jdinkel
4 posts
msg #136004
- Ignore jdinkel |
5/21/2017 8:27:50 AM
Hi Guys,
Yeah, I wasn't thinking about how that would look.
I'm pretty new here. Sorry about that.
CML produces an options backtester and they are nice because they share all the details about the trades executed for the backtest
http://tm.cmlviz.com/index.php
The share_key=p47N5FE2Qzb4o7aY is a code that contains the settings I used for my backtest for VXX.
The second share key is share_key=Jjqa4H4ql2X11tiN is for VIX.
It didn't do as well in the backtest, but you guys have a technical indicator that may help.
The tastyworks.com link is just their referral link.
https://start.tastyworks.com
with my referral code referralCode=B7TTZM2N4J
Like most brokers, they give you $100 for new signups.
It was because of them that I found StockFetcher and signed up as a member here.
You pay $2.58 per spread, with their $1.00 commissions and zero exit.
Anyhow, the VXX and VIX information may help anybody wanting to trade options with a high-probability of success and if your commissions are low enough, you won't get killed as badly when you have a trade go against you. Zero exit fees makes it nice because when you have an up day in the S&P, you can easily take off this type of trade for a profit.
Best Regards,
Jason Dinkel
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pschmu
12 posts
msg #136006
- Ignore pschmu |
5/21/2017 11:49:19 AM
Jason brings up an idea to use VXX options to trade Kevin's system. If the VIX futures term structure is in Contango, pick the short leg of the VXX spread that is closest to .70 Delta and pick the long leg that is closest to .30 Delta. If the VIX futures term structure is in Backwardation, pick the long leg of the VXX spread with .70 Delta and the short leg closest to .30 Delta.
For example, right now the VIX futures term structure is in contango. So if there was a VIX buy signal, purchase a Bullish Call spread:
Buy July VXX Call 17 strike Delta +0.304 Price $ 2.21
Sell July VXX Call 13 strike Delta +0.737 Price $0.87
If there was a VIX sell signal right now, purchase a Bearish Put spread:
Sell July VXX Put 17 strike Delta -0.6968 Price $ 3.30
Buy July VXX Put 13 strike Delta -0.2629 Price $ 0.64
All values are from optionsexpress.
Any way to backtest? ...... I doubt it. Just an idea to hedge the contango / backwardation condition
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pschmu
12 posts
msg #136008
- Ignore pschmu |
5/21/2017 1:04:38 PM
Sorry, got the prices reversed on the bullish call spread. Here are the right prices:
Buy July VXX Call 17 strike Delta +0.304 Price $ 0.87
Sell July VXX Call 13 strike Delta +0.737 Price $ 2.21
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dgkaufman
23 posts
msg #137573
- Ignore dgkaufman |
8/11/2017 1:47:19 PM
I haven't read all 49 pages but did you ever test out in this system rather than have 10 long and 10 short. A system in which you go 100% long when X number of triggers are met and vice versa?
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