Kevin_in_GA
4,599 posts
msg #131172
- Ignore Kevin_in_GA |
9/15/2016 6:41:24 AM
Using the SF code, yes. However, the original Stratasearch code does not show this as triggering, possibly due to small differences in the way indicators are calculated. Your call on this - if you have not taken any short positions you are able to enter at a better price than several of the filters that triggered earlier.
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Kevin_in_GA
4,599 posts
msg #131192
- Ignore Kevin_in_GA |
9/15/2016 10:00:37 PM
SIGNAL UPDATES FOR FRIDAY (9/16/16) 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 | -30.19% | | SHORT ^VIX | 09/12/16 | 20.13 | - - - - | 18.14 | 19.03% | | SHORT ^VIX | 09/12/16 | 20.13 | - - - - | 18.14 | 19.03% | | SHORT ^VIX | 09/14/16 | 17.63 | - - - - | 18.14 | 7.54% | |
| 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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shillllihs
6,097 posts
msg #131193
- Ignore shillllihs
modified |
9/15/2016 10:02:20 PM
So I've been watching these the last 2 days at close, and both times it showed 1 or 2 entries to go
long Vix only to disappear after hours. Odd. Plus, what happened to the late buy signal on no.5?
Did that vanish?
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ericeira
23 posts
msg #131195
- Ignore ericeira |
9/15/2016 10:40:51 PM
Thanks Kevin , i will open an account with Stratasearch and try it , hope its easy to set up .
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shillllihs
6,097 posts
msg #131225
- Ignore shillllihs |
9/16/2016 7:48:45 PM
Yeah, many false signals, this flashes long entries 3 days in a row then late in ah. disappears.
Not reliable.
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Kevin_in_GA
4,599 posts
msg #131228
- Ignore Kevin_in_GA |
9/16/2016 10:11:05 PM
A couple of points here -
1. This filter uses the ^VIX index as the main trigger, which is NOT updated until several hours AFTER the close each day. The signals are not meant to be traded intraday (in fact, they can't be because the ^VIX data input is from yesterday, not today). This is a limitation of SF, not the system.
2. I post the "official" signals each night, which are traded as market orders at the open. I use the Stratasearch signals since all of the backtesting data I posted on the first page is from SS (not SF, not traded at the close of the signal day).
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Kevin_in_GA
4,599 posts
msg #131229
- Ignore Kevin_in_GA |
9/16/2016 10:26:59 PM
SIGNAL UPDATES FOR MONDAY (9/19/16) AT THE OPEN:
A NEW ^VIX LONG SIGNAL HAS BEEN TRIGGERED FROM ^VIX LONG SIGNAL #9
ONE OF THE TWO ^VIX SHORT POSITIONS TAKEN ON 09/12/16 (CURRENTLY UP +23.65%) WILL BE BOUGHT-TO-COVER AT THE OPEN ON MONDAY.
THE OTHER THREE SHORT POSITIONS CONTINUE TO BE HELD.
| OPEN TRADES | Date Opened | Opening Value | Date Closed | Closing Value | Net Gain/Loss (%) |
| SHORT ^VIX | 09/09/16 | 12.52 | - - - - | 18.14 | -22.76% |
| SHORT ^VIX | 09/12/16 | 20.13 | - - - - | 18.14 | 23.65% |
| SHORT ^VIX | 09/12/16 | 20.13 | - - - - | 18.14 | 23.65% |
| SHORT ^VIX | 09/14/16 | 17.63 | - - - - | 18.14 | 12.82% |
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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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shillllihs
6,097 posts
msg #131230
- Ignore shillllihs |
9/16/2016 11:08:00 PM
A true winning system. So do you believe you will be trading this exclusively, and do you
think you can duplicate these results using Tvix or Spy as a model through Spxl/Spxu or Tna/Tza as surrogates?
Would make it SF friendly and would come in handy in case you fell ill or decided to take
a holiday.
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Kevin_in_GA
4,599 posts
msg #131233
- Ignore Kevin_in_GA |
9/17/2016 12:11:35 PM
A true winning system. So do you believe you will be trading this exclusively, and do you
think you can duplicate these results using Tvix or Spy as a model through Spxl/Spxu or Tna/Tza as surrogates?
Would make it SF friendly and would come in handy in case you fell ill or decided to take a holiday.
++++++
I am already trading this pretty much exclusively in my IB account, with an occasional other trade mixed in. I am using XIV and VXX as surrogates, but they are not good at tracking the VIX. Frankly I think looking at even more distantly related leveraged ETFs is probably not the way to go - the best tracking for this (and frankly the best leverage) is likely to be found in trading VIX futures. This is something I will soon be exploring using a paper-trading account and will post the results here for others to review.
And why would you rely on SF code (or me) when you can use Stratasearch and I have literally given you every line of code necessary to set this up yourself? Stratasearch sends out nightly emails with every signal and daily updates on all open positions for any signal system. It takes all the guesswork and emotion out of the trades, which is a good thing.
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shillllihs
6,097 posts
msg #131239
- Ignore shillllihs
modified |
9/17/2016 6:34:10 PM
Well I thought about doing joining SS. And really didn't want to start paying for something
I was not sure I was going to comprehend. Tech. Stuff is not me but I'm pretty sure I'd get the hang
of it.
Final questions, unless i'm misunderstanding, I get that you're using Vxx as a model
but are there systems that use, let's say Tvix directly l and if so wouldn't that solve the problem
of trying to use ETFs to fit Vxx?
Also, I believe we are in a second long range bull market according to some very accurate long
term indicators that I use. If I were to integrate this system, knowing there was a long range bias
pointing at a bull market would you play both long and short moves, or only long or short.
My long range system had me in Xiv around 7 and out at 45 from 2011 to 2014, I should be satisfied
with these results but just being greedy.
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