vovay45

VIX Activity and Moving Average Envelopes

Forget that moving average envelops .
MA Should be 1.
Try this simple system for free:
Buy next day at Limit today's Low-10%
SellShort next day at Limit today's High+10%
InstallTime Based Exit(5);
InstallProfitTarget( 5% );

Current system:EPA_V
Symbols list VIX
Position Sizing
Initial capital 100000
Maximum Open Positions 2
Position size 50% of equity
From date 01/09/2008
To date Now

Statistic

Range 2008-Jan-09 - 2008-Nov-12
Overall performance
Total % gain/loss 127.93 %
Total gain/loss 127928.81
Annualized pct gain 165.47 %
Starting capital 100000.00
Ending capital 227928.81
Closed pos gain/loss 127928.81
Max gain per pos 15948.53
Max loss per pos -10134.60
Average gain/loss per pos 4568.89
Average % gain/loss per pos 6.12 %
Max % gain per pos 20.52 %
Max % loss per pos -12.69 %
Risk etc...
Exposure 11.95 %
Expectancy 4568.89
Ulcer index 3.14
Drawdown
Max drawdown -17441.52
Max drawdown % -11.73 %
2008-May-15
All Trades
Total Trades 28
Closed trades 28
Open trades 0
Winning Trades
Winning closed trades 26
Winning open trades 0
% winning closed trades 92.86 %
% winning open trades 0.00 %
Average gain per winning pos 5608.66
Losing Trades
Losing closed trades 2
Losing open trades 0
% losing closed trades 7.14 %
% losing open trades 0.00 %

tradery.com/runfix...

Volatility Watch: Waning Over the Next Few Months

Forget that moving average envelops .
MA Should be 1.
Try this simple system:
Buy next day at Limit today's Low-10%
SellShort next day at Limit today's High+10%
InstallTime Based Exit(5);
InstallProfitTarget( 5% );

Current system:EPA_V
Symbols list VIX
Position Sizing
Initial capital 100000
Maximum Open Positions 2
Position size 50% of equity
From date 01/09/2008
To date Now

Statistic

Range 2008-Jan-09 - 2008-Nov-12
Overall performance
Total % gain/loss 127.93 %
Total gain/loss 127928.81
Annualized pct gain 165.47 %
Starting capital 100000.00
Ending capital 227928.81
Closed pos gain/loss 127928.81
Max gain per pos 15948.53
Max loss per pos -10134.60
Average gain/loss per pos 4568.89
Average % gain/loss per pos 6.12 %
Max % gain per pos 20.52 %
Max % loss per pos -12.69 %
Risk etc...
Exposure 11.95 %
Expectancy 4568.89
Ulcer index 3.14
Drawdown
Max drawdown -17441.52
Max drawdown % -11.73 %
2008-May-15
All Trades
Total Trades 28
Closed trades 28
Open trades 0
Winning Trades
Winning closed trades 26
Winning open trades 0
% winning closed trades 92.86 %
% winning open trades 0.00 %
Average gain per winning pos 5608.66
Losing Trades
Losing closed trades 2
Losing open trades 0
% losing closed trades 7.14 %
% losing open trades 0.00 %

www.tradery.com/runfix...