If VIX stays this way, that'll make for an interesting
combination of signals: VIX confirming a buy signal on SPX, but
NYSI 9 EMA crossover system indicating a sell/down move
again foody - I don't know what the stats are on that NYSI
system. For the simple VIX Bollinger Band system, I have that
coded, the profit factor is about 2.28, and 77% winning trades
going back to 2009 with 200 total trades, see the images
this is the SAME system from the
Stockcharts.comBollinger Band
system chart that we show in the newsletters. I have a
custom version that uses more stringent BB settings over the 2.0
Bollinger bands, I think I use 2.8 for shorts and 2.2 for longs
that max draw down is quite high, it's -21%, which was from a
VIX Bollinger Band trigger on March 10th, so got caught in a part
of that march 2020 crash
Matt, to be clear, it looks like the VIX top end standard 2.0
BB is 16.05, today. So if the VIX closes at 4:00pm under
16.05, one would buy the SPY after the close, anticipating an exit
on the subsequent close (Monday)? Thanks in advance for the
clarification and have a good weekend.
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VIX smashed
Posted by steve on 5th of Apr 2024 at 11:56 am
VIX smashed
If VIX stays this way,
Posted by foody518 on 5th of Apr 2024 at 12:15 pm
If VIX stays this way, that'll make for an interesting combination of signals: VIX confirming a buy signal on SPX, but NYSI 9 EMA crossover system indicating a sell/down move
again foody - I don't
Posted by matt on 5th of Apr 2024 at 12:53 pm
again foody - I don't know what the stats are on that NYSI system. For the simple VIX Bollinger Band system, I have that coded, the profit factor is about 2.28, and 77% winning trades going back to 2009 with 200 total trades, see the images
this is the SAME system from the Stockcharts.comBollinger Band system chart that we show in the newsletters. I have a custom version that uses more stringent BB settings over the 2.0 Bollinger bands, I think I use 2.8 for shorts and 2.2 for longs
that max draw down is quite high, it's -21%, which was from a VIX Bollinger Band trigger on March 10th, so got caught in a part of that march 2020 crash
$VIX for longs 2.8 for longs,
Posted by simple_million on 5th of Apr 2024 at 03:20 pm
$VIX for longs
2.8 for longs, 2.2 for shorts - I'm sure that's what you meant.
I call it the Vixlonger for the futurama reference :)
stockcharts.com
$VIX | SharpCharts | StockCharts.com
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yeah - see settings from
Posted by matt on 5th of Apr 2024 at 03:35 pm
yeah - see settings from inside my strategy. I'm using use a close above an MA for an exit, 10 MA for shorts, 9 M for longs
Has the VIX closed out
Posted by foody518 on 5th of Apr 2024 at 04:21 pm
Has the VIX closed out for the day? 16.02 versus upper BB of 16.00?
yes the VIX is closed,
Posted by matt on 5th of Apr 2024 at 04:26 pm
yes the VIX is closed, it closed at 16.03, while the upper BB is 16.01, so closed barely outside the bands
Matt, to be clear, it
Posted by te22 on 5th of Apr 2024 at 02:31 pm
Matt, to be clear, it looks like the VIX top end standard 2.0 BB is 16.05, today. So if the VIX closes at 4:00pm under 16.05, one would buy the SPY after the close, anticipating an exit on the subsequent close (Monday)? Thanks in advance for the clarification and have a good weekend.