jnafach
74 posts
msg #107060
- Ignore jnafach |
7/15/2012 6:37:10 PM
Hi
can you help me to see if can make filter with those info, I got an email and seems quite interesting
Here are the rules for the model:
The 2-period RSI of VXX closes above 90. Sell short on the close the first of six possible units of VXX (1/6th of a full position). If you are unable to borrow or to short VXX, XIV is the inverse which is used to go long.
If VXX closes higher than your entry anytime you’re in the position, short 2 additional units to get you up to 3 total units of a possible 6. You are now short ½ of a full position.
If VXX closes higher than your second entry, short 3 additional units to get to a full short position.
Hold the position until the 2-period RSI closes under 50.
Here are the test results: VXX Trading Model Monthly Results
1 2 3 4 5 6 7 8 9 10 11 12 Year
2009 0.00% 2.28% 0.01% 0.01% 0.62% 0.83% 0.01% 2.28% 0.64% 0.00% 0.00% 6.87%
2010 1.13% 0.51% 0.01% 0.75% 5.30% -2.12% 4.02% 3.12% 0.94% 0.01% 0.67% 1.02% 16.26%
2011 0.01% 3.17% 1.00% 0.00% 2.19% 1.04% 1.94% 6.98% 4.48% 1.16% 0.69% 1.17% 26.37%
2012 0.00% 2.41% 0.83% 5.92% 3.39% 13.08%
CAR 19.25%
MDD -9.65%
Sharpe Ratio 3.00 Here are the highlights of the results:
97.3% of the trades have been wining trades (36 of the 37 signals have been profitable). We’ve never seen numbers like this in equity trading.
Within a portfolio, the annual returns have been 19.3% with a max drawdown of only 9.65%
The Sharpe Ratio, measuring the amount of risk in conjunction with its returns is 3.00, an extraordinary number for an overnight trading method.
Every month of testing but one has been break-even or profitable from 2009-May 2012.
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BarTune1
441 posts
msg #107063
- Ignore BarTune1 |
7/15/2012 10:17:27 PM
The basic filter is this, alerting you to an entry, in a long only strategy utilizing the XIV as a proxy for shorting the VXX:
symlist(VXX,XIV)
add column RSI(2)
and rsi(2) is below 10
Scaling in at 1-2-3 units for a total of 6 units. The 2 and 3 unit positions are only taken if the pricing of the VXX or XIV deteriorate against the initial position.
Exit end of day when the RSI(2) > 50. You may have to watch for that manually in, for example, a holdings watchlist - which is what I do.
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novacane32000
331 posts
msg #107221
- Ignore novacane32000 |
7/26/2012 9:13:37 AM
jnafach
How many trades /month were used trading this system? Can you forward the email emiliogomez1963@comcast.net
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drew9
171 posts
msg #107225
- Ignore drew9 |
7/26/2012 12:15:02 PM
This sounds like a Connors approach. I would go back and look at the numbers as they may not be accurate. In August 2011 you would have lost a ton and in May of this year again two losses. I traded this unfortunately last August and found out it can go a long ways against you! I have found a better way to use the VIX is to pinpoint bottoms in the market by looking for the first day it drops after reaching extreme high levels.
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novacane32000
331 posts
msg #107238
- Ignore novacane32000 |
7/26/2012 4:39:28 PM
I would think this method works best in a sideways market but not very well in a trending market.
Drew-how did you pinpoint bottoms using the VIX? Did you use RSI 2 ?
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BarTune1
441 posts
msg #107249
- Ignore BarTune1 |
7/27/2012 12:58:54 AM
This is a Connors filter .... triggered twice in the last two weeks .... both profitable and I was on both plays ....
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djones000buck
206 posts
msg #107263
- Ignore djones000buck |
7/27/2012 11:27:36 AM
Bar Tune is the filter coded already in SF?
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BarTune1
441 posts
msg #107276
- Ignore BarTune1 |
7/27/2012 1:34:06 PM
Yeah, it is basically in the second post ..... long/short version ....
1) Would have had you buying 1 unit of the VXX at 13.35 on July 13; 2 units of the VXX at 13.18 on July 16, and 3 units of the VIX on July 17 for 12.70 .... total 6 units @ average cost of 12.97 .... exit on July 20 at 13.20 when the RSI2 closed at 73 ....... gain was 1.8%
2) If you played the short only version using the XIV as a proxy, you would have bought 1 unit of the XIV on July 23 at 11.82 and 2 units of the XIV on July 24 at 11.30, average cost of 3 units @ 11.47 exiting July 26 at 12.30 when the RSI2 hit 77 ... gain was 7.2%
I did a little better on the first trade as I got in later at a lower price. On the second trade I did marginally worse as I got out early.
All these trades are to be entered or exited right at the end of the day.
The main focus of the strategy is trade #2 ... shorting the VXX ... incidentially that trade worked out much better.
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djones000buck
206 posts
msg #107278
- Ignore djones000buck |
7/27/2012 2:04:43 PM
Thanks for the info that clarifies...
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novacane32000
331 posts
msg #107282
- Ignore novacane32000 |
7/27/2012 8:32:52 PM
BarTune
What has been your experience using this system-Have you been mechanical in following the system or have you used discretion?
Money Mgt? Drawdowns? Have you tried it with other pairs TNA TZA? Hope you dont mind sharing more.
I did a quick manual backtest and am very interested in giving this a try.
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