When it comes to the S&P futures, the trin and the vix are extremely reliable at predicting where the spoos will go. Both indices are not only predictable in terms of pattern but also in terms of how far they will move before turning. The secret lies in creating a standard unit of measurement by which their respective trends are first established and then based on the trend, project how far they will go. For example it is Wednesday morning 1070228 and based on just the Vix alone, I know the market will rally to a degree because the vix has established a trend down. I have certain rules for establishing a trend and then project how far that trend will continue given how far it has already moved. 02/27/2007 1890 2:06pm 1774 2:13pm 1757 2:19pm 16.75 16.08 15.42 14.59 13.90 You notice that at 2:19 we had established a trend down and I know that the vix will continue down and eventually hit one of my projected numbers with an accuracy of .02. If it doesn't hit one of my first series of numbers, then I rerun the calculation with additional data. 02/27/2007 1890 2:06pm 1774 2:13pm 1757 2:19pm 1741 2:24pm 16.49 15.74 15.00 14.08 13.30 And again if the vix does not hit any of these numbers I continue on with my calculation until it does hit my projected numbers. Furthermore, I also know that if it hit one of my first projected numbers it will also hit a second, and if it hits a second it will likely hit a third. Generally it will not go further than a fourth or fifth hit, unless we have highly unusual market conditions like yesterday. So consequently in going long on the market this morning at 9:13 cst I can wait, sit back and relax and know that I need not worry about the market coming back on me until my numbers are finally being hit. This maximizes single trades and avoids the practice of scalping which really is quite inefficient. This method was so effective yesterday, a single trade pulled 30 points simply by knowing how far the trin and the vix will likely move before they turn. 02/27/2007 1890 2:06pm 1774 2:13pm 1757 2:19pm 1741 2:24pm 1679 8:37am 1671 8:59am 15.36 HIT EXACTLY AT 9:46 AM CST ON 2/28/2007 14.26 13.17 11.81 10.67 So when one of these projected numbers is hit I can then determine if other market condition are favorable for exiting the trade. This single move was worth no less than 12 points. The same formula produced the results in the subsequent screen shots.
I'm surprised the VIX is useful at 1 minute levels. I've seen it used for longer term systems, but never this short. Also, I've never seen anyone use precise levels for TRIN and VIX, only seen them used as directional filters. I'd like to see this explained a little more. It looks very interesting.
The use of a 1 minute chart is what makes this work so well. But you have to be able to project where the market will go by way of some unit of measurement. I could not possibly explain here how I do this but suffice to say it uses fibonacci levels. Here is today's recap. We knew to go short this morning for one obvious reason. The new low on the S&P Premium at 9:01. Then by tracing the Trin we could see at what price the Trin would likely turn. Here are the numbers. 03/02/2007 136 8:59am 120 9:06am 1.10 1.02 1 projected 0.94 2 projected 0.84 0.76 03/02/2007 136 8:59am 120 9:06am 117 9:09am 1.05 0.96 0.86 0.74 0.65 03/02/2007 136 8:59am 120 9:06am 117 9:09am 100 9:13am 1 hit within .02 margin of error time to execute 93 950am 2 hit within .02 margin of error time to execute 0.78 0.60 0.42 0.19 0.01 We execute trades using a very sophisticated divergence calculation as well, but the point is we know when to do it! Now on the down side we ran these calculations on the Vix. 03/01/2007 1547 1:52pm 1548 1:59pm 1556 2:06pm 1589 2:29pm 1670 8:32am 1686 11:22am 1689 11:27am 17.77 1 projection that is hit within .02 18.48 2 projection that is hit within .02 19.19 20.07 20.80 03/01/2007 1547 1:52pm 1548 1:59pm 1556 2:06pm 1589 2:29pm 1670 8:32am 1686 11:22am 1689 11:27am 1717 11:33am 1741 11:45am 1754 11:50am 1759 12:23pm 1776 12:27pm 1 time projection is hit within margin of error 1800 12:31pm 1826 12:41pm 1828 12:58pm 1836 1:07pm 1848 1:36pm 2 time projection is hit within margin of error The vix will usually go to a 3rd or 4th projection before it finishes the trend but based on the time of day, this is a good time to look for an exit 20.15 21.59 23.04 24.83 26.33 The results are shown in the screen shot.. And this is no joke. We are doing this every day and have been since we finished the first version of the code in August 2006. We are now making a small refinement to the code as we speak.
guy - so is the intent here to share info or are we going to get a post later on where to buy this holy grail?
I think here is your answer Browns fan..Vendors!!! http://rsksys.com/Hist/1070227.bmp Why don't these folks just trade and make their money...? Just kills me Pitbull
sounds kinda like carter and the other fatty guy from tradethemarkets thingy in disguise. The ones who ask 2-3k to teach you how to trade...unbelievable!!!!
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