BarTune1
441 posts
msg #108430
- Ignore BarTune1 |
10/19/2012 8:57:24 AM
The long side of this trade, as opposed to the short side, is not near as effective. However, what matters is how the trade results in the end.
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novacane32000
331 posts
msg #108432
- Ignore novacane32000 |
10/19/2012 2:30:22 PM
tarun766
11 posts
msg #108423
- Ignore tarun766 10/18/2012 3:57:32 PM
Bought VXX 2 days ago from the trigger of
symlist(VXX,XIV)
add column RSI(2)
and rsi(2) is below 10
and i am down both days.
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As Bartune stated, the inverse of this strategy is not quite as reliable ,nevertheless , you will be in the green today if you traded VXX long by following the rules on page 1 of this thread. The last 9 VXX long trades have worked out . It should be 10 at the close today.
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BarTune1
441 posts
msg #108438
- Ignore BarTune1 |
10/19/2012 6:55:10 PM
So, had you played the 1-2-3 scale in .... you would be long 1 unit Tuesday at 33.39, long 2 units Wednesday at 32.98, and long 3 units Thursday at 32.88. Your average cost would be 33.00 ... out today at the close at 34.99 ... thats a gain of 6.03%.
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BarTune1
441 posts
msg #108483
- Ignore BarTune1 |
10/23/2012 5:12:17 PM
Should be buying the XIV today ... had a limit order in at 16 placed mid day but didn't get filled.
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tarun766
50 posts
msg #108485
- Ignore tarun766
modified |
10/23/2012 8:39:36 PM
@bartune
what is the scale, when you say one unit does that mean like 1 set of a number of shares? and then second day double it?
Also a general question do you buy these at open? or do you filter them during todays trading day and buy them near close?
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alastair9
5 posts
msg #108500
- Ignore alastair9 |
10/24/2012 5:28:04 AM
As BarTune said, the long side of this bet will not be as effective as the short side. If you are long this bet (by which I mean long the VXX) you are always fighting the roll down the VIX term structure, which at the moment is quite steep. In addition, the implied/realised volatility spread is quite high right now, which (theoretically at least) will put downwards pressure on the VXX. Both of these factors point towards a short VXX strategy and going short the VXX (or long the XIV) will, as Connors has pointed out, be profitable the vast majority of the time. As Drew9 mentioned earlier in the thread, you will have lost decent money during the US downgrade last summer and during the Japanese tsunami the year before. Your losses during a 2008-style meltdown would be colossal.
The phrase 'picking up pennies in the way of a steamroller' comes to mind...
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BarTune1
441 posts
msg #108506
- Ignore BarTune1 |
10/24/2012 11:54:58 AM
Im in on the XIV at 15.88 ...
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drew9
171 posts
msg #108510
- Ignore drew9 |
10/24/2012 3:34:38 PM
This method turned out to be the worst trade in my lifetime. Prior to August 2011 it had won 19 times in a row and I literally thought I had found the holy grail. Just took our lame congress and S&P to humble me to the tune of a six figure loss. Pyramiding in on this was the absolute worst thing I could have done. - and I kept doing it! It worked 19 times in a row right? I still think this is a viable trading strategy but learned that you have to wait for confirmation of a trend change. Don't use RSI(2) but use the actual VIX as shown in my prior filter. Wait for the actual VIX to turn back down and then enter that day near the close. You may only get one position, but the win/loss ratio will be high and your risk dramatically reduced. In many cases the entry is even better by waiting for the confirmation. Hope you all are listening as we should have a nice entry within the next month as our still lame congress has yet to deal with the fiscal cliff. For those that choose to pyramid, the results may be similar to mine from August 2011 so protect yourself.
On another note, if we get that kind of disaster where the VIX goes above 45 and XIV below 5, I will consider a longer term hold on XIV. If you bought at the December low, it only took about 2 months to double your money. And if you held it to September you had a 3 bagger. It helps knowing that you have the decay in your favor most months with XIV. Watch the VIX futures as after a huge pullback they go into backwardation. Once it reverts to contango, make the entry.
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BarTune1
441 posts
msg #108511
- Ignore BarTune1 |
10/24/2012 4:42:06 PM
IMHO I would not trade the VXX or a XIV off a $VIX signal ... they are different animals.
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tarun766
50 posts
msg #108514
- Ignore tarun766 |
10/24/2012 4:49:05 PM
@Bartune
Do you trade this strict off the signals? And when do you enter the trade?
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