karennma
8,057 posts
msg #130705
- Ignore karennma |
8/30/2016 3:51:47 PM
Huge buys coming in on JNUG.
Yuge!
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arimont
57 posts
msg #130714
- Ignore arimont |
8/31/2016 7:38:58 AM
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Kevin_in_GA
3,672 posts
msg #130677
- Ignore Kevin_in_GA 8/30/2016 9:49:14 AM
Long 1000 shares of VXX at $36.10. The system said to cover a VIX short at the open (did it yesterday but left money on the table) and to open a new long position.
The system is actually a compilation of 15 long and 15 short VIX filters identified from a brute force evaluation of indicators over the last five years of VIX data. Not all of them translate into SF code since Stratasearch has additional functions and computational capabilities that SF does not. I will post a SF-compatible version of this system in its own thread later this week.
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Would love to see it on SF, thanks in advance :)
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Kevin_in_GA
4,599 posts
msg #130720
- Ignore Kevin_in_GA
modified |
8/31/2016 9:48:30 AM
8/29/2016 9:41:34 AM
Short 400 shares of RAVN at $25.00
Out at $24.75 for 1% ($97 after commissions).
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ThaGekko
139 posts
msg #130721
- Ignore ThaGekko |
8/31/2016 9:52:16 AM
Nice Kevin. Are you still holding VXX?
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Kevin_in_GA
4,599 posts
msg #130722
- Ignore Kevin_in_GA |
8/31/2016 10:00:17 AM
Yes - 1000 shares at $36.10. Currently flat. No new signals from last night.
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c1916
77 posts
msg #130723
- Ignore c1916 |
8/31/2016 10:14:13 AM
In hindsight, what was the signal that attracted you to Raven? On my filters, I didn't see any reason to expect it to drop.
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Kevin_in_GA
4,599 posts
msg #130724
- Ignore Kevin_in_GA |
8/31/2016 10:47:00 AM
Here you go:
RAVN popped up on this filter last Wednesday - I did not enter immediately at the close and watched it last week. When it hit $25.00 I decided to take a swing at it.
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c1916
77 posts
msg #130731
- Ignore c1916 |
8/31/2016 11:49:14 AM
I see...so playing for a reversion after two days of closing above the upper band.
Interestingly, though, if you were to scan for the inverse (two days of closing below the lower band) the past week or so indicates that one would be better off continuing the short instead of playing for a reversion.
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Kevin_in_GA
4,599 posts
msg #130733
- Ignore Kevin_in_GA |
8/31/2016 12:36:59 PM
Out of VXX at $37.15 for a gain of $1045 after commissions
Frustrating - ^VIX up 8.77% right now, but VXX only up 2.30%. There is not really a good surrogate for ^VIX over short time frames (e.g., less than 20 days);
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ThaGekko
139 posts
msg #130734
- Ignore ThaGekko |
8/31/2016 12:42:41 PM
I understand what you're saying, but you could always play TVIX
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