?? 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
?? Not sure what you
The VIX volatilty systems are going long today
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)