re fixed vix target numbers
A long time ago when I was first writing the code for the mvp signal system, a cs poster named thequeenfool pointed out to me that the vix can and does change operating ranges. Causing a large problem to anyone waiting for a fixed number target.
While there are surely many ways to skin that cat, the method which worked for me was 200 day lookbacks of vix relative position in range.
Anyone interested in an example of this can see it in the free but very obsolete version of mvp that I distribute just to show people its not smoke and mirrors. The lookback code is in it.
Just looking around here for other system ideas. I think I've taken mine as far as I can, code-wise. Details below
Current system status is in cash, from latest sell, which was 11/19/04
Bearing in mind only 2004 is real time, real money, over all system results thru start of bactest to today is
36.1% annualized over the 8.6 year time period.
10k to 140K in 8.6. years (doens't include taxes or commission)
61 trades , 18 of which were losers
Current version is 21F.
Results as stated are from using mdy, profunds enhanced funds would be much more.
8.6 year backtest is done with the exact same code and triggers, no changes anywhere thruout the entire time frame.
System makes trades that last from weeks to months, mainly and they are based on interrelated extremes in vix, put call, mclellan ratios etc. 2 observations I'd like to stress:
1. I know most folks here are shooting for much more return than 36% annual but I was just looking to substantially outgun a real good mutual fund.
2. This system would bore a real trader to tears or worse, its like watching paint dry.
my site can be googled as mvp signal system
Regards, Steve
You CAN time the market!
But only after you trash the big 3 myths.
Myth 1 - its possible to get every point of every move
...Myth 2 - you'll never have a drawdown
......Myth 3 - you'll never have a loss
