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Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #133323
modified
12/20/2016 1:10:57 PM

Me too, I 'm losing trade after trade for 2 weeks , now.
I start considering taking only the sell signals, as long as the market stays in Contango ( or, maybe ,always?)

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #133215
12/14/2016 8:19:11 AM

I remember reading that this " in sync" move VIX- SPX might appear at close to a TOP in the market, when the players start anticipating a turn and buy protection; it makes sense...

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #133173
modified
12/11/2016 12:59:13 PM

miketranz
... The problem is that VIX is ,most of the time, INVERSELY linked to SPY:long VIX=SHORT SPY; if you are long SPY, yes you are in the money, but you took the OPPOSITE signal.

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132941
modified
11/30/2016 7:04:23 PM

...well, I suppose is ^VIX, which is NOT a tradable vehicle.
I think , we are trying to find the best instrument to mirror a ^VIX system ?
Reporting that ^VIX is almost unchanged sine Nov 17 does not help too much, as , in the Real world,
VXX is down 7% and TVIX is down 14%.
My FUTURE spread 1-2 is down 25%, for example.
Just saying : let's talk real world, no?We all know that the Virtual system works: let's see if it also works on the Planet Earth?

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132939
11/30/2016 6:18:51 PM

makhoh

Re.Currently 3 long VIX signals on my end. Those from 11/17 and 11/21 are slightly down and up resp.
The last from 11/30 up some 6 %.

What instrument do you use to calculate the unrealized P&L ?


Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132938
modified
11/30/2016 6:13:43 PM

Re . ferndave post

1.111% down to 20% for a 25 min delay in a buy/sell , using the same instruments? Anybody can explain it?

2. Do you, guys, think it's a good idea to use a 2X for buys( TVIX) and a 1X for sells( XIV) ?

3.what about backtesting a 2X , wasting , vehicle, reverse splitted N times?
- if you buy 5 units, in the backtest, at , example 1000$, you risk immensely more % of your account, no? Can one apply this kind of data to forward-test the system, while controlling the money management side of it, too?

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132773
11/24/2016 12:40:32 PM

... and Corr with GDX, which, I think, is more reasonable , than a 3x reverse splitted N times DUST, is:
^vix 10 day 0.42
^vix 50 day 0.12
^vix 100 day -0.41

Indeed: only dust

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132764
modified
11/24/2016 8:53:39 AM

matt
You're not missing anything

"VIX is the ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the market's expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options. This volatility is meant to be forward looking, is calculated from both calls and puts, and is a widely used measure of market risk, often referred to as the "investor fear gauge."

The only link between VIX and DUST is,,,silllllhs.



Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132755
modified
11/23/2016 9:54:14 PM

I still think:
VIX-DUST= false premise and wrong instrument=just appearance and short term coincidences= I can't believe that anybody , besides sillllhs, pays any attention to this.

I cannot find any significant correlation:
Feb-Jun: VOL goes down , GDX goes UP ( DUST down)
SEP-NOV : no relation
Recently: gold selloff( because of expected rate hike in December)(GDX down, DUST UP), VOL down

https://www.barchart.com/futures/quotes/VIM16/technical-chart#/technical-chart?plot=LINE&volume=contract&data=DO&density=X&pricesOn=0&asPctChange=0&logscale=0&indicators=EXPMA(10);EXPMA(20);EXPMA(50);EXPMA(100);EXPMA(200);SMA(200)&sym=VIM16&grid=1&height=500&studyheight=100&overlay1=dust&axis1


https://www.barchart.com/futures/quotes/VIM16/technical-chart#/technical-chart?plot=LINE&volume=contract&data=DO&density=M&pricesOn=1&asPctChange=0&logscale=0&startDate=2016-02-01&endDate=2016-06-20&daterange=specific&sym=VIM16&grid=1&height=500&studyheight=100&overlay1=gdx&axis1


https://www.barchart.com/futures/quotes/VIX16/technical-chart#/technical-chart?plot=LINE&volume=contract&data=DO&density=M&pricesOn=1&asPctChange=0&logscale=0&startDate=2016-09-01&endDate=2016-11-23&daterange=specific&sym=VIX16&grid=1&height=500&studyheight=100&overlay1=dust&axis1

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #132742
11/23/2016 2:08:28 PM

1. Anybody can tell me what the correlation is between the Gold miners and VIX ???
As far as I know, VIX reflects the volatility of SPX , not of GOLD, GDX, GDXJ ,etc.

2. How can anybody make a profitable system and test it , based on a 3x DUST?( just another wasting product, on the long side) Am I missing something?

see the link /chart, below:

https://www.barchart.com/etfs-funds/quotes/DUST/technical-chart#/technical-chart?plot=CANDLE&volume=contract&data=DO&density=X&pricesOn=0&asPctChange=0&logscale=0&indicators=EXPMA(10);EXPMA(20);EXPMA(50);EXPMA(100);EXPMA(200);MACD(20,50,9);MACD(12,26,9);STOSL(5,3);SMA(200)&sym=DUST&grid=1&height=500&studyheight=100

Based on 1 & 2 , I would never trade this. Just my opinion.

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