shillllihs
6,044 posts
msg #131364
- Ignore shillllihs |
9/21/2016 3:16:19 PM
Kevin,
Can you give us an idea on how this performed in the Tvix spikes of Sept.14 & Aug15.
Did the dynamics change? Looks like it caught a down draft.
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Kevin_in_GA
4,599 posts
msg #131373
- Ignore Kevin_in_GA
modified |
9/21/2016 5:47:51 PM
Here are the closed trades entered since late July (this is the exported trade list from the multi-system backtest in SS). This does not show a few of the recent wins - not sure why.
| Symbol | L/S | EntryDate | EntryPrice | ExitDate | ExitPrice | Gain/Loss | DaysHeld |
|---|
| ^VIX | Short | 9/12/2016 | 20.13 | 9/19/2016 | 15.14 | 24.79% | 5 | | ^VIX | Short | 9/12/2016 | 20.13 | 9/13/2016 | 15.98 | 20.62% | 1 | | ^VIX | Long | 9/9/2016 | 12.52 | 9/12/2016 | 20.13 | 60.78% | 1 | | ^VIX | Short | 8/29/2016 | 14.09 | 9/8/2016 | 11.74 | 16.68% | 7 | | ^VIX | Short | 8/25/2016 | 13.62 | 9/6/2016 | 12.42 | 8.81% | 7 | | ^VIX | Long | 8/18/2016 | 12.20 | 9/2/2016 | 13.47 | 10.41% | 11 | | ^VIX | Long | 8/12/2016 | 11.61 | 8/25/2016 | 13.62 | 17.31% | 9 | | ^VIX | Long | 8/23/2016 | 12.15 | 8/25/2016 | 13.62 | 12.10% | 2 | | ^VIX | Long | 8/22/2016 | 12.53 | 8/23/2016 | 12.15 | -3.03% | 1 | | ^VIX | Long | 8/8/2016 | 11.66 | 8/22/2016 | 12.53 | 7.46% | 10 | | ^VIX | Short | 8/16/2016 | 12.04 | 8/19/2016 | 11.67 | 3.07% | 3 | | ^VIX | Long | 8/5/2016 | 12.08 | 8/17/2016 | 12.57 | 4.06% | 8 | | ^VIX | Long | 8/15/2016 | 11.81 | 8/17/2016 | 12.57 | 6.44% | 2 | | ^VIX | Long | 8/8/2016 | 11.66 | 8/17/2016 | 12.57 | 7.80% | 7 | | ^VIX | Long | 8/8/2016 | 11.66 | 8/16/2016 | 12.04 | 3.26% | 6 | | ^VIX | Long | 8/8/2016 | 11.66 | 8/16/2016 | 12.04 | 3.26% | 6 | | ^VIX | Long | 8/4/2016 | 12.73 | 8/11/2016 | 11.93 | -6.28% | 5 | | ^VIX | Long | 8/9/2016 | 11.40 | 8/11/2016 | 11.93 | 4.65% | 2 | | ^VIX | Long | 8/8/2016 | 11.66 | 8/11/2016 | 11.93 | 2.32% | 3 | | ^VIX | Long | 7/29/2016 | 12.85 | 8/3/2016 | 13.53 | 5.29% | 3 |
Anyway, the system stats include drawdowns (posted on page 1). I have been posting the results for a while now to create a permanent record of system performance going forward.
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Kevin_in_GA
4,599 posts
msg #131378
- Ignore Kevin_in_GA
modified |
9/21/2016 10:07:09 PM
SIGNALS FOR THURSDAY 9/22/16
TWO BUY-TO-COVER SIGNALS TRIGGERED.
ONE SHORT POSITION (FOR THE TRADE OPENED ON 9/14/16) TO REMAIN OPEN.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| SHORT ^VIX | 9/9/2016 | 12.52 | CLOSE TOMORROW AT OPEN | 13.30 | -6.23% | | SHORT ^VIX | 9/12/2016 | 20.13 | CLOSE TOMORROW AT OPEN | 13.30 | +33.93% | | SHORT ^VIX | 9/14/2016 | 17.63 | - - - - | 13.30 | +24.56% | | | | | | | | | 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% |
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gmg733
788 posts
msg #131379
- Ignore gmg733
modified |
9/21/2016 10:42:08 PM
That loser might be a scratch before tomorrow. I'm not telling you how to trade but vol is usually highest at the open. Usually after 15 min markets come in.
I went long some XIV today after fed released notes. I figure we have some vol crush yet.
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shillllihs
6,044 posts
msg #131381
- Ignore shillllihs |
9/22/2016 12:14:40 AM
Now I see the problem with using ETFs to trade these. Xiv does not make much and Tvix loses
or makes very little. Maybe a strategy of only going long Xiv and staying out of market
when Vix is long.
I know 1 of you geniuses can tailor something with ETFs.
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Kevin_in_GA
4,599 posts
msg #131388
- Ignore Kevin_in_GA |
9/22/2016 8:36:24 AM
That loser might be a scratch before tomorrow.
^VIX now at 12.34 in premarket, so you are probably right.
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shillllihs
6,044 posts
msg #131433
- Ignore shillllihs |
9/22/2016 4:13:46 PM
Gmg or anyone else.
Since you seem to know options well. Don't the Uvxy calls for the upcoming weeks
in the 40-60 range seem rather cheap and can this be a sign that Vix will not spike
till December.
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compound_gains
222 posts
msg #131434
- Ignore compound_gains |
9/22/2016 5:29:12 PM
http://seekingalpha.com/instablog/10211511-eli-mintz/3912076-like-a-feather-in-the-wind-vxx-and-contango
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Kevin_in_GA
4,599 posts
msg #131435
- Ignore Kevin_in_GA |
9/22/2016 9:15:09 PM
SIGNALS FOR FRIDAY 9/22/16
FINAL BUY-TO-COVER SIGNAL TRIGGERED.
ALL POSITIONS CLOSED AT OPEN TOMORROW.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| SHORT ^VIX | 9/14/2016 | 17.63 | CLOSE TOMORROW | 12.02 | +31.02% | | | | | | | | | 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 | 9/22/2016 | 13.41 | -7.28% |
| SHORT ^VIX | 9/12/2016 | 20.13 | 9/22/2016 | 13.41 | +33.32% |
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c1916
77 posts
msg #131436
- Ignore c1916 |
9/22/2016 10:18:41 PM
So we're in for a dull day tomorrow, then.
Maybe I'll sleep in.
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