Posted by timebandit on 2nd of Jun 2023 at 11:40 am
$VVIX moving up today despite thestrength in the markets,
well above the lower band at the moment. $VVIX:$VIX approaching the
upper band, not there yet
on the VIX and VVIX stats - I ran a backtest on the MA exits for
longs and shorts. I kept the Bollinger Band 2.0 settings the
same
for the VIX longs exit over 9 SMA, shorts exit over 8 SMA. For
VVIX long exit over 9 SMA, shorts over 5 SMA
as you can see the VVIX stats are superior as far as PF of 3.76
vs only 1.8 on the VIX, and 79% vs 76%
a lot more trades on the VIX - 175 vs 120 for the VVIX but the
total profit is not that different, which shows you that overall
the VVIX signals were better than the VIX
Matt thanks for this detail. I have been trading the VIX system
quite religiously over the past 8 years and have found that the PF
is not great compared to the other systems you have developed.
Which indicator or other trigger could be added to improve these
stats.
Hey Mundy yep the standard VIX strategy only has about a 2
profit factor, the VVIX is better at 3.7. Since the standard
settings is what we have on the charts that's why I showed that. If
you recall a while back I showed a VIX strategy with a PF of 29 -
it was so much higher because it used a non standard Bollinger Band
length and settings for the standard deviations. I don't have my TS
up at the moment so I'm going on memory for the settings but the
Bollinger Bands settings of 20 for the length and STD of 2 is
standard. I was using something like 2.5 and 2.7 for the standard
deviations, which is MUCH harder to trigger, and also much more
accurate and much higher PF, but you get less trades too
I'm still panning to add those VIX systems or volatility systems
- it's hard to to do everything, I really need an assistant, I can
only do so much with the time I have
$VVIX moving up today despite
Posted by timebandit on 2nd of Jun 2023 at 11:40 am
$VVIX moving up today despite thestrength in the markets, well above the lower band at the moment. $VVIX:$VIX approaching the upper band, not there yet
and there's those VIX BB
Posted by matt on 2nd of Jun 2023 at 11:41 am
and there's those VIX BB stats on VIX and VVIX when they close back inside their bands
https://breakpointtrades.com/blog/post/401724/
on the VIX and VVIX
Posted by matt on 2nd of Jun 2023 at 11:52 am
on the VIX and VVIX stats - I ran a backtest on the MA exits for longs and shorts. I kept the Bollinger Band 2.0 settings the same
for the VIX longs exit over 9 SMA, shorts exit over 8 SMA. For VVIX long exit over 9 SMA, shorts over 5 SMA
as you can see the VVIX stats are superior as far as PF of 3.76 vs only 1.8 on the VIX, and 79% vs 76%
a lot more trades on the VIX - 175 vs 120 for the VVIX but the total profit is not that different, which shows you that overall the VVIX signals were better than the VIX
Matt thanks for this detail.
Posted by mundy on 2nd of Jun 2023 at 06:49 pm
Matt thanks for this detail. I have been trading the VIX system quite religiously over the past 8 years and have found that the PF is not great compared to the other systems you have developed. Which indicator or other trigger could be added to improve these stats.
Hey Mundy yep the standard
Posted by matt on 2nd of Jun 2023 at 07:47 pm
Hey Mundy yep the standard VIX strategy only has about a 2 profit factor, the VVIX is better at 3.7. Since the standard settings is what we have on the charts that's why I showed that. If you recall a while back I showed a VIX strategy with a PF of 29 - it was so much higher because it used a non standard Bollinger Band length and settings for the standard deviations. I don't have my TS up at the moment so I'm going on memory for the settings but the Bollinger Bands settings of 20 for the length and STD of 2 is standard. I was using something like 2.5 and 2.7 for the standard deviations, which is MUCH harder to trigger, and also much more accurate and much higher PF, but you get less trades too
I'm still panning to add those VIX systems or volatility systems - it's hard to to do everything, I really need an assistant, I can only do so much with the time I have
Thanks Matt, You posted on the
Posted by mundy on 2nd of Jun 2023 at 11:19 pm
Thanks Matt,
You posted on the 13th of April 2023 at 4:43 pm for anyone who is interested. Great system indeed.! One I follow now!