gmg733
788 posts
msg #132341
- Ignore gmg733
modified |
11/3/2016 12:50:49 PM
@BarTune1
Bingo. If you look at VXX there is a daily roll where you sell a cheap item in the front month to buy a higher price product in the back month or a negative drag while in contango which it is like 80% or the time. Not sure of the stat, but it usually is historically in contango most of the time. VXX gains when it is selling a higher product and buy a lower priced one or Backwardation. While the VXX is a long vol product it is a negative drag product. While XIV is a short vol product it has a positive drag.
If you think vol is going down, you can sell call spreads or short the VXX effectively. The assumption is it has gone up and at a state when you feel it should be sold. You have mean reversion working for you and drag.
If you think vol is going to go up, I think you are screwed. You would think sell calls or shorting SVXY or XIV would work and it can, but you are fighting positive drag too. I'm less inclined to take that trade because drag is working against me.
And there in lies the issue. However you can sell VIX put spreads will get you long, or one of the other methods I mentioned.
This year selling VXX ITM call spreads has been an ATM machine for me. Down on a trade right now, but as drag kicks in and we have one or two up days, I'll be green. Manage early.
***VIX is in contango 88% of the time on average
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dtatu
143 posts
msg #132354
- Ignore dtatu |
11/4/2016 4:59:03 PM
... also, according to Mark Sebastian , a convincing backwardation should have an inverse curve in at least 2 consecutive months , in order to suggest a sustained period of increased VOL ( now , it would be: NOV>DEC and DEC> JAN, which is not the case, yet: )
http://vixcentral.com/
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shillllihs
6,097 posts
msg #132355
- Ignore shillllihs |
11/4/2016 5:54:09 PM
This is ridiculous since the damage would be done. Why ever listen to so called experts. Backwardation doesn't last more than 2 months.
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dtatu
143 posts
msg #132359
- Ignore dtatu
modified |
11/4/2016 9:33:06 PM
Well, I guess, the definition of damage is relative: ( maybe you should define it?)
For example, if you're a longer term investor , you would not , yet, have a sell signal, by any means
https://www.barchart.com/futures/quotes/ESZ16/technical-chart#/technical-chart?plot=CANDLE&volume=contract&data=MC&density=M&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=ESZ16&grid=1&height=500&studyheight=100
... maybe , also, you should read his credentials?
... being a floor trader for 10 years, running a hedge fund , etc, makes his expertise, sorry, much more credible than others ...
...if anybody is a so called expert, I would rather name us...
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dtatu
143 posts
msg #132368
- Ignore dtatu
modified |
11/6/2016 10:01:35 AM
I would kindly ask you, guys, to post the new signals for Tue to Fri , as I will travel and have no access to Stratasearch and as I am , like some of you, having some open positions, going against my preffered direction :
Thanks
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pthomas215
1,251 posts
msg #132369
- Ignore pthomas215 |
11/6/2016 10:14:52 AM
I will post your signals for you for Tues to Fri.
Trump wins: Long TVIX for 3 days
Clinton wins: Short TVIX for 3 days (and buy Ruger and Smith and Wesson)
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Kevin_in_GA
4,599 posts
msg #132370
- Ignore Kevin_in_GA |
11/6/2016 10:19:58 AM
@dtatu:
Have you not set these up as a nightly signal? If so, just leave SS running and you will get the signals as a nightly email.
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nibor100
1,096 posts
msg #132375
- Ignore nibor100 |
11/6/2016 1:10:00 PM
Kevin,
I decided to try coding the price channel screen portion of VIX LONG SIGNAL #1 in SF to see if I could get it to work properly and to better learn the SF coding language I got it to work after several tries so that it matched what Stock Charts explains as the methodology for Price Channels.
Yesterday I started my SS 30 day trial so I could check on how SS calculates Price Channels, after following your instructions for downloading ^VIX price data and creating a single symbol sector and I was able to verify by using the SS charts that SS calculates Price Channels in the same manner as Stock Charts. com explains and also that the results matched my SF filter results So I was feeling fairly confident.
Then I pasted your SS code snippet ; ' (pcu(15)-pcl(15) < mov(pcu(15)-pcl(15), 15, simple))' into the Indicator Entry box for adding a Chart Value in SS and it also turned out to match that portion of my SF filter.
However, neither my SF filter nor the SS chart show a buy signal for the Price Channel portion of VIX LONG SIGNAL #1 for Sep 2nd which is one of the long signals you reported in your msg of Sep 5th.
Since VIX LONG SIGNAL #1 has 3 conditions separated by 'AND' I'm assuming the Price Channel portion must signal a Buy along with the other 2 signals or its not a signal.
Is there an easy way you can verify that signal again for Sep 2nd and provide the values for pcu(15),pcl(15),(pcu(15)-pcl(15), and mov(pcu(15)-pcl(15), 15, simple) so I can double check my results.
That would be a big help,
Ed S.
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dtatu
143 posts
msg #132376
- Ignore dtatu |
11/6/2016 2:40:50 PM
1. Thanks for the help, pthomas
2. Kevin: yes, I did configure the emails, but I do not receive them, unless I run them manually. I think I need to configure my PC to stay Awaken at least until the run of 11 PM Eastern is completed, as the program does not seem to wake it up in order to do its routine?
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pthomas215
1,251 posts
msg #132379
- Ignore pthomas215 |
11/6/2016 6:06:20 PM
dtatu, that's just what I am doing in the short term. But all the others here, especially Kevin, analyze technicals way more. My point is that the election has thrown things off a bit--I might not hold positions for very long given the craziness. We will see a rebound to several green days regardless of the election soon in my humble opinion.
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