Book-keeping time.... August Trades...
| Date | JT Composite | TNA | J-Trader | CCI |
| Jul 30 | Cash | 52.40 | Long | Short |
| Aug 1 | Cash | Hold | Hold | |
| Aug 2 | Long | 47.94 | Hold | Long |
| Aug 3 | Short | 51.34 | Short | Short |
| Aug 6 | Short | Hold | Short | |
| Aug 7 | Short | Hold | Hold | |
| Aug 8 | Short | Hold | Hold | |
| Aug 9 | Short | Hold | Hold | |
| Aug 10 | Short | Hold | Hold | |
| Aug 13 | Cash | 53.68 | Long | Hold |
| Aug 14 | Cash | Hold | Hold | |
| Aug 15 | Short | 54.54 | Short | Hold |
| Aug 16 | Short | Short | Hold | |
| Aug 17 | Short | Short | Hold | |
| Aug 20 | Short | Hold | Hold | |
| Aug 21 | Short | Hold | Hold | |
| Aug 22 | Half-Short | 56.22 | Hold | Cover |
| Aug 23 | Long | 55.13 | Long | Long |
| Aug 24 | Long | Hold | Hold | |
| Aug 27 | Long | Hold | Hold | |
| Aug 28 | Long | Hold | Hold | |
| Aug 29 | Half-Long | 57.24 | Sell | Hold |
| Aug 30 | Long | 55.52 | Long | Long |
| Aug 31 | Long | Hold | Hold |
You have a good weekend too, J. And thanks in advance for looking into using XIV in place of TNA with the composite system.
ReplyDeleteAlex, I started testing. Straight up, the initial results are suggesting we stick to TNA/TZA.
DeleteBut more work must be done. I need to filter out shorting XIV. I also need to go further and look at longing XIV only during strong contango, otherwise use TNA. And possibly vice versa (longing VXX only during backwardation). All that requires compiling the daily VIX futures data from vixcentral, which I'm still doing....
Just an update...more later. Happy Saturday.
Thanks, Jay. And I agree that using periods of strong contango and backwardation as selection criteria is a good idea.
DeleteI realize that performing these tests requires a lot of work, so I'm grateful.
Happy Labor Day - and congrats on a very nice trade.
ReplyDeleteThanks, you too Michelle.
DeleteThe XIV was a stupendous idea. Thanks J, as always. We are all grateful to you for sharing.
ReplyDeleteIt's my pleasure. Hope you're having a good weekend.
DeleteThanks all. After all was said and done today, SPY was .04 away from generating a JTS short signal. I wouldn't be surprised to see both systems go short on Tuesday, especially if it's green. Just a hunch.
ReplyDeleteMore this weekend...
man, Friday was an awesome day for trading, and getting great fills. Wish every day were like that. And now September is here... and good riddance to August, the slowest month of the year, typically, for traders. Happy September, guys... bring on the volatility!
ReplyDeleteQuite the opposite of last August, huh? Talk about huge moves - last Aug and Sept were insane. I agree bring back the volatility.
Delete