Posted by DigiNomad on 22nd of Jul 2024 at 04:17 pm
Keep in mind that the monetary and fiscal authorities consider
it almost a prime directive to keep volatility low. When they see
it and identify the cause (e.g. regional bank solvency), they move
to stamp it out immediately with programs that are sometimes open
but are mostly unseen (various types of asset purchases called by
many names but all amounting to QE). Vol is the fire and they
are the fire fighters....aka Vol Controllers.
I'm not sure what you mean? the VIX SPY system went long
because the VIX closed back inside its Bollinger Bands - The market
is going to do whatever it wants, maybe the lows are in and we got
back to highs in a V move. Or maybe that completed wave A down, and
we are going to form a lower high wave B, then get another move
lower in C - too early to say. That said - my guess is a wave B
should produce a big enough bounce to allow most of these to close
out on that bounce
also - the volatliity systems - I have 8 of them - as I
discussed on the weekend, I do not current email out trade
notications on those like I do for the SPY and ES mean reversion
systems. I commented that I would like to eventually add those to
the website as well - have them completely automated where they
send out the trade notifications automatically just like the KISS
systems do
Posted by DigiNomad on 22nd of Jul 2024 at 04:18 pm
You changed the chart associated with this "system" (I think it
was a good change). Probably throwing some people off because they
haven't seen that exact chart layout before.
Posted by chlo8888 on 22nd of Jul 2024 at 04:28 pm
Digi
The name of the system implies volatility is coming. I take it
that’s not what the system is signaling? It seems it’s giving a
bullish signal to the qqq and spy?
Posted by DigiNomad on 22nd of Jul 2024 at 04:32 pm
It's the opposite in this case. It's signaling a reversion to
the mean after an above standard deviation move higher in
volatility (above the bollinger band). VIX and SPX are
typically inversely correlated. So, long SPX, SPY, etc on the
trigger.
If the VIX closed BELOW the lower band and then closed back
inside, then you would be looking for higher vol and short
SPX.
?? Not sure what you mean, but otherwise the standard default
VIX/SPX system uses Bollinger Bands of 20 length and 2 STEV.
I have that system coded as a default system, the profit
factor is about 2.4, not bad, and 71% winning trades
however I backtested the VIX and I chose a 13 lenght BB and a
2.1 STDEV for longs, and for shorts I use a 24 length and 2.4
STDEV. The profit factor is 6 using these custom settings
with 81% winning trades.
I did this with the others as well: I have volatility
systems for: SPY, QQQ, DIA, EEM, IWM, USO, IBM, AMZN, GOOGL, GS,
AAPL, and GLD - 12 total volatility systems
The VIX volatilty systems are going long today
Posted by matt on 22nd of Jul 2024 at 03:55 pm
the various versions of the VIX volatilty systems are also going long today, the standard one we show in the newsletter, and the custom one I have
Stupid question I know but
Posted by chlo8888 on 22nd of Jul 2024 at 04:11 pm
Stupid question I know but the volatility long positions are signaling erratic movement ahead for spy and qqq correct? Thus the vix will spike?
Keep in mind that the
Posted by DigiNomad on 22nd of Jul 2024 at 04:17 pm
Keep in mind that the monetary and fiscal authorities consider it almost a prime directive to keep volatility low. When they see it and identify the cause (e.g. regional bank solvency), they move to stamp it out immediately with programs that are sometimes open but are mostly unseen (various types of asset purchases called by many names but all amounting to QE). Vol is the fire and they are the fire fighters....aka Vol Controllers.
I'm not sure what you
Posted by matt on 22nd of Jul 2024 at 04:16 pm
I'm not sure what you mean? the VIX SPY system went long because the VIX closed back inside its Bollinger Bands - The market is going to do whatever it wants, maybe the lows are in and we got back to highs in a V move. Or maybe that completed wave A down, and we are going to form a lower high wave B, then get another move lower in C - too early to say. That said - my guess is a wave B should produce a big enough bounce to allow most of these to close out on that bounce
also - the volatliity systems - I have 8 of them - as I discussed on the weekend, I do not current email out trade notications on those like I do for the SPY and ES mean reversion systems. I commented that I would like to eventually add those to the website as well - have them completely automated where they send out the trade notifications automatically just like the KISS systems do
You changed the chart associated
Posted by DigiNomad on 22nd of Jul 2024 at 04:18 pm
You changed the chart associated with this "system" (I think it was a good change). Probably throwing some people off because they haven't seen that exact chart layout before.
Digi The name of the system
Posted by chlo8888 on 22nd of Jul 2024 at 04:28 pm
Digi
The name of the system implies volatility is coming. I take it that’s not what the system is signaling? It seems it’s giving a bullish signal to the qqq and spy?
It's the opposite in this
Posted by DigiNomad on 22nd of Jul 2024 at 04:32 pm
It's the opposite in this case. It's signaling a reversion to the mean after an above standard deviation move higher in volatility (above the bollinger band). VIX and SPX are typically inversely correlated. So, long SPX, SPY, etc on the trigger.
If the VIX closed BELOW the lower band and then closed back inside, then you would be looking for higher vol and short SPX.
Thanks Digi.
Posted by chlo8888 on 22nd of Jul 2024 at 04:34 pm
Thanks Digi.
I just updated response with
Posted by DigiNomad on 22nd of Jul 2024 at 04:34 pm
I just updated response with the short side scenario (signalling higher vol ahead)
?? Not sure what you
Posted by matt on 22nd of Jul 2024 at 04:28 pm
?? Not sure what you mean, but otherwise the standard default VIX/SPX system uses Bollinger Bands of 20 length and 2 STEV. I have that system coded as a default system, the profit factor is about 2.4, not bad, and 71% winning trades
however I backtested the VIX and I chose a 13 lenght BB and a 2.1 STDEV for longs, and for shorts I use a 24 length and 2.4 STDEV. The profit factor is 6 using these custom settings with 81% winning trades. I did this with the others as well: I have volatility systems for: SPY, QQQ, DIA, EEM, IWM, USO, IBM, AMZN, GOOGL, GS, AAPL, and GLD - 12 total volatility systems
Is the profit factor much
Posted by simple_million on 22nd of Jul 2024 at 09:07 pm
Is the profit factor much higher this way? I believe you were using 22-length and 2.8 last year (SPY/VIX)