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
You changed the chart associated
The VIX volatilty systems are going long today
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)