| Date |
Signal |
TNA |
| Mar 30 |
Short |
87.21 |
| Mar 31 |
Hold |
|
| Apr 1 |
Hold |
|
| Apr 4 |
Hold |
|
| Apr 5 |
Hold |
|
| Apr 6 |
Short | 91.85 |
| Apr 7 |
Hold | |
| Apr 8 |
Buy | 87.56 |
| Apr 11 |
Buy | 85.18 |
| Apr 12 |
Buy | |
| Apr 13 |
Hold | |
| Apr 14 |
Hold | |
| Apr 15 |
Sell | 85.78 |
| Apr 18 |
Buy | 81.69 |
| Apr 19 |
Hold | |
| Apr 20 |
Hold | |
| Apr 21 |
Hold | |
| Apr 25 |
Buy | 88.35 |
| Apr 26 |
Short | 90.80 |
| Apr 27 |
Hold | |
| Apr 28 |
Hold | |
| Apr 29 |
Hold | |
Friday, April 29, 2011
Thursday, April 28, 2011
System Strategy Change
All system trades will now take place on the open the following day.
Background: My system uses VIX data to help determine signals. The problem is that the VIX at 3:59:59 pm is different from the closing VIX value at 4:15pm. My model is calibrated using the closing price of VIX, which can evidently jump significantly in those 15 minutes. When my signals are borderline, this is a big problem. I'm not sure how, but this hasn't really been an issue up until recently. Two days ago when I got a short signal, the VIX was 15.55 right before the close. The critical threshold was 15.57 (refer to my 4/26 post) and between 4 and 4:15 it jumped to 15.62. This higher VIX # would've generated a "hold" signal, which means I would've still been long. Then it happened again today. The VIX was down almost 7% at 4pm resulting in a hold signal, but has since jumped up to a value of 14.62 which would trigger a short signal.
This problem I doubt will ever go away, so I'm making an immediate change to my strategy. I will not be forecasting the signal before the close anymore. I will have to wait until 4:15 to get the signal and trade on the open the following day.
The good news is this should make life simpler. Visit the website sometime at night to get the signal, place an order to buy TNA/TZA on the open, and you're done. A market order would work, although a limit order set to the closing price is probably a better option so as to avoid a bad fill on a gap down. More on this later... Have a great evening!
Background: My system uses VIX data to help determine signals. The problem is that the VIX at 3:59:59 pm is different from the closing VIX value at 4:15pm. My model is calibrated using the closing price of VIX, which can evidently jump significantly in those 15 minutes. When my signals are borderline, this is a big problem. I'm not sure how, but this hasn't really been an issue up until recently. Two days ago when I got a short signal, the VIX was 15.55 right before the close. The critical threshold was 15.57 (refer to my 4/26 post) and between 4 and 4:15 it jumped to 15.62. This higher VIX # would've generated a "hold" signal, which means I would've still been long. Then it happened again today. The VIX was down almost 7% at 4pm resulting in a hold signal, but has since jumped up to a value of 14.62 which would trigger a short signal.
This problem I doubt will ever go away, so I'm making an immediate change to my strategy. I will not be forecasting the signal before the close anymore. I will have to wait until 4:15 to get the signal and trade on the open the following day.
The good news is this should make life simpler. Visit the website sometime at night to get the signal, place an order to buy TNA/TZA on the open, and you're done. A market order would work, although a limit order set to the closing price is probably a better option so as to avoid a bad fill on a gap down. More on this later... Have a great evening!
Hold confirmed
3:52pm: Hold confirmed. System remains 50% short.
12:49pm: I am getting another short signal today. Since this is the 2nd consecutive short signal, it will push the system all in - 100% short.
12:49pm: I am getting another short signal today. Since this is the 2nd consecutive short signal, it will push the system all in - 100% short.
Wednesday, April 27, 2011
Hold
3:47pm: Hold signal is confirmed.
11:32am: We are looking at a hold signal this morning, although a buy is not far off.... With the volatility expected later today, I predict we'll get the buy signal, but check back before the close for the official sign.
11:32am: We are looking at a hold signal this morning, although a buy is not far off.... With the volatility expected later today, I predict we'll get the buy signal, but check back before the close for the official sign.
Tuesday, April 26, 2011
Short confirmed
4pm: Got it. $VIX was 15.55 at the close. I am now 50% short... for better or worse.
3:49pm: Short signal is waning.... $VIX must close at or below 15.57. Currently 15.59... Watch this number as it will determine whether the system holds onto its long position or goes short.
3:30pm: Still on track for a short signal at the close. Will be closing my long and initiating a 50% short position...
11:16pm: A couple things... First, I had set a limit buy order for the closing price (88.35) yesterday and to my surprise it was hit while I was away from the computer. Second and more importantly, I am getting a short signal. Assuming it can hold into the close, I'll sell my longs and take a 50% short position. Will be back later with an update...
3:49pm: Short signal is waning.... $VIX must close at or below 15.57. Currently 15.59... Watch this number as it will determine whether the system holds onto its long position or goes short.
3:30pm: Still on track for a short signal at the close. Will be closing my long and initiating a 50% short position...
11:16pm: A couple things... First, I had set a limit buy order for the closing price (88.35) yesterday and to my surprise it was hit while I was away from the computer. Second and more importantly, I am getting a short signal. Assuming it can hold into the close, I'll sell my longs and take a 50% short position. Will be back later with an update...
Monday, April 25, 2011
Buy signal
4:10pm: Buy signal is confirmed. The system is now 100% long with an average price of TNA 85.02. Again I chose not to follow my system. I remain 100% cash and will take my long position near tomorrow's opening. I was a bit perturbed when prices kept rising into the close and feel there will be a better price in the morning.
3:50pm: An SPY close below 133.7 will confirm the buy signal.
3pm: Still a buy signal, although it's a weak one. I would've liked to see more weakness to get a better price, but I suppose the lack of weakness is probably bullish going forward.
11:03am: Everything is going as planned. We are getting a 2nd buy signal today. If it holds into the close, the system will be 100% long. I think this is a pretty low risk set-up on the long side. I say this for several reasons, the primary reason is that while the VIX is up huge, VXX is up a measly 0.04%. It's days when VXX is up more than the VIX index where one should be concerned. I am 100% cash but will be taking a large long TNA position before the close...assuming the buy signal holds through 4pm. Will update later.
3:50pm: An SPY close below 133.7 will confirm the buy signal.
3pm: Still a buy signal, although it's a weak one. I would've liked to see more weakness to get a better price, but I suppose the lack of weakness is probably bullish going forward.
11:03am: Everything is going as planned. We are getting a 2nd buy signal today. If it holds into the close, the system will be 100% long. I think this is a pretty low risk set-up on the long side. I say this for several reasons, the primary reason is that while the VIX is up huge, VXX is up a measly 0.04%. It's days when VXX is up more than the VIX index where one should be concerned. I am 100% cash but will be taking a large long TNA position before the close...assuming the buy signal holds through 4pm. Will update later.
Thursday, April 21, 2011
Another hold...
3:50pm: TNA is right back where I sold this morning, now moving even higher as I type. Oh well...maybe there will be a small pullback next week I can buy back in. Official signal is a hold. Enjoy the extended weekend!
I was thinking we would see a sell signal today. I sold all my longs on the open with the thought that we'd at least see a fill of today's gap. No way 2 sizable consecutive gaps could go unfilled, right? Well it looks like today filled and now we are probably headed higher. There is no sell signal in sight, at least not that I can see. I'm hoping today provides a bit more weakness so I can get back long again, in accordance with the system. Again, today will probably be another hold signal, but check back before the close. I will be away from the computer this afternoon, but I should be back just before the close.
I was thinking we would see a sell signal today. I sold all my longs on the open with the thought that we'd at least see a fill of today's gap. No way 2 sizable consecutive gaps could go unfilled, right? Well it looks like today filled and now we are probably headed higher. There is no sell signal in sight, at least not that I can see. I'm hoping today provides a bit more weakness so I can get back long again, in accordance with the system. Again, today will probably be another hold signal, but check back before the close. I will be away from the computer this afternoon, but I should be back just before the close.
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