miketranz
961 posts
msg #131570
- Ignore miketranz |
9/28/2016 7:42:54 PM
Larry Connors did a study on VIX trading back in 2004."How Markets Really Work" is an excellent read,one which I highly recommend.It's an eye opener.Like Kevin's system,it is basically a long side trade trigger,with very high winning percentages.Professionals know that trading is a numbers game,a percentage game.Anything else,you might as well head to the casino....
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Kevin_in_GA
4,599 posts
msg #131571
- Ignore Kevin_in_GA
modified |
9/28/2016 8:38:26 PM
SIGNALS FOR THURSDAY 9/29/16
NO NEW SIGNALS TRIGGERED.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| LONG ^VIX | 9/27/2016 | 13.36 | - - - - - | 12.39 | -7.26% | | LONG ^VIX | 9/28/2016 | 12.90 | - - - - - | 12.39 | -3.95% | | | | | | | |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
| SHORT^VIX | 8/29/2016 | 14.07 | 9/8/2016 | 11.76 | +16.42% | | LONG ^VIX | 9/6/2016 | 12.54 | 9/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 9/9/2016 | 12.44 | 9/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 9/13/2016 | 15.98 | 9/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 9/9/2016 | 12.52 | 9/22/16 | 13.41 | -7.28% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/22/16 | 13.41 | +33.32% | | SHORT ^VIX | 9/14/2016 | 17.63 | 9/23/16 | 12.02 | +31.74% |
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gmg733
788 posts
msg #131572
- Ignore gmg733 |
9/28/2016 10:13:32 PM
Kevin
I show two longs and one short open right now. One long open today and one yesterday. Short opened today. unless there were sell orders from today
Thanks
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c1916
77 posts
msg #131573
- Ignore c1916
modified |
9/28/2016 10:26:40 PM
@Kevin. Like CMG, I'm confused, I read both the 9/27 and 9/28 signals as LONG Vix. You indicate two Short VIX positions in the table 2 messages above here (although the gain/loss suggests that they were both opened long).
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Kevin_in_GA
4,599 posts
msg #131574
- Ignore Kevin_in_GA |
9/28/2016 11:59:36 PM
Typo - now corrected. Thanks.
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dcsnowden
52 posts
msg #131578
- Ignore dcsnowden |
9/29/2016 10:42:59 AM
Question for K... or whomever may have had a chance to look into this...
There are 3 long filters and 4 short ones that can't be translated into current SF code. As one of those unfortunates who only has SF, I was curious as to the affect... not having these 7 filters in the overall mix of your basket of 20...what affect on the performance this might have? Don't know if you've had time to backtest using only the 13 available filters, but it would be interesting to know if the absence of those 7 pulls the averages up or down or not at all. I also want to add my thanks to you and all the others, for
all your hard work and generosity...DCS
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Kevin_in_GA
4,599 posts
msg #131583
- Ignore Kevin_in_GA |
9/29/2016 11:29:02 AM
Given that all of these had win percentages at 90% or higher, the likely effect would simply be fewer trade opportunities.
I encourage everyone to check out Stratasearch - I have provided folks with all of the code necessary to use this system independently of any SF filters.
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tennisplayer2
210 posts
msg #131586
- Ignore tennisplayer2
modified |
9/29/2016 12:29:56 PM
Kevin, I subscribed to SS because of your willingness to share codes. Without your help, I wouldn't have been able to code this strategy. I am an older guy and not that tech knowledgeable. I volunteer at a food bank and if I make money on this strategy, you can be assured that some of the profits will be used to help the poor. Once again, thanks for all the help and sharing your great wisdom.
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graftonian
1,089 posts
msg #131589
- Ignore graftonian
modified |
9/29/2016 12:57:47 PM
Look at that VIX go!!! 14.93 at noon central
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Kevin_in_GA
4,599 posts
msg #131595
- Ignore Kevin_in_GA |
9/29/2016 1:41:40 PM
@tennisplayer2 - send me your email address (send me a note at statisticalinvesting *@* gmail.com) and I will send you a small SS database file that you can simply import and all of the pieces will automatically be set up for you. My way of thanking you for helping others.
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