Friday, December 14, 2012

The VIX

Pretty much 100% of my trading time is now spent on VIX futures.  There are philosophical reasons for this approach at this time which are too long to detail here. The summary is that the VIX seems to be relatively immune to the noise generated by HFT and stop-loss discovery algos. I abandoned structural modeling for this project and used a neural network, formally an "SVM" or support vector machine for data crunching.  I have been long since 2012.11.21 at the close  and it looks like today the output suggests continuing a long position.  For the next month, I will post daily updates here on what the VIX model indicates. This is of course purely for amusement purposes.

I have found the stop price to be reasonably well estimated by taking a moving standard deviation of the time series over 8 days, and subtracting three times its value from the previous closing price.  Wash sales are highly annoying!

2012.11.21 15.31 BUY at the close
2012.12.13 16.56         stop @ 15.39

7 comments:

Anonymous said...

Paolo, it's been a very long time. I am so happy you are back with your posts and observations.
Lili

Paolo said...

Thank you Lili! Much obliged.

andia said...

Paolo, Merry Christmas and Happy New Year!

Thanks for all your updates and information.

Lili

Paolo said...

Thank you Lili. I hope you have a healthy and prosperous New Year!

Paolo said...

2012.11.21 BUY at close 15.31
2012.12.18 stopped at 15.58
2012.12.19 BUY at close 17.36
2012.12.24 SELL at close 17.84
2012.12.27 BUY at close 19.47
2012.12.31 stopped at 19.95
2013.01.02 BUY at close 14.68
------------------------------------
2013.01.23 stop @ 11.94

Paolo said...

The long term VIX model seems stuck on "strong buy." No change.

Paolo said...

2012.11.21 BUY at close 15.31
2012.12.18 stopped at 15.58
2012.12.19 BUY at close 17.36
2012.12.24 SELL at close 17.84
2012.12.27 BUY at close 19.47
2012.12.31 stopped at 19.95
2013.01.02 BUY at close 14.68
-------------------------
2013.02.26 SOLD at close 17.21
-------------------------
And thus we close the VIX exercise.