mahkoh
1,065 posts
msg #119260
- Ignore mahkoh
modified |
4/29/2014 4:16:05 PM
My point, although I fail to see how going long both DUST an NUGT is going to end up profitably.
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guspenskiy13
976 posts
msg #119262
- Ignore guspenskiy13 |
4/29/2014 6:15:27 PM
Well...
Enter 9:41 4% trailing on both...equal size.
With volatility you usually lose 2-3% on one...
Another one runs....those run 7-12% couple times a week...
This has averaged 13.5% last month...by just entering 4 orders in the morning and exiting after 2-2:30 p.m..
_________
The point is that 2/3 of the time you end up with a tiny loss or average win....but if they run....they really RUN.
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Kevin_in_GA
4,599 posts
msg #119265
- Ignore Kevin_in_GA |
4/29/2014 6:33:38 PM
What you are doing is not a pair trade, since you are going long and short on the same underlying instrument (gold). You are simply arbitraging some inefficiencies in the ETFs. Profitable? Seems so. A Pair Trade? Nope.
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guspenskiy13
976 posts
msg #119288
- Ignore guspenskiy13
modified |
4/30/2014 12:39:44 PM
You're right Kevin. I wish I could do something more meaningful than that..
P.S.
I have a question about SPY:VXX ...
I've read a lot about it....but...
I tried to set it up in TOS... what time period and aggregation interval should I use to get the most accurate results?
Also - BB with SD 1.5 or ROC(12) with MA(12)?
Thanks..
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Kevin_in_GA
4,599 posts
msg #119292
- Ignore Kevin_in_GA |
4/30/2014 4:13:32 PM
I'm not knocking what you are doing - your returns over the last month are to be envied.
As for SPY:VXX, I used a 13-day MA and 2 SD on the Bollingers. These were not optimized but eyeballed.
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guspenskiy13
976 posts
msg #119293
- Ignore guspenskiy13
modified |
4/30/2014 4:23:58 PM
Daily time-frame right?
I tried to use the same concept intra-day, two ~1% scalps on UVXY..
I just guessed that on 15-m or 30-m time-frame deviation of BB/length of MA should be different..
P.S.
Big thanks to you for the work on VXX - becomes more and more valuable to me each day.
P.P.S.
Just analyzed my trades that I did pretty much mindlessly based on 10m VXX/SPY in prophet...
04/30/14 Buy UVXY **** 53.3900
04/30/14 Sell UVXY **** 54.2200 (+1.55%)
04/30/14 Buy UVXY **** 53.8000
04/30/14 Sell UVXY **** 54.0900 (+0.539%)
I was amazed by how clear the entry/exit were...it's almost perfect tick by tick on a 1 minute chart...crazy...
5/1 UP:
absolutely killer signal today at SPX reversal and right before it broke out 0.2% in 3 minutes...i wonder if anyone has tried to use the cross real-time...oh wow
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