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16-Sep-08
Update to Stretched VIX Strategy
I posted the Stretched VIX strategy last night. Frankly, I made an error as I accidentally selected the wrong version of the VIX, for data. What can I say? I clicked on the wrong symbol on the list when setting up the strategy. While the study is valid, I have now updated it using the VIX data that we have all come to know and love.
The updated study has better results, and has more data points.
First, look at the above spreadsheet and note that the edge exists for a few weeks after the entry signal.
And below are the system statistics. Assume 10K per trade, with 10K starting equity.
I think the statistics are acceptable for a simple system with an entry edge and a very simple time exit.
Now the data reflects twice the trades, with the first trade triggering in 1994. It is certainly closer to robust than what I posted yesterday.
And finally, a look at a previous trade from start to finish, as well as today’s entry.
My simultaneous thanks and apologies to Rob Hanna from Quantifiable Edges for borrowing his preferred report format for these studies.
Posted at 21:07 in External Blog | Permalink | Top
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