Kevin_in_GA
4,599 posts
msg #131255
- Ignore Kevin_in_GA |
9/18/2016 11:34:02 AM
SS can do what I did for the ^VIX here on any stock, sector, or index.
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Kevin_in_GA
4,599 posts
msg #131293
- Ignore Kevin_in_GA
modified |
9/19/2016 10:26:23 AM
Paper trading VIX Oct 19 2016 futures - long at 17.00 (this is to replicate the VIX BUY signal from last Friday).
I also took a position in VXX at $37.00 ( with real money) as well so we can see how these compare over the course of the next few trades.
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c1916
77 posts
msg #131300
- Ignore c1916
modified |
9/19/2016 12:48:43 PM
If I understand GMG's theory, on a "Long" signal as was triggered over the weekend for this morning, the better way to play this is to buy a VXX Call, so I'm going to try trading today's signal on paper in that way:
Buy 9/23 $37.50 Call and,
Sell 9/23 $41.00 Call for risk reversal.
Earlier this morning this trade cost me 99 cents. (note: I missed the open when this probably would have been $0.90, but mid-morning would have been ideal as this trade bottomed out at $0.67)
Since Kevin has a 10 day max holding period, it probably would have been more correct to play this with a 9/30 target, but the signals have been coming fast on this system, so this was a personal preference call. Not sure why Kevin went with an October target on his paper trade.
Conversely, if this had been a "Short" signal, do I understand that the play would have been to sell an in the money call while buying an at the money call for risk reversal purposes? For example, if today's signal had been to short Vix, the play might have been to:
Sell 9/23 $35.00 VXX Call and
Buy 9/23 $38.00 VXX Call?
Collecting about $1.75 premium while waiting for the move down?
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Kevin_in_GA
4,599 posts
msg #131301
- Ignore Kevin_in_GA |
9/19/2016 1:10:08 PM
Not sure why Kevin went with an October target on his paper trade.
+++++++++
The only futures available to trade were the Sep 21 or the Oct 19, so the one expiring on Wednesday was not really a good choice. These are futures not options. Besides, the ^VIX is built off of the futures so this should be a good surrogate for the index - not sure if options really are even though they might be a good way to trade the signals.
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shillllihs
6,046 posts
msg #131303
- Ignore shillllihs |
9/19/2016 1:19:21 PM
you could short Tvix or Xiv to take advantage of decay. A few days play should be safe.
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c1916
77 posts
msg #131304
- Ignore c1916 |
9/19/2016 1:19:49 PM
Ah...I missed that. You're paper trading the futures on the actual VIX. My mistake.
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shainadir
25 posts
msg #131306
- Ignore shainadir |
9/19/2016 2:49:32 PM
Kevin,
Which signal produced the vix long signal for Friday? I ran all the signals collectively and individually and did not come back with a long signal for the past Friday. Thanks.
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Kevin_in_GA
4,599 posts
msg #131307
- Ignore Kevin_in_GA |
9/19/2016 2:50:11 PM
you could short Tvix or Xiv to take advantage of decay. A few days play should be safe.
++++++++
That is an option, but my goal in paper trading the futures is to replicate as closely as I can the movements of the ^VIX. And more likely the movements of VXX and XIV are being driven by the futures and options expirations this Wednesday (as well as the FOMC rate decision announcement).
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Kevin_in_GA
4,599 posts
msg #131308
- Ignore Kevin_in_GA |
9/19/2016 2:52:23 PM
@shainadir:
Kevin_in_GA
3,729 posts
msg #131229
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
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scottgboyle
4 posts
msg #131311
- Ignore scottgboyle |
9/19/2016 6:07:46 PM
Kevin,
I noticed that a couple of the signals use indicators that are derived from volume. How does StrataSearch perform the calculations for those indicators using the ^Vix since there does not appear to be any volume for this index?
One of your recent posts discusses the use of @VX futures for this system. How will you handle simultaneous long/short open positions? Separate accounts, net position, different contract months?
I opened up a trial account with Stratasearch over the weekend and started looking at these systems but can't seem to simulate the signals. Do I start off creating individual signal setups and then combine into one multisystem setup? I did go through some of the tutorials but do you have any quick tips to get started?
Thank you for your time and efforts
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