On the weekend I did some work on these volatility systems. They
work the same way as the VIX or VVIX SPY system with trades
generated when the volatility instruments are outside their
Bollinger Bands and close back inside. There's more than just the
VIX and VVIX, there's a VIX-like instrument for QQQ which is the
VXN, one for the Dow which is the VXD, one for IWM which is the
RVX, one for crude oil via OVX, and ones for some large stocks like
AAPL, AMZ etc. I have 12 of these systems
This year 2023 these 12 systems generated 45 trades! It's only
1/2 the year so I think we'll see 90 to over 100 trades by the year
end.
I complied one other year, 2020 - during that year these 12
systems produced 104 trades.
That said the trades are real short term - like 1 - 3 days. But
that said, that's not all that bad, it means your money is in the
market very little of the time and mostly in cash. Also - the stats
I have are just the raw versions with no trend hold conditions - I
plan to run some backtests to add that, which should add quite a
bit more profits to the overall systems trade history as it will
allow some of the system trades to hold for longer periods of time
when the trend hold conditions are being met
here's some images, and tables showing trades.
This is something I could probably get done over the next couple
of weeks and add to the SPY ES mix
Posted by rmoore100 on 4th of Jun 2023 at 11:57 pm
This is some incredible work Matt. If you could roll this
out in a few weeks, that would be a fantastic add-on to what you
and Steve already do !!! Thanks so much
!!!!!!!
Most impressive Matt, this will keep me going for so much longer
LOL. Looking forward to getting signals on these systems too. Any
idea of how many of them have future contracts?
I assume all do, those are major stocks and have futures
options are probably a good fit however, don't have to go out
too far as trades are short -term, 11 days is about the longest you
get with most in the 2 - 3 day range
Hi Pattellee, There are a few chaps here who are serious option
traders but my sixpense worth is that I will be buying 0.9 deltas
with 2 weeks to expiry. That way the 2-3 day period expected will
show the highest return. Also the 2 weeks would be safe from too
much theta(time) decay. However if later testing shows longer
average periods for the trades we may have to go out a bit further
in time. Obviously the best thing to do is sell calls (sell
signals) or puts when buy signals are given with one week of time
to run or even 4 weeks to gain more premium. This could be a
problem unless you have quite a large trading account. I am working
on my trading plan for all these considerations and would be happy
to share with you when done.
Those of you wanting more reversion to mean systems trades - the volatility systems will add a ton
Posted by matt on 4th of Jun 2023 at 10:32 pm
On the weekend I did some work on these volatility systems. They work the same way as the VIX or VVIX SPY system with trades generated when the volatility instruments are outside their Bollinger Bands and close back inside. There's more than just the VIX and VVIX, there's a VIX-like instrument for QQQ which is the VXN, one for the Dow which is the VXD, one for IWM which is the RVX, one for crude oil via OVX, and ones for some large stocks like AAPL, AMZ etc. I have 12 of these systems
Volatility Systems: SPY, QQQ, DIA, IWM, AMZN, AAPL, EEM, GS, GOOGL, GLD, IBM, USO
This year 2023 these 12 systems generated 45 trades! It's only 1/2 the year so I think we'll see 90 to over 100 trades by the year end.
I complied one other year, 2020 - during that year these 12 systems produced 104 trades.
That said the trades are real short term - like 1 - 3 days. But that said, that's not all that bad, it means your money is in the market very little of the time and mostly in cash. Also - the stats I have are just the raw versions with no trend hold conditions - I plan to run some backtests to add that, which should add quite a bit more profits to the overall systems trade history as it will allow some of the system trades to hold for longer periods of time when the trend hold conditions are being met
here's some images, and tables showing trades.
This is something I could probably get done over the next couple of weeks and add to the SPY ES mix
Amazing Matt! This would be
Posted by bpozdoll1717 on 5th of Jun 2023 at 02:36 pm
Amazing Matt! This would be fantastic. Thanks so much.
This is some incredible work
Posted by rmoore100 on 4th of Jun 2023 at 11:57 pm
This is some incredible work Matt. If you could roll this out in a few weeks, that would be a fantastic add-on to what you and Steve already do !!! Thanks so much !!!!!!!
Most impressive Matt, this will
Posted by mundy on 4th of Jun 2023 at 11:22 pm
Most impressive Matt, this will keep me going for so much longer LOL. Looking forward to getting signals on these systems too. Any idea of how many of them have future contracts?
I assume all do, those
Posted by matt on 4th of Jun 2023 at 11:24 pm
I assume all do, those are major stocks and have futures
options are probably a good fit however, don't have to go out too far as trades are short -term, 11 days is about the longest you get with most in the 2 - 3 day range
Would options about 2-3 weeks
Posted by patellee on 5th of Jun 2023 at 12:21 pm
Would options about 2-3 weeks out and a delta of about 64 still be appropriate here? What does the group think?
I am really looking forward to these trades. Thanks so much Matt.
Hi Pattellee, There are a
Posted by mundy on 5th of Jun 2023 at 08:48 pm
Hi Pattellee, There are a few chaps here who are serious option traders but my sixpense worth is that I will be buying 0.9 deltas with 2 weeks to expiry. That way the 2-3 day period expected will show the highest return. Also the 2 weeks would be safe from too much theta(time) decay. However if later testing shows longer average periods for the trades we may have to go out a bit further in time. Obviously the best thing to do is sell calls (sell signals) or puts when buy signals are given with one week of time to run or even 4 weeks to gain more premium. This could be a problem unless you have quite a large trading account. I am working on my trading plan for all these considerations and would be happy to share with you when done.
I went with the 0.64
Posted by patellee on 6th of Jun 2023 at 12:34 am
I went with the 0.64 deltas this round but I'll keep that in mind in the next round so a little less upside but ok with that in the beta stage.
seems logical - the longest
Posted by matt on 5th of Jun 2023 at 12:28 pm
seems logical - the longest trades seem to be around 2 weeks, most are 1 - 5 days at the moment
also - looks like SPY volatility system is looking to short today - which makes sense given the VIX closing back inside the bands
SPY - thus far today
Posted by steve on 5th of Jun 2023 at 12:36 pm
SPY - thus far today the entire candle has traded above its upper BB
AAPL too
Posted by timebandit on 5th of Jun 2023 at 12:50 pm
AAPL too