Volatility Systems - got sucked into these

    Posted by matt on 7th of May 2023 at 06:03 pm

    I got sucked into these volatility systems and ended up creating a bunch of them.  I didn't realize there were so many volatility indexes on other things and individual stocks 

    - volatility system for SPY using VIX
    - volatility system for IWM using RVX
    - volatility system for EEM using VXEEM
    - volatility system for crude using OVX
    - volatility system for GLD using GVX
    - volatility system for AAPL using VXAPL
    - volatility system for AMZ using VXAZN
    - volatility system for GOOG using VXGOOG
    - volatility system for GS using VXGS
    - volatility system for IWM using VIBM

    interesting looks like GS went long on Friday as did AAPL

    doing some more work on

    Posted by matt on 8th of May 2023 at 11:46 am

    doing some more work on these volatility systems, would have 12 systems here - if there's not much overlap, which doesn't look like there is, could be a nice basket

    again the systems are very simple just like the VIX /BB system these use the volatility index for the respective instruments getting signals when these close back inside their bands and price has a reversion to mean movement back over a short term MA

    - volatility system for SPY using VIX
    -volatility system for QQQ using VXN
    - volatility system for IWM using RVX
    - volatility system for DIA  using VXD
    - volatility system for EEM using VXEEM
    - volatility system for USO crude oil using OVX
    - volatility system for GLD using GVX
    - volatility system for AAPL using VXAPL
    - volatility system for AMZ using VXAZN
    - volatility system for GOOG using VXGOOG
    - volatility system for GS using VXGS
    - volatility system for IWM using VIBM

    I did a bit of

    Posted by matt on 8th of May 2023 at 01:19 pm

    I did a bit of busy work here: I have 12 daily VIX type systems on 12 ETF's

    I placed the trades on the SPY/VIX, QQQ/VXN, and IWM/RVX into a spreadsheet as a test - again there's 9 other ETF's but this gives you an example of trades - not much overlap here. Also, the QQQ/VXN does more trades than the SPY/VIX 

    you can glance at the 2023,2022, 2021 trades on those three. I have them all the way back to 2008 but for now I grouped those last year years to get a visual of overlap etc. For the trades I simply  used $10,000 for each ETF

    brilliant, thanks for all your

    Posted by morton7 on 8th of May 2023 at 11:59 am

    brilliant, thanks for all your work on the systems...

Newsletter

Subscribe to our email list for regular free market updates
as well as a chance to get coupons!