Although on August 21 2015 there was a simultaneous breakout of the VIX and DUST in a big way, and more mild simultaneous escalations on March 9th 2015 and Dec 12 2014. But it might be just coincidence. I think historically it has been the opposite...so goes the market, people go to bonds and gold to hide.
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Kevin_in_GA
4,599 posts
msg #132768
- Ignore Kevin_in_GA |
11/24/2016 10:09:36 AM
Determining the correlation between DUST and the VIX is easy:
As you can see, the correlations are low (10 day at -0.27, 50 day at -0.22, and 100 day at 0.29). These are basically UNCORRELATED asset groups. Valuable in portfolio design, but looking at these correlations I would not use DUST to trade off of ^VIX signals. IMHO.
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