kibo
14 posts
msg #133349
- Ignore kibo |
12/21/2016 3:41:14 PM
I am still holding with a lot of loss, but contagon seems to be coming down. I don't know if I should hold or sell on the next up leg and cut my losses.
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kibo
14 posts
msg #133350
- Ignore kibo |
12/21/2016 4:00:49 PM
As a follow up I see CMF of SPX has become barely negative finally. Everytime that happened, we had min 30points drop. I still don't know if VIX will spike on the drop because of contagon. This is specially true as SPY closed below 226.
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Kevin_in_GA
4,599 posts
msg #133351
- Ignore Kevin_in_GA |
12/21/2016 5:00:08 PM
I have the current Contango level at 10.97% (remember that the ^VIXDEC futures expired yesterday, so all calculations are now based off of ^VIXJAN as the front month):
(^VIXFEB - ^VIXJAN)/^VIXJAN = (15.68 - 14.14)/14.13 = 1.55 / 14.13 = 10.97%
That is still high. These conditions favor shorting the VIX-based ETFs.
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gmg733
788 posts
msg #133353
- Ignore gmg733 |
12/21/2016 11:04:15 PM
I just want to throw in some casual observation. I know everyone is getting wrapped around contango but keep in mind the indices have had a two standard deviation move. What do we expect the Vix to do? And this the fall the Vix has barely moved at all.
The point being that contango and backwardation are a result of changes in the Vix term structure between front and long dated months. Yes it is the source of the painful drag in Tvix and Uvxy. My position is we have a lack of volatility issue going on. If we didn't we would be talking about how great our trading is.
I believe in Kevin's work. We are just in an outlier move situation that happens rarely.
Good trading all.
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Kevin_in_GA
4,599 posts
msg #133363
- Ignore Kevin_in_GA |
12/22/2016 9:16:57 PM
One new SHORT ^VIX signal for tomorrow, 6 ongoing LONG ^VIX signals.
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shillllihs
6,046 posts
msg #133411
- Ignore shillllihs |
12/27/2016 10:39:44 AM
So there are so many brilliant minds here, has anyone created a system similar to this yet
with SPXL SPXU, TNA TZA? No VIX to stand in the way. Seems like the most logical
solution. That being said, this is a fine system for going short.
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kibo
14 posts
msg #133413
- Ignore kibo |
12/27/2016 4:35:18 PM
The contago has rendered the system useless... Now VIX and UVXY/TVIX have negative correlation! VIX is up 4% and UVXY down 3%!!! Its ridiculous. I guess if we want to get back to where we were we need around 30-40% move on VIX.
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dtatu
143 posts
msg #133415
- Ignore dtatu |
12/27/2016 11:21:50 PM
Well, maybe you should go back and read or re-read the whole forums posts?
1. The system was backtested mostly on periods of Contango as this happens in 80 % of the time.
2.Maybe you should not trade TVIX & Co. if you do not know or read how they work, first? This was already covered here, on many occasions
3. Yes, it's sad: this idealistic system does not seem , so far, to find its real world equivalent instrument .
4. Maybe Kevin can help us and re -back test it while using only with the SELL signals? I think it might be closer to reality , that way? Actually, the reality, in this particular case might surpass the theoretical results?
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shillllihs
6,046 posts
msg #133459
- Ignore shillllihs |
1/1/2017 5:00:28 PM
Kevin, if you would be so very kind, how would of Xiv Vxx have performed from July 2014 to dec.2015
using this system? Would long have been better than shorting or vice versa. The reason I ask is because my long term indicators would have kept me out of the market for 18 months.
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kibo
14 posts
msg #133464
- Ignore kibo |
1/2/2017 7:58:12 AM
OK the last trade is now in the money but not by a huge margin compared to huge draw down. But this is very promising... Thanks Kevin for this. I think it can be optimized. I will try to see if I can re-implement it using python and post it here. That's mainly because I don't have SS account.
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