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'll check - but I
VIX system likely to go long today?
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?