I'll check - but I was going to post an update on the VIX system
anyway.
The standard VIX Bollinger Bands we show on Stockcharts
obviously uses the standard BB settings of 2;20
The profit factor is about 2 with 77% winning trades when using
a 2 stdv and 20 length on the daily SPY and ES going back 15 years,
which isn't bad - I have the trades closing out on a close back
over the 9 SMA
I ran a backtest and using the settings of 22 for the length
instead of 20 and 2.8 for the Stev for the longs instead of 2.0 and
-2.2 for the shorts instead of -2, and closing over the 9 SMA I get
a profit factor of 31.6 and 89% winning trades
VIX Bollinger Band SPX system using Bollinger Band settings of
22 length with 2.8 Stev for longs and -2.2 for shorts, exits trades
over the 9 SMA, but also scales out at average true range moves
I mention the differences here because this tweaked BB system
won't do a trade every time the standard VIX Stockchart shows one
because I use different settings
I would think we're going to get a close inside the BB but the
day is long. Let's hope it's a trend day and powers up to
4195 ! That will even prove the comment from last week that
was something to the effect of 4/28 to 5/5 is the most bullish week
of the year (Not sure who posted it).
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VIX system likely to go
Posted by jackbnimble on 5th of May 2023 at 10:32 am
VIX system likely to go long today?
I'll check - but I
Posted by matt on 5th of May 2023 at 11:13 am
I'll check - but I was going to post an update on the VIX system anyway.
The standard VIX Bollinger Bands we show on Stockcharts obviously uses the standard BB settings of 2;20
The profit factor is about 2 with 77% winning trades when using a 2 stdv and 20 length on the daily SPY and ES going back 15 years, which isn't bad - I have the trades closing out on a close back over the 9 SMA
I ran a backtest and using the settings of 22 for the length instead of 20 and 2.8 for the Stev for the longs instead of 2.0 and -2.2 for the shorts instead of -2, and closing over the 9 SMA I get a profit factor of 31.6 and 89% winning trades
VIX Bollinger Band SPX system using Bollinger Band settings of 22 length with 2.8 Stev for longs and -2.2 for shorts, exits trades over the 9 SMA, but also scales out at average true range moves
I mention the differences here because this tweaked BB system won't do a trade every time the standard VIX Stockchart shows one because I use different settings
Since we are above the
Posted by jackbnimble on 5th of May 2023 at 03:58 pm
Since we are above the 9sma does that mean no trade?
I would think we're going
Posted by fredsaid on 5th of May 2023 at 11:06 am
I would think we're going to get a close inside the BB but the day is long. Let's hope it's a trend day and powers up to 4195 ! That will even prove the comment from last week that was something to the effect of 4/28 to 5/5 is the most bullish week of the year (Not sure who posted it).