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 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
doing some more work on
Volatility Systems - got sucked into these
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...