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viktor_k67
 

Registered: Oct 2007
Posts: 76

 

12-05-12 08:59 PM


Quote from pistolpt:

Simple VIX trading system working off 4 simple factors.

Live for last 6 months.

Any good? Or just data mining?

Includes commissions.



See below scan for the best results of various technical indicators applied to VXX (tracks VIX).
VXX Scans

400% is the maximum you cloud get on VXX over the past 10 years if you would know thise settings 10 years ago.

Regarding your graph:

1. The Profit on your graph went from $10 to $14K over the eight years... Is it 140,000%... WOW. It is 17,000% profit a yer in average. These guys should be wealthiest in the world.

2. I can accept strong profit on VIX during 2008-2009 when the market was quite volatile.But in the first months of 2012 when volatility was very low??? When it came from?

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pistolpt
 

Registered: Feb 2012
Posts: 129

 

12-06-12 01:13 PM


Quote from viktor_k67:

See below scan for the best results of various technical indicators applied to VXX (tracks VIX).
VXX Scans

400% is the maximum you cloud get on VXX over the past 10 years if you would know thise settings 10 years ago.

Regarding your graph:

1. The Profit on your graph went from $10 to $14K over the eight years... Is it 140,000%... WOW. It is 17,000% profit a yer in average. These guys should be wealthiest in the world.

2. I can accept strong profit on VIX during 2008-2009 when the market was quite volatile.But in the first months of 2012 when volatility was very low??? When it came from?



Dude, you need to learn about compounding returns.
1) That's 85% profit per year on average. Still ridiculous. Just compounded. Think about it.
2) Simple, you go short VXX or buy the inverse, XIV.

All your base are belong to us.

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OddTrader
 

Registered: Mar 2003
Posts: 5283

 

01-20-13 09:12 AM


Quote from pistolpt:

Monthly Returns. Working on the Log Graph...

Attachment: untitled.jpg http://www.elitetrader.com/vb/attac...&postid=3538111

This has been downloaded 175 time(s).



30.88% Jan 2012
50.2% Feb 2012
37.13% Mar 2012
(2.77%) Apr 2012

83.26% YTD 2012 ?????

I can only see the sum of these four months should be 70.26%!!!!!

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OddTrader
 

Registered: Mar 2003
Posts: 5283

 

01-20-13 09:48 AM


Quote from OddTrader:

30.88% Jan 2012
50.2% Feb 2012
37.13% Mar 2012
(2.77%) Apr 2012

83.26% YTD 2012 ?????

I can only see the sum of these four months should be 70.26%!!!!!



Typo: 5.02% Feb 2012

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bln
 

Registered: Nov 2009
Posts: 85

 

01-20-13 10:59 AM

Looks like a nice strat.. I did notice you have multiple draw-downs of 20%, 25% and 28%, that may blowup in your face with a larger 50-60% draw-down if you hit a longer streak.

Add some money and let it ride, every time it doubles your invested capital add some more to it. Could lower the leverage a bit to make the draw-down periods smaller.

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pistolpt
 

Registered: Feb 2012
Posts: 129

 

01-23-13 05:55 PM

Ended up +126% for 2012.

Made some tweaks to the strategy for 2013. Although with vol this low, don't see too many of those big gainer months ahead.

And yeah, big drawdowns from time to time, looking for ways to minimize that.

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