Forum: System: Starve

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3/06/12 (17:26)star venus12regarding recent unusual vix ETN move
1/31/12 (14:16)star venus3Please ignore trade signals with de minimis amount
1/30/12 (10:40)star venus9Welcome!

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Subject:regarding recent unusual vix ETN move
Posted by:star venus (Admin) ( C2 Score: 527)  New msg
 
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When:2/10/12 (8:35) 
 
Sorry for the recent loss due to the unusual vix ETN move. The S&P flated or rorse in the past days, while the VIX spot and its future jumpped. This system made decision based on historical market move. And since such move is unprecedented, the system did not predict it and caused current loss. We believe such outlier should not last long and the loss would gone once everything is back to normal.

If you have any comments, questions, concerns, and you'd like to share, feel free to do so here.

Thanks!
  
 
Subject:regarding recent unusual vix ETN move
Posted by:Steady Hands ( C2 Score: 988)  New msg
 
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When:2/10/12 (13:25) 
Systems:
 

In response to post by star venus of 2/10/12 (8:35)

Sorry for the recent loss due to the unusual vix ETN move. The S&P flated or rorse in the past days, while the VIX ...

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I am sorry for the loss as well. But, no need to be sorry if you followed your system rules. It is not a trader's job to make predictions for the market.

However, it is a bigger concern to see the max drawdown start to exceed your 15% backtest limit. I am afraid that today's move is not that unprecedented. Risk management is the key.

Good luck and happy trading!

//TQT

QQQ Swings UP
  
 
Subject:regarding recent unusual vix ETN move
Posted by:Karl A  New msg
 
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When:2/10/12 (18:34) 
 

In response to post by Steady Hands of 2/10/12 (13:25)

I am sorry for the loss as well. But, no need to be sorry if you followed your system rules. It is not a trader's job to...

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I have to agree with the QQQ Traders's comment.

No matter how the position will turn out on Monday, I think scaling down the risk for overnight positions, which should have been done on Thursday, would be appropriate.
  
 
Subject:regarding recent unusual vix ETN move
Posted by:Brandon Slater  New msg
 
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When:2/10/12 (18:36) 
 

In response to post by Steady Hands of 2/10/12 (13:25)

I am sorry for the loss as well. But, no need to be sorry if you followed your system rules. It is not a trader's job to...

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I am curious on the 15% drawdown as well. Will the system get out of this trade because the 15% is breached? Thanks and have a good weekend>
  
 
Subject:regarding recent unusual vix ETN move
Posted by:star venus (Admin) ( C2 Score: 527)  New msg
 
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When:2/10/12 (19:11) 
 

In response to post by Brandon Slater of 2/10/12 (18:36)

I am curious on the 15% drawdown as well. Will the system get out of this trade because the 15% is breached? Thanks and have a good weekend>

15% wd in backtesting merely used to set the parameters in the model, not in cut loss -- in fact, there is no cut loss.
On monday, the parameters will be reset due to the new wd in the backtesting.
  
 
Subject:regarding recent unusual vix ETN move
Posted by:star venus (Admin) ( C2 Score: 527)  New msg
 
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When:2/10/12 (19:14) 
 

In response to post by Karl A of 2/10/12 (18:34)

I have to agree with the QQQ Traders's comment.

No matter how the position will turn out on Monday, I think s...

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Guess I should consider to add something like you guys suggested. When the overaction is too much probably it means something is broken.

but it would be a dilemma for mean reverse like system: how much diverge would be consider as too much? we believe the market would converge sooner or later after all.
  
 
Subject:regarding recent unusual vix ETN move
Posted by:Brandon Slater  New msg
 
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When:2/15/12 (15:51) 
 

In response to post by star venus of 2/10/12 (19:14)

Guess I should consider to add something like you guys suggested. When the overaction is too much probably it means some...

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I am curious, is your exit stratagy mechanical? I run a couple of my own reversion stratagies using Prodigio, and my exits were hit Monday and yesterday. I would have thought that with the big comeback Monday, and the big comback at the end of the day yesterday, would have triggered a cover on TVIX. Just curious. Thanks
  
 
Subject:regarding recent unusual vix ETN move
Posted by:star venus (Admin) ( C2 Score: 527)  New msg
 
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When:2/16/12 (9:02) 
 

In response to post by Brandon Slater of 2/15/12 (15:51)

I am curious, is your exit stratagy mechanical? I run a couple of my own reversion stratagies using Prodigio, and my ex...

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Yes, it is mechanical.
Never heard of Prodigio before. will take a look. Thanks for letting me know.
  
 
Subject:regarding recent unusual vix ETN move
Posted by:Brandon Slater  New msg
 
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When:2/24/12 (11:40) 
 

In response to post by star venus of 2/16/12 (9:02)

Yes, it is mechanical.
Never heard of Prodigio before. will take a look. Thanks for letting me know.

Hello again, I am wondering, since we are short TVIX and long UVXY, is this some sort of hedge? Just curious. Have a great weekend.

Brandon
  
 
Subject:regarding recent unusual vix ETN move
Posted by:star venus (Admin) ( C2 Score: 527)  New msg
 
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When:2/24/12 (13:29) 
 

In response to post by Brandon Slater of 2/24/12 (11:40)

Hello again, I am wondering, since we are short TVIX and long UVXY, is this some sort of hedge? Just curious. Have a great weekend.

Brandon

Sure, you can think in that way.
The TVIX is priced 20% higher than its net value. The purchase of UVXY is also can be considerred as BTC.
  
 
Subject:regarding recent unusual vix ETN move
Posted by:Brandon Slater  New msg
 
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When:3/06/12 (14:48) 
 

In response to post by star venus of 2/24/12 (13:29)

Sure, you can think in that way.
The TVIX is priced 20% higher than its net value. The purchase of UVXY is also can be considerred as BTC.

Hello again, I am wondering, would you consider buying inverse ETF's instead of shorting? My broker constantly is rejecting shorting orders, they say there is no available shares. For instance you could buy TNA instead of shorting TZA ect,. Thanks
  
 
Subject:regarding recent unusual vix ETN move
Posted by:star venus (Admin) ( C2 Score: 527)  New msg
 
Ignore user's posts for week month forever
When:3/06/12 (17:26) 
 

In response to post by Brandon Slater of 3/06/12 (14:48)

Hello again, I am wondering, would you consider buying inverse ETF's instead of shorting? My broker constantly is rejec...

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I prefer to short ETF instead of long its inverse conterparty because of the effect of leveraged decay.
Yes, you can long TNA instead of short TZA. There should not be much difference in several weeks. You can not use auto trade though. However our trade is not very frequent, and most of the trades are so called "left transactions", thus maually inputing the trades should not come with any significant impact, or even better.
Thanks!
  
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