A NEW ^VIX TRADING SYSTEM - StockFetcher.com Stock Screener

StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM

<< 1 ... 11 12 13 14 15 ... 49 >>Post Follow-up

Kevin_in_GA
4,599 posts
msg #131605
- Ignore Kevin_in_GA

9/29/2016 4:58:40 PM

Now can you answer the question straight, have you looked into creating a system with the same
concept directly through Vxx?

Of course I have - I relatively quickly found 10 long and short systems that met my core criteria of 90% win rate and at least 20 trades each over the last five years. You could too if you were willing to put in a day or two to learn how.

The challenge with VXX is the constant drag of contango. Over a shorter time frame like these trades (10 days), there are only a few highly successful long VXX signal systems, and obviously lots of profitable short systems. However, by using the ^VIX as the signaling system, it seems that you can trade VXX long profitably in a way that I did not see from my brute force searches on VXX itself.

Kevin_in_GA
4,599 posts
msg #131607
- Ignore Kevin_in_GA

9/29/2016 7:29:35 PM

SIGNALS FOR FRIDAY 9/30/16

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	- - - - -	14.02	+4.94%
LONG ^VIX	9/28/2016	12.90	- - - - -	14.02	+8.68%

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%

dtatu
143 posts
msg #131614
- Ignore dtatu
modified

9/30/2016 6:18:09 AM

re:The system is promising, but has trouble tracking Vix.

Just an idea : ( go again to : http://vixcentral.com/ , then click on the contango tab, then choose VIX Spot and F1-F2 Contango which will project their comparative graphs, and ZOOM !):

1. what about trading the Spread futures F1-F2 for long signals and F2- F1 for shorts ( eg. for a Long now, you would buy 1 Oct contract and sell 1 Nov and play the spread only; this would also limit the drawdowns,which could be very violent, in real life, in VIX?)

2. Did you try to take the opposite trade in SPY? ( for long VIX ,short SPY,etc.)

pthomas215
1,251 posts
msg #131623
- Ignore pthomas215

9/30/2016 11:38:22 AM

dtatu, could you explain how you interpret it? I did the F1 and F2--not sure I understand how I use the chart as a predictive model for vix? Thank you.

dtatu
143 posts
msg #131631
- Ignore dtatu
modified

9/30/2016 1:14:04 PM

No, i's not at all a predictive model for the VIX spot: I only see it as a possible way to trade the VIX system above, ( and maybe a more prudent one) as the VIX index cannot be traded.

If you move your cursor on the graph from Sep 7 to 14, you can see that:
1. VIX spot goes from 11.94 to 18.14= an increase of almost 52%
2. the difference between F2 and F1( 2 nd month minus front month) drops from 19.28% to 2.72%= a drop of 86 % ! this means that the front month(F1) advances much more than the second month (F2) when the VIX spot goes up.If the price of F1 becomes higher than F2= Backwardation ( bullish for VIX- bearish for the markets)

So, if the system gives a buy signal, one buys 1 Vix futures front month(F1) and simultaneously sells short the 2 nd month (F2) , hoping that F1 will gain more than the loss in F2( the spread narrows). When one exits on an exit signal, one closes BOTH in the same time as a spread again ( sells to close F1 and buys to close F2)

Hope it' s clearer?
Any opinions on this alternative / surrogate for VIX spot are welcome , of course.

pthomas215
1,251 posts
msg #131634
- Ignore pthomas215

9/30/2016 2:40:39 PM

I think i get it now...thank you.

BarTune1
441 posts
msg #131638
- Ignore BarTune1

9/30/2016 3:10:23 PM

I did some reading and it may be possible to construct a synthetic long on the VIX by buying a near-term VIX call and selling a near-term VIX put. Normally a Call - Put = forward or synthetic stock. You could create a synthetic short by selling the call and buying the put.

Looking at the CBOE site today ... they have the VIX trading at 12.77 down 1.25 (delayed).

There seems to be decent volume on October 2016 (Expiration: 10/05) calls and puts.

The call shows

VIX1605J13.5-E 0.70 -0.90 0.55 0.70 2687 3065

The put at the same strike shows

VIX1605V13.5-E 0.50 +0.30 0.40 0.55 4757 14346

If you were long the call ... you'd be down 90 cents on the contract and you'd also be down 30 cents on the put as its up today 30 cents. The last column is volume so there is decent liquidity in these contracts.

The net combination is that you'd be down $1.20 today on this synthetic VIX share whereas they have the VIX being down $1.25 (almost 10%). That looks like decent tracking. I have the VXX down 4.92%.

I'm not sure about all this - I've traded alot of options but never VIX options on the CBOE. Just putting this out there for discussion purposes.

Kevin_in_GA
4,599 posts
msg #131645
- Ignore Kevin_in_GA
modified

9/30/2016 9:57:23 PM

SIGNALS FOR MONDAY 10/3/16

A NEW LONG BUY SIGNAL WAS TRIGGERED FROM VIX LONG SIGNAL #9.

OPEN TRADES	Date Opened	^VIX Opening Value	Date Closed	^VIX Closing Value	Net Gain/Loss (%)
LONG ^VIX	9/27/2016	13.36	- - - - -	13.29	-0.52%
LONG ^VIX	9/28/2016	12.90	- - - - -	13.29	+3.02%

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%

mahkoh
1,065 posts
msg #131648
- Ignore mahkoh
modified

10/1/2016 6:05:31 AM

My take:

For long signals sell deep in the money ^VIX calls 2 - 3 weeks out. The premium involved is usually over 70 % so you have a big time decay advantage.

For short signals use this filter

The top pick will give you the stock that most correlated with ^VIX during the last 20 days. No guarantee that it will perform likewise in the next 10 days, but it may be the best guess.

dtatu
143 posts
msg #131649
- Ignore dtatu
modified

10/1/2016 7:57:49 AM

mahkoh,
re.For long signals sell deep in the money ^VIX calls 2 - 3 weeks out. The premium involved is usually over 70 % so you have a big time decay advantage:

maybe you could give us an example , this weekend, of a choice of a deep in the money call?
Not sure it's clear for me. Why would you sell short calls if you get a Buy signal? I'd rather do it on the system Sell signal?
When VIX goes up, it goes in big fast spikes,which could give you big drawdowns on the short calls.

StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM

<< 1 ... 11 12 13 14 15 ... 49 >>Post Follow-up