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Filter Exchange · A NEW ^VIX TRADING SYSTEM
c1916
msg #131300
modified
9/19/2016 12:48:43 PM

If I understand GMG's theory, on a "Long" signal as was triggered over the weekend for this morning, the better way to play this is to buy a VXX Call, so I'm going to try trading today's signal on paper in that way:
Buy 9/23 $37.50 Call and,
Sell 9/23 $41.00 Call for risk reversal.

Earlier this morning this trade cost me 99 cents. (note: I missed the open when this probably would have been $0.90, but mid-morning would have been ideal as this trade bottomed out at $0.67)

Since Kevin has a 10 day max holding period, it probably would have been more correct to play this with a 9/30 target, but the signals have been coming fast on this system, so this was a personal preference call. Not sure why Kevin went with an October target on his paper trade.

Conversely, if this had been a "Short" signal, do I understand that the play would have been to sell an in the money call while buying an at the money call for risk reversal purposes? For example, if today's signal had been to short Vix, the play might have been to:
Sell 9/23 $35.00 VXX Call and
Buy 9/23 $38.00 VXX Call?
Collecting about $1.75 premium while waiting for the move down?


Stock Picks and Trading · Options Trader who is legit
c1916
msg #131194
9/15/2016 10:21:28 PM

I've got his site on my daily review list and have paper traded based on the information as it appears on the free site. I usually make a call on whether I've completely missed the boat and prices have moved too much between his buy in and his post or whether I can get in at (or near, or better than) his price before booking the paper trade. Results have been relatively positive. Although I've not pulled the trigger on any actual trades based on his advice, I'd be interested in giving the pay service a shot in my spec account as well at a considerably lower price.

BTW...I noticed long ago that the 2014 and 2015 results do not appear to be complete/verifiable, similar to the earlier comment.

Stock Picks and Trading · Intraday Alerts
c1916
msg #130731
8/31/2016 11:49:14 AM

I see...so playing for a reversion after two days of closing above the upper band.

Interestingly, though, if you were to scan for the inverse (two days of closing below the lower band) the past week or so indicates that one would be better off continuing the short instead of playing for a reversion.

Stock Picks and Trading · Intraday Alerts
c1916
msg #130723
8/31/2016 10:14:13 AM

In hindsight, what was the signal that attracted you to Raven? On my filters, I didn't see any reason to expect it to drop.

Stock Picks and Trading · Intraday Alerts
c1916
msg #130610
8/26/2016 3:25:47 PM

Black swan event at STJ? Ruh-Roh...

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
c1916
msg #130609
8/26/2016 3:20:31 PM

Isn't this similar to the "Simple Monthly Rotation" theory?

symlist(spy,iwm,efa,agg)
sort on column 5 descending
set{start,date(20150715,close)}
set{ch,close - start}
set{sort,ch / start}
set{sort%,sort * 100}
add column sort%
and draw RSI(15)
and draw TSI(25,13,9)
and draw Aroon Up(25)
and draw Aroon Down(25)
and draw MACD Histogram(12,26,9)
and draw MACD Slow Line(12,26,9)
and draw MACD Fast Line(12,26,9)

You could certainly change the funds to tie closer to the Optimal Momentum guys. Basically, you move your funds into the top rated fund at a fixed date in a given month (on August 1, would have been AGG, which still holds today). I've seen historical results of this somewhere...just can't put my fingers on it right now.

There's also a "Complex Monthly Rotation" that brings in more fund options.

symlist(SPY,EEM,IWM,SHY,DBA,DBB,DBC,USO,XRT,XME,XHB,KBE,VNQ,VTI,VVR,IWP,IWR,IEF,PCY,BKF,IWC,WIP,VBR,AGG,EFA)
sort on column 5 descending
set{start,date(20150715,close)}
set{ch,close - start}
set{sort,ch / start}
set{sort%,sort * 100}
add column sort%
and draw RSI(15)
and draw TSI(25,13,9)
and draw Aroon Up(25)
and draw Aroon Down(25)
and draw MACD Histogram(12,26,9)
and draw MACD Slow Line(12,26,9)
and draw MACD Fast Line(12,26,9)

Note: Not trying to pass this code off as mine. When I find the original notes on this, I'll cite the original author.

Filter Exchange · BIGG Brexit Meeting next week...how is everyone playing it?
c1916
msg #130587
8/25/2016 8:20:15 PM

@kevin. I know that you stated the parameters previously. I wasn't suggesting anything misleading. I assumed that I had not transcribed the settings properly because I was never able to recreate the PTL results (even in test). I assumed operator error on my part, nothing nefarious on your end.

This has been an entertaining exercise. Not ready to give up, but I'll be moving away from the volatility pair for the reasons explained in detail here.

Filter Exchange · BIGG Brexit Meeting next week...how is everyone playing it?
c1916
msg #130585
8/25/2016 7:54:07 PM

Thanks for that Ferndave. It sounds like I may not be as crazy as I initially thought then, as your experience mirrors mine (within reason as I've only seen two round trips).

I wish I knew the specifics behind the algorithm @kevin ran in PTF in June, but the "standard" pairs protocol we were discussing back then (associated with PTL) seems to be a bust.

Filter Exchange · BIGG Brexit Meeting next week...how is everyone playing it?
c1916
msg #130562
8/24/2016 10:52:17 PM

Thanks for the comments.

@ferndave, by tying the PTL portfolio to an IB account, the theory is that one is indeed filling the order at the precise second that the trigger is reached. The issue I've found is that the trigger doesn't seem to be triggering as expected. Clearly I have something incorrect in my portfolio set up. I do not believe that timing of execution is the issue here, getting to the point of actual executing is my issue.

My goal here was to generate PTL code (bound to an IB account) that will result in the current-term equivalent of the June transactions that @kevin posted. The automated trading at IB should ensure that quick (unintended) round tripping won't happen while still firing the entry trade within seconds of the trigger having been reached.

@kevin_in_GA Although using a smaller SD would, in theory, provide for more entry opportunities, I respect the 2.5 SD that you indicated back in June. I just seem to have hit a brick wall in coding PTL to match your PTF findings.

In the end, I have no problem committing sufficient funds to make the $$ amount sufficient as long as the win rate and the average payout are worth the effort. While commissions are always a consideration and they are part of my decision making process, I'm OK with covering the extra event in theory (assuming a resolution is achieved related to the PTL settings).

Not trying to belabor this discussion, but it seems as though there is a solution to be had with this particular pair.

Filter Exchange · BIGG Brexit Meeting next week...how is everyone playing it?
c1916
msg #130550
8/24/2016 4:14:59 PM

@Kevin_in_GA I've been following the VXZ/VIXZ pairs for the past couple of months. I've paper traded since we recently had this conversation, and I'm even further away from clarity on the subject than back in June (although I am completely comfortable with the logic at this point). My guess is that PTL (which I've been using) doesn't have the details that PTF (which you reference) uses, therefore I'm not seeing as many entry points as your June example suggests "should" come into play. For example, I only hit two round trips TOTAL over the past two months, and I'm running those trades off a 1.0 delta (less restrictive than your 2.5 delta), which suggests that I should have seen MORE activity. Additionally, I haven't seen a single entry point for more than 2 weeks, which just doesn't seem right.

Have you continued down this path since June?
Are you willing to discuss it further on/off line?

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