dtatu
143 posts
msg #133173
- Ignore dtatu
modified |
12/11/2016 12:59:13 PM
miketranz
... The problem is that VIX is ,most of the time, INVERSELY linked to SPY:long VIX=SHORT SPY; if you are long SPY, yes you are in the money, but you took the OPPOSITE signal.
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miketranz
961 posts
msg #133176
- Ignore miketranz |
12/11/2016 5:19:23 PM
It's not the simplest system to follow in any respect.How about a 75% or better win ratio based on the SPY long side trade only? 1 simple position... Any suggestions???
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matt
15 posts
msg #133178
- Ignore matt |
12/11/2016 8:34:00 PM
Another buy signal was triggered after the close on Friday, the other 4 open signals are a hold.
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jackmack
334 posts
msg #133186
- Ignore jackmack |
12/12/2016 10:32:39 AM
Kevin_in_GA
I looked back at the 10 VXX filters to see which generated the greatest number of signals so as maybe not needing to have 5 or 10 open positions when trying to be in the same instrument and played around just a little on the #10 filter as it generated the greatest number of entry/exit signals on my review and came up with the following;
symlist(vxx)
/*ENTRY CONDITIONS*/
set{EXIT1, count(ind(^vix, cci(19)) crossed ABOVE -119, 1)}
set{EXIT2, count(ind(^vix, ppo(3,60)) BELOW 0, 1)}
set{EXIT, EXIT1 * EXIT2}
/*EXIT CONDITIONS*/
set{ENTRY1, count(ind(^vix, cci(19)) crossed BELOW -119, 1)}
set{ENTRY2, count(ind(^vix, ppo(3,60)) ABOVE 0, 1)}
set{ENTRY, ENTRY1 + ENTRY2}
add column entry {long entry}
add column separator
add column exit
DRAW EMA(10)
DRAW long entry ON PLOT NULL
DRAW exit ON PLOT NULL
Then I thought about XIV since the times when VXX are up are typically in spike situations so here is the inverse for XIV
symlist(xiv)
/*ENTRY CONDITIONS*/
set{EXIT1, count(ind(^vix, cci(19)) crossed below -119, 1)}
set{EXIT2, count(ind(^vix, ppo(3,60)) above 0, 1)}
set{EXIT, EXIT1 * EXIT2}
/*EXIT CONDITIONS*/
set{ENTRY1, count(ind(^vix, cci(19)) crossed above -119, 1)}
set{ENTRY2, count(ind(^vix, ppo(3,60)) below 0, 1)}
set{ENTRY, ENTRY1 + ENTRY2}
add column entry {long entry}
add column separator
add column exit
DRAW EMA(10)
DRAW long entry ON PLOT NULL
DRAW exit ON PLOT NULL
Now just reviewing these (not back testing) it appears these two gave very good signals of when to get into which as needed - (the exit on the VXX side is left open to ones own liking - but if one just played it for a certain percentage gain - say 10-15% then exited and waited for the signal to get back into XIV it just seemed to work.
Thoughts?
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kibo
14 posts
msg #133188
- Ignore kibo |
12/12/2016 11:24:07 AM
@jackmack These seems to issue long entry for both XIV VXX at the moment.
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johnpaulca
12,036 posts
msg #133190
- Ignore johnpaulca |
12/12/2016 12:48:16 PM
inversely correlation coefficient between XIV and VXX is -0.99 not -1.00
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kibo
14 posts
msg #133191
- Ignore kibo |
12/12/2016 1:13:00 PM
How can we check if the correlation factor is the issue? (It doesn't look like that's the case here, I monitored it while vix went ups and down today still no clear signal which one is the correct signal)
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Kevin_in_GA
4,599 posts
msg #133192
- Ignore Kevin_in_GA |
12/12/2016 1:33:28 PM
He did not change the names of the entry and exit user variables - they are the same in both filters and that is why both signals are the same.
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jackmack
334 posts
msg #133193
- Ignore jackmack |
12/12/2016 1:36:49 PM
Are these not end of day signals?
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matt
15 posts
msg #133198
- Ignore matt |
12/12/2016 8:20:32 PM
Today's signals are sell long #4 and 6 signals, leaving long signals #2, 5, 7 open.
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