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| guspenskiy13 976 posts msg #120622 - Ignore guspenskiy13 |
6/10/2014 2:56:20 PM Well, that's a good point, I also found volatility etf's pretty attractive for a number of reasons. I was just thinking, whether or not shorting them when they are below ema(100) (instead of using SPY with EMA's) would make any difference.... Although, which time-frame do you use? Daily? I would even use UVXY (ADR(30) 0.23% higher than TVIX) if I could....I can only use VXX... |
| shillllihs 6,086 posts msg #120623 - Ignore shillllihs |
6/10/2014 3:13:22 PM I use tvix because it only costs me 3% to short, while uvxy is 7%. I use daily. You don't need to use SPY at all, i just use it as a reference. I have problems with how & why so if you're going to ask me specifics i can't answer. I don't even know how to make anything above a simple filter. I am too lazy. What i'm good at is extracting from the cream of the crop. I think Kevin's SPY/VXX is slightly better at certain times while my approach works better at other times. His works like a charm so why he keeps trying other approaches & failing is beyond me. There was a day that you would have lost 30% in a day though. Can you plot a filter for me just using SPY/VXX with 100/200 ema similar to Kevin's SPY/VXX. |
| guspenskiy13 976 posts msg #120624 - Ignore guspenskiy13 modified |
6/10/2014 3:15:51 PM daily time-frame? I will compare the results of 100/200 ema to VXX/SPY as a signal; I think that time-frame of 30 or 60 minutes would be interesting |
| shillllihs 6,086 posts msg #120625 - Ignore shillllihs |
6/10/2014 3:49:17 PM Daily, but you can do more if you want. |
| guspenskiy13 976 posts msg #120626 - Ignore guspenskiy13 modified |
6/10/2014 4:19:05 PM Didn't work with EMA for some reason, but I think that I'm just bad at scripting. Useless ___ VXX/SPY 5 year daily TOS ema(100)&(200) 
Useless ___ VIX/SPX 5 year daily TOS ema(100)&(200): 
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| guspenskiy13 976 posts msg #120628 - Ignore guspenskiy13 |
6/10/2014 4:24:30 PM
Interestingly, 1 minute chart with same ema's would give us a sell at 10:25 today, TVIX @3.52. TVIX ended up closing 5% lower EOD. |
| shillllihs 6,086 posts msg #120629 - Ignore shillllihs |
6/10/2014 4:37:25 PM So shorting TVIX under 100/200 & bailing & waiting when it encroaches is useless? |
| guspenskiy13 976 posts msg #120631 - Ignore guspenskiy13 |
6/10/2014 5:03:22 PM charts for VXX/SPY do not show the data we want. $VIX and $SPY do. that's what I meant. |
| shillllihs 6,086 posts msg #120632 - Ignore shillllihs |
6/10/2014 5:31:50 PM Ok. I got my kids little league game to go to & i'll be out of town til the 18th so work on a comparison & keep up the good work. |
| guspenskiy13 976 posts msg #120654 - Ignore guspenskiy13 |
6/11/2014 12:43:22 AM
simple yet profitable. might need to adjust the length of the ratio. |
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