kibo
14 posts
msg #133289
- Ignore kibo |
12/19/2016 1:12:31 PM
@kevin it seems both trades are in deficit now. I guess this systems needs to be enhanced by some intraday algorithm for entry and exits. I am trying to see what can be suited for this...
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Kevin_in_GA
4,599 posts
msg #133290
- Ignore Kevin_in_GA |
12/19/2016 2:37:19 PM
I don't think that an intraday algorithm makes sense, or is even possible at the moment. This system has a high win percentage but like any system will also have periods of drawdown. The key is patience and not overthinking a solution that might not be necessary.
My personal assessment is that any volatility-based trading system needs to include some measure for contango, which over the past five years strongly favors shorting the VIX ETFs. The system works well but the challenge is to find a vehicle that accurately reflects the ^VIX, and right now that is where the contango issue is confounding.
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kibo
14 posts
msg #133292
- Ignore kibo |
12/19/2016 3:20:50 PM
@kevin Thanks for the comment. Have you tested the system against the ETFs to see what would be the difference in outcome? I don't have SS account yet. Perhaps, I can help in that once I get one. Also, contago can be calculated from VXX VXZ ratios. But on the overall, I guess you are right, we shouldn't try to over optimize it if its already working.
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Kevin_in_GA
4,599 posts
msg #133302
- Ignore Kevin_in_GA
modified |
12/19/2016 7:09:48 PM
The challenge to what you were proposing is that SF does not handle intraday data all that well, and SS does not use it at all.
I also think that while the VIX/VXV ratio is useful, the real contango is determined by the prices of the current and next months futures for VIX (F2 - F1), and the four month and seven month futures prices for VXV (F7 - F4). If either of those values are positive, that index is in contango.
There is a great site for this - www.vixcentral.com. I have linked a fully operational version of it here so that folks can see what the current levels of contango are:
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Kevin_in_GA
4,599 posts
msg #133303
- Ignore Kevin_in_GA |
12/19/2016 7:11:05 PM
Two more ^VIX LONG signals triggered this evening. Now at 4 units long, none short.
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miketranz
969 posts
msg #133304
- Ignore miketranz |
12/19/2016 8:02:22 PM
Kevin,I've been following the VIX SYSTEM for the last two weeks and noticed that the long signals are producing very good results if you were long the SPY/QQQ.However,if you're trading TVIX/UVYX on the long side,these instruments have been continually selling off.The win percentages on paper are impressive.Either the system doesn't know Trump just got elected or it just hasn't been working the last few weeks.The only way the vix moves up,in a big way,is when a news shock event hits the markets.Miketranz...
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Kevin_in_GA
4,599 posts
msg #133305
- Ignore Kevin_in_GA |
12/19/2016 8:37:51 PM
@mike - I think the long signals are less correlated with/driven by ^SPX movements then you might think. The ^SPX has definitely moved in a way that no one would have anticipated, especially with the FOMC decision to raise rates last week - and basically the market shrugged it off. Any recent long signal in the ^VIX seems to be ignored by the market, and the current high levels of contango make trading any ETF like VXX or TVIX very challenging.
I am long TVIX right now but not happy about it. In another account I am long XIV so the net has not been too painful.
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miketranz
969 posts
msg #133308
- Ignore miketranz |
12/20/2016 8:53:24 AM
Kevin,XIV looks good.Have you checked out sixfigureinvesting ? Interesting site on VIX trading.Best,Miketranz....
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dtatu
143 posts
msg #133323
- Ignore dtatu
modified |
12/20/2016 1:10:57 PM
Me too, I 'm losing trade after trade for 2 weeks , now.
I start considering taking only the sell signals, as long as the market stays in Contango ( or, maybe ,always?)
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Kevin_in_GA
4,599 posts
msg #133325
- Ignore Kevin_in_GA |
12/20/2016 2:00:02 PM
Contango is something that has a real impact on volatility-based ETFs, and in and of itself may be the only signal one needs to look at. I have a strategy developed that exploits contango with a parallel hedging strategy that I will post in a new thread on Christmas Eve. Was going to set this up as a paid service on Collective2 but am now thinking that it is better to share it with folks here as a small Christmas gift.
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