pthomas215
1,251 posts
msg #131070
- Ignore pthomas215 |
9/11/2016 12:23:17 PM
From a Money Morning article today....
""Whether Friday's sell-off is the end of the unprecedented period of low volatility they we saw this summer remains to be seen.The VIX popped five points (40%) yesterday to 17.50 but is still below its long-term average of 19 or so.""
Manoh, it appears you are correct on that 19 number for the VIX.
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gmg733
788 posts
msg #131075
- Ignore gmg733 |
9/11/2016 2:23:06 PM
Learned an interesting fact about presidential (and this year I use that term loosely) is in the past 17 elections the market has been down a minimum of 5% prior to November and on average 11%. I don't know if the 11% took into account the 2008 outlier move or not. Nonetheless, always good to try and maintain a little short delta. Most of these moves last 5-7 weeks.
I hope vix does not go back to the teens. What a lot of folks don't realize is no one really makes money when vol is so low. When we have healthy vol everyone long or short and make some bucks.
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shillllihs
6,097 posts
msg #131113
- Ignore shillllihs |
9/12/2016 2:11:00 PM
Good system. Did you pull the trigger?
What are the current signals?
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Kevin_in_GA
4,599 posts
msg #131126
- Ignore Kevin_in_GA |
9/12/2016 8:59:22 PM
SIGNAL UPDATES FOR TUESDAY (9/13/16) AT THE OPEN:
1. A NEW LONG BUY SIGNAL has been triggered from VIX LONG FILTER #9
2. THE 2 OPEN LONG POSITIONS WERE SOLD AT THE OPEN ON MONDAY (CLOSING up 61.66% and 60.37% respectively). If you were trading VXX your gain would have been 13.98% and 12.77% - not too shabby.
3. THE THREE CURRENT SHORT POSITIONS (ONE ENTERED ON 9/9/16 AND TWO ENTERED ON 9/12/16) CONTINUE TO BE HELD (the first down 21.09% but the other two up 24.69%).
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shillllihs
6,097 posts
msg #131127
- Ignore shillllihs |
9/12/2016 9:54:00 PM
A couple questions, you have a max hold time of 10 days regardless if exit has triggered or not?
What does it mean when there is a a 2 in the exit column. Any relavence?
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Kevin_in_GA
4,599 posts
msg #131130
- Ignore Kevin_in_GA |
9/13/2016 8:02:46 AM
A couple questions, you have a max hold time of 10 days regardless if exit has triggered or not?
What does it mean when there is a 2 in the exit column. Any relevance?
++++++++++
1. Yes - you close the position regardless of profit or loss.
2. The code for the exit is "close if X OR Y occurs" and SF code requires you to look for either one using the count() function. As a result, there are times when both exit criteria are triggered and you get a 1 + 1 = 2 result in the column.
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pthomas215
1,251 posts
msg #131133
- Ignore pthomas215 |
9/13/2016 10:49:07 AM
Kevin, I just want to write a quick thank you. Your updates on your VIX system help improve judgement on what is going to happen. Your system helps to manage risk--Much appreciated.
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Kevin_in_GA
4,599 posts
msg #131146
- Ignore Kevin_in_GA
modified |
9/13/2016 8:53:07 PM
SIGNAL UPDATES FOR WEDNESDAY (9/14/16) AT THE OPEN:
A NEW SHORT SELL SIGNAL has been triggered from VIX SHORT SIGNAL #1 - this position will be opened at the start of trading tomorrow.
THE LONG POSITION FROM VIX LONG SIGNAL #9 OPENED THIS MORNING IS TO BE CLOSED AT THE OPEN TOMORROW - currently up 11.70%.
THE THREE CURRENT SHORT POSITIONS (ONE ENTERED ON 9/9/16 AND TWO ENTERED ON 9/12/16) CONTINUE TO BE HELD (the first down 42.57% but the other two up 11.33%).
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Kevin_in_GA
4,599 posts
msg #131165
- Ignore Kevin_in_GA |
9/14/2016 7:55:56 PM
SIGNAL UPDATES FOR THURSDAY (9/15/16) AT THE OPEN:
No new signals.
| OPEN TRADES | Date Opened | Opening Value | Date Closed | Closing Value | Net Gain/Loss (%) |
| SHORT ^VIX | 09/09/16 | 12.52 | - - - - | 18.14 | -44.89% |
| SHORT ^VIX | 09/12/16 | 20.13 | - - - - | 18.14 | 9.89% |
| SHORT ^VIX | 09/12/16 | 20.13 | - - - - | 18.14 | 9.89% |
| SHORT ^VIX | 09/14/16 | 17.63 | - - - - | 18.14 | -2.89% |
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| CLOSED TRADES | Date Opened | Opening Value | Date Closed | Closing Value | Net Gain/Loss (%) |
| SHORT ^VIX | 08/29/16 | 14.07 | 09/08/16 | 11.76 | 16.42% |
| LONG ^VIX | 09/06/16 | 12.54 | 09/12/16 | 20.11 | 61.66% |
| LONG ^VIX | 09/09/16 | 12.44 | 09/12/16 | 20.11 | 60.37% |
| LONG ^VIX | 09/12/16 | 15.98 | 09/13/16 | 17.63 | 10.32% |
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ericeira
23 posts
msg #131170
- Ignore ericeira |
9/14/2016 11:14:31 PM
I Kevin thanks for sharing ... do we have a NEW SHORT SELL SIGNAL VIX SHORT SIGNAL #5 ?
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