Kevin_in_GA
4,599 posts
msg #131543
- Ignore Kevin_in_GA |
9/27/2016 7:43:57 PM
As I just said - "Yes, but the strategy was developed on the ^VIX index, not on VXX. As I have noted here several times, the system is a trigger for trading volatility - how you choose to do that (ETFs, Options, VIX Futures) is up to you." The system is a signaling system, but you cannot properly track the ^VIX with VXX or TVIX so your entries and exits will not be as good.
One of the nice things about the ^VIX is that you can see that it is lower hours before the open, as you can with VXX and XIV. I opted to wait and bought in on VXX at $34.00. How people trade this is up to them. And even with the drop in VXX it does not mean that the trade is busted.
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pthomas215
1,251 posts
msg #131544
- Ignore pthomas215 |
9/27/2016 8:05:54 PM
oh I know Kevin--not saying it's a busted trade--just an entry point argument.
But you helped explain this a lot---I think I just assumed that the closest ETF to the VIX is VXX. I was using those 2 interchangeably. I forgot the variations..
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miketranz
978 posts
msg #131546
- Ignore miketranz |
9/27/2016 8:58:55 PM
Try TVIX @half the price....
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Kevin_in_GA
4,599 posts
msg #131547
- Ignore Kevin_in_GA |
9/27/2016 9:26:49 PM
SIGNALS FOR WEDNESDAY 9/28/16
A NEW ^VIX LONG BUY SIGNAL TRIGGERED BY VIX LONG FILTER #3.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| SHORT ^VIX | 9/27/2016 | 13.36 | - - - - - | 13.10 | -1.95% | | | | | | | |
| 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 | 9/22/16 | 13.41 | -7.28% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/22/16 | 13.41 | +33.32% | | SHORT ^VIX | 9/14/2016 | 17.63 | 9/23/16 | 12.02 | +31.74% |
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pthomas215
1,251 posts
msg #131549
- Ignore pthomas215 |
9/27/2016 9:53:40 PM
kevin, thank you as always for your generosity. Mike, I do usually go with TVIX, as I think there is about an 82% inverse correlation with the S&P.
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miketranz
978 posts
msg #131570
- Ignore miketranz |
9/28/2016 7:42:54 PM
Larry Connors did a study on VIX trading back in 2004."How Markets Really Work" is an excellent read,one which I highly recommend.It's an eye opener.Like Kevin's system,it is basically a long side trade trigger,with very high winning percentages.Professionals know that trading is a numbers game,a percentage game.Anything else,you might as well head to the casino....
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Kevin_in_GA
4,599 posts
msg #131571
- Ignore Kevin_in_GA
modified |
9/28/2016 8:38:26 PM
SIGNALS FOR THURSDAY 9/29/16
NO NEW SIGNALS TRIGGERED.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| LONG ^VIX | 9/27/2016 | 13.36 | - - - - - | 12.39 | -7.26% | | LONG ^VIX | 9/28/2016 | 12.90 | - - - - - | 12.39 | -3.95% | | | | | | | |
| 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 | 9/22/16 | 13.41 | -7.28% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/22/16 | 13.41 | +33.32% | | SHORT ^VIX | 9/14/2016 | 17.63 | 9/23/16 | 12.02 | +31.74% |
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gmg733
788 posts
msg #131572
- Ignore gmg733 |
9/28/2016 10:13:32 PM
Kevin
I show two longs and one short open right now. One long open today and one yesterday. Short opened today. unless there were sell orders from today
Thanks
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c1916
77 posts
msg #131573
- Ignore c1916
modified |
9/28/2016 10:26:40 PM
@Kevin. Like CMG, I'm confused, I read both the 9/27 and 9/28 signals as LONG Vix. You indicate two Short VIX positions in the table 2 messages above here (although the gain/loss suggests that they were both opened long).
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Kevin_in_GA
4,599 posts
msg #131574
- Ignore Kevin_in_GA |
9/28/2016 11:59:36 PM
Typo - now corrected. Thanks.
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