Send Message
View as an RSS Feed
  • Possible Shutdown, Yellen And Volatility  [View article]
    "interested in your method for one day hedge

    jg5347, actually, the hedge can be any length -- including longer or shorter than one day. I enter it when I'm holding a short position and don't yet have a signal to switch from short to long, but the short is becoming questionable. I've also backtested a strategy for trading UXVY that buys at the open and holds for one day, based on a trading signal from the close of the day before. That strategy backtests very well, but I haven't had much chance (until recently) to try it.

    Friday, I held UVXY as a hedge. At the close, there was a signal for a one-day hold trade, and had it been a day other than Friday, I would have kept it open...but I chickened out on holding it over the weekend. In retrospect, I should have held on, because in a rising VIX environment with backwardation, UVXY is no longer a risky hold. So that's a refinement I want to add to this strategy going forward.
    Jan 10, 2016. 03:02 PM | Likes Like |Link to Comment
  • The China Crisis Is Real And Dangerous  [View article]
    "I'm much less worried about the Chinese stock market"

    I think it depends on the amount of leverage in their stock market. I believe you've nailed it with the concerns about debt -- esp. wrt China's shadow banking. But contagion could start anywhere, incl. the stock market if leverage implodes:
    Jan 8, 2016. 03:33 PM | 1 Like Like |Link to Comment
  • Possible Shutdown, Yellen And Volatility  [View article]
    ICCS and P, I think the most difficult task in analyses is applying the math, i.e., translating from idealized math to realworld conditions. I like to examine the assumptions in a derivation before applying its results. In the case of Kelly criterion, the derivation makes the assumption that odds are known exactly. Since that's never the case in trading, one needs to evaluate how that violated assumption may affect the outcome. A standard way to do that is to calculate the jacobian (a derivative of a mapping) to see how stable the result is when start conditions vary. I haven't done that for KC, but it would be a very interesting exercise. Might make a good article. SA occasionally asks me to submit articles... What do you think?
    Jan 8, 2016. 11:33 AM | Likes Like |Link to Comment
  • As Cars Enter Tech, Do Cars Rise Or Does Tech Fall?  [View article]
    This is a really interesting consideration. I think, though, that one needs to also consider margins. Software-based tech companies generally enjoy large margins once they become profitable. That never happens in automotive because of the large regulatory overhang in this industry plus very high manufacturing costs plus killer competition (yet another reason I think Apple's gone soft in the head wanting to make a complete car rather than just the more profitable they really hate margins that much?).

    Mature and dominant tech companies may also enjoy large margins...but first you have to become mature and dominant. The tech aspects of cars, while exciting and promising, are nowhere near mature and dominance is merely a possibility for the distant future.
    Jan 8, 2016. 10:27 AM | 3 Likes Like |Link to Comment
  • Possible Shutdown, Yellen And Volatility  [View article]
    Putting on a UVXY hedge again today. I don't have a signal for a one-day trade, so this is just a hedge.
    Jan 8, 2016. 10:06 AM | Likes Like |Link to Comment
  • Possible Shutdown, Yellen And Volatility  [View article]
    "looking like it had found support around 1940"

    Typo, should have been 1950. That was also in my mind ahead of time because it's a counting number in base-10 thinking, and counting numbers often become support/resistance lines.
    Jan 8, 2016. 09:28 AM | Likes Like |Link to Comment
  • Possible Shutdown, Yellen And Volatility  [View article]
    btw, my backtest results are all on a risk-adjusted basis. I find it intriguing that essentially playing for the spikes would backtest so well even after adjusting for risk.
    Jan 8, 2016. 09:21 AM | Likes Like |Link to Comment
  • Possible Shutdown, Yellen And Volatility  [View article]
    "I think it is very interesting that you sold your UVXY today. So, why do you close long vol when it keeps going up and the realized vol is rising even more?"

    First, thanks for sharing that information about your strategy ICCS. That part about the emotional response running counter to the strategy's value is especially interesting!

    I do think a spike in volatility is likely as my earlier post about being in the unstable zone implies. I'm also using a strategy (with the caveat that I'm also monitoring how it goes and am still refining it). When I switch from short to long, I generally use VXX, not UVXY. However, I also use signals for trading UVXY with one-day holding periods and I hedge short IV with UVXY, putting on that hedge when in a gray zone between transitioning from short to long. On Wed, I put on that hedge premarket and went red on it by end of day. However, Wed at close I also had a signal for a UVXY trade with one-day hold, so I kept it open. I closed UVXY early Thursday for two reasons: 1) I decided to treat it as a hedge, because I'm still holding the short position, and I exit these hedges if they look like they might turn against me 2) I needed to attend to something else for the rest of the day, so I pulled out since I knew I wouldn't be able to respond to a major change. The "might" turn against me was based on SPY looking like it had found support around 1940.

    I'm interested in your strategy. My one-day UVXY strategy has some similarities, and it backtests very well. Today should be an interesting day. GL!
    Jan 8, 2016. 09:16 AM | Likes Like |Link to Comment
  • Possible Shutdown, Yellen And Volatility  [View article]
    Just closed the UVXY position.
    Jan 7, 2016. 01:54 PM | Likes Like |Link to Comment
  • Possible Shutdown, Yellen And Volatility  [View article]
    I think what they're saying is that the automatic circuit breakers just made things worse by locking in panic moves. Longer term, they're not going to eliminate them, just tune them. But for now, they'll leave them turned off.
    Jan 7, 2016. 01:26 PM | Likes Like |Link to Comment
  • Possible Shutdown, Yellen And Volatility  [View article]
    More color from Reuters:

    China will suspend its new stock market circuit breaker as of Friday, the Shanghai and Shenzhen stock exchanges said on their websites on Thursday, after the mechanism sparked sharp falls in the country's volatile markets.

    The breaker, in place since the start of this year, was designed to temper the market but instead caused a wave of selling. Analysts and investors said the trigger levels were too low and too close to work effectively.


    "The circuit breaker mechanism was not the main reason for the market slump. It just didn't work as anticipated based on actual situations," Deng Ge, a spokesman for the China Securities Regulatory Commission said in a statement.

    "The negative effect of the mechanism outweighed its positive effect."

    So the regulator decided to suspend the mechanism to help stabilize the market and will look into ways to improve the system, Deng said.

    The circuit breaker suspended trade for 15 minutes when the market fell 5 percent and halted it for the day after a fall of 7 percent.

    Source (Reuters):
    Jan 7, 2016. 11:46 AM | Likes Like |Link to Comment
  • Possible Shutdown, Yellen And Volatility  [View article]
    You went short, ICCS? I re-entered UVXY yesterday (Wed) pre-market. That position is currently in the red. Will see what happens today.
    Jan 7, 2016. 08:47 AM | Likes Like |Link to Comment
  • Facebook Can't Even Give It Away?  [View article]
    "f they dont have water food shelter and clothing they should buy a cellphone and access Facebook and then make internet jobs and micro loans. This is the insanity"

    Actually, no one said anything even remotely like this.
    Jan 7, 2016. 08:32 AM | 3 Likes Like |Link to Comment
  • Possible Shutdown, Yellen And Volatility  [View article]
    NYSE McClellan Oscillator here:
    Jan 6, 2016. 05:15 PM | Likes Like |Link to Comment
  • Facebook Can't Even Give It Away?  [View article]
    "Your restaurant analogy is not valid"

    As I explained previously, the point was to give an example that anyone could relate to. There are more realistic and as you point out, more comparable, examples. I didn't have one at hand that I felt everyone could relate to.
    Jan 6, 2016. 09:48 AM | Likes Like |Link to Comment