| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 2 3 4 5 ... 49 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #130887 - Ignore Kevin_in_GA |
9/5/2016 8:18:08 PM So how would you handle the higher leverage of Tvix to Xiv? The specific instrument you choose is up to you - higher returns for TVIX but also a potentially larger drawdown. The simple solutions are: 1. Take a half position in TVIX versus a full position in VXX (lower risk, lower potential return). 1. Ignore the difference since each long trade is independent of any simultaneous short trade (higher risk, higher total return). 3. Take a double position in XIV if you plan to trade TVIX (highest risk, highest return). My point was only that in the backtest the leverage was the same - trading TVIX instead of VXX should work as well and provide a higher return. |
| StefanM 25 posts msg #130891 - Ignore StefanM |
9/6/2016 3:27:59 AM @Kevin, did you create a Mulri-System in StrataSearch and then run a Walk-Forward Analysis? I also use StrataSearch, but it is not so easy for me to understand, German is my first language and my trading style has been more discretionary, so all this is quite new to me .. |
| Kevin_in_GA 4,599 posts msg #130892 - Ignore Kevin_in_GA |
9/6/2016 7:38:33 AM No - it is very challenging to run a WFA on a multi-system since it typically uses 4-12 different settings per system which each need to be periodically re-evaluated (e.g., once per month) - raised to the 20th power since it must be done on all 20 systems in the multi-system each time. The goal of a WFA is to see how a system does against new (out-of-sample) data, which I did using the period 1999-2009. |
| StefanM 25 posts msg #130893 - Ignore StefanM |
9/6/2016 8:57:25 AM Sorry but I only understand partially what you mean. What I want to understand is how you get the 2 equity curves for 20 different setups. Obviously you combine them. You run a brute force, find the 20 systems, and combine them in a multi strategy setup? This brings up your first equity curve. And how do you bring up the second curve with the out-of-sample data? I did not understand if the curve is the result of a WF analyse, of it you used another tool of StrataSearch. I do not ask so much about details of your strategy but more about a "how-to" in StrataSearch .. |
| Kevin_in_GA 4,599 posts msg #130895 - Ignore Kevin_in_GA modified |
9/6/2016 9:50:04 AM You combine the 20 systems developed against the data from 2011-2016 into a multi-system. Then you change the trade settings to run over a new period (I chose 1999-2009) and you run the multi-system against that period. That is how the second curve and stats are developed. I do not ask so much about details of your strategy but more about a "how-to" in StrataSearch That is what I would like to avoid here - I would rather have this thread be focused on the trading system itself rather than how to do things in Stratasearch. I would suggest reviewing the documentation and looking through the forums over at Stratasearch.com - you will find the answers to most of your questions. Thanks, Kevin |
| StefanM 25 posts msg #130898 - Ignore StefanM |
9/6/2016 12:08:06 PM Yes of course, I understand you. Thank you .. :-) |
| Kevin_in_GA 4,599 posts msg #130900 - Ignore Kevin_in_GA modified |
9/6/2016 12:40:20 PM Weird day - the ^VIX index is up right now (+2.2%) but VXX is DOWN -1.78%. That is pretty crappy tracking if you ask me. I placed a limit order for 1000 shares of VXX at $34.00. Waiting to see of it fills. 14:55 PM - order filled at $34.00. |
| shillllihs 6,097 posts msg #130901 - Ignore shillllihs |
9/6/2016 12:43:55 PM All I could say about Tvix is, August 24, 2015 Vix spiked big, It took Tvix until sept 1st to spike to its high. Might just be delayed. Maybe 1 day when you find time, you can create an all in 1 SF. friendly watered down version of these. |
| Mactheriverrat 3,172 posts msg #130902 - Ignore Mactheriverrat |
9/6/2016 2:30:28 PM So goes XIV , So goes SPY. XIV a few says faster than SPY. Just saying!  |
| Kevin_in_GA 4,599 posts msg #130910 - Ignore Kevin_in_GA modified |
9/6/2016 4:13:06 PM Looks like a new LONG entry signal from VIX LONG SIGNAL #2. Not sure if the open short position will trigger an exit - I will confirm both tonight with the Stratasearch nightly email of these signals. Right now I am holding 2 units of 1000 shares each (my chosen unit size). Therefore I do not need to enter another long position tomorrow if the signal is confirmed - you can act on this signal as you see fit. UPDATE: The Stratasearch filters are indicating no new positions. |
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