vix fell 6% today and is sitting right on the 10 ma so any further fall in the vix will trigger a sell signal tomorrow. looks like a nice profitable trade. Exit (on the close) the day the VIX trades (intraday) below yesterday's 10-day moving average (reversion to the man). Or exit within two to four days.
That's because options themselves don't start trading until :10 minutes after the markets opens. nitro
quick testing of the method makes me feel i have a mistake: return p.a. 19% stabw ann. 39% modified Sharpe Ratio 0.50 longs hit ratio 80% payoff ratio 0.49 wins 55 4,073 losses 14 -8,319 shorts hit ratio 56% payoff ratio 1.18 wins 35 4,596 losses 27 -3,896 did anybody else test it? peace
we just got a cvr3 sell\short signal if my calculations are right. the cvr3 buy signal was profitable lets see if the short signal works. For Sells: Today, the high of the VIX must be below its 10-day moving average. Today, the VIX must close at least 10% below its 10-day moving average. If rules 1 and 2 are met, sell on the close. Exit (on the close) the day the VIX trades (intraday) above yesterday's 10-day moving average (reversion to the mean). Or exit within two to four days.
looks like we had a cvr3 buy signal at close again today if my calculations are right. anybody feel like buying? i bought a couple things at the close for a trade. dont like the seasonal timeframe to go very heavy long.
vhehn, Is it important to now use VXO for the CVR signals, or do you expect the revised VIX to not show much difference?
im not sure about that. hope sombody that knows will tell us. i used the vix.x in qcharts which i believe has been changed over to the new vix calculations.
http://cbs.marketwatch.com/news/story.asp?guid={F264EF01-F45F-4470-9E38-FC963CF0B2D5}&siteid=mktw Bsulli