Seeking Alpha

gofx's  Instablog

Send Message
I trade stocks, options, and foreign exchange for fun and profit. I am not risk averse and often make short term trades.
View gofx's Instablogs on:
  • Simple Volatility Work

    In my spare time, when I'm not arguing with trolls on SA, I play with various trading APIs and algorithms. I don't qualify as a quant but one doesn't have to be deep into financial algorithms to put the computer to use as a trading agent.

    Here's a fragment of debug output:

    utc: 23:56:18
    nyc: 19:56:18
    Warning: Outside of trading hours!

    Cached vix data...
    symbol=VIX/U5 expiry=09/16/2015 quote=22.45 time=1442359973
    symbol=VIX/V5 expiry=10/21/2015 quote=20.40 time=1442359973
    symbol=VIX/X5 expiry=11/18/2015 quote=20.58 time=1442359973
    symbol=VIX/Z5 expiry=12/16/2015 quote=20.57 time=1442359973
    symbol=VIX/F6 expiry=01/20/2016 quote=20.90 time=1442359973
    symbol=VIX/G6 expiry=02/17/2016 quote=21.19 time=1442359973
    symbol=VIX/H6 expiry=03/16/2016 quote=21.29 time=1442359973
    symbol=VIX/J6 expiry=04/20/2016 quote=21.48 time=1442359973
    symbol=VIX/K6 expiry=05/18/2016 quote=20.375 time=1442359973
    VIX contango/backwardation: -9.131%

    API session status: updated 2015-09-15 23:32:54 seconds 1800 now 1442361378 (as UTC timestamp) access_expires 1442361774
    Start of custom tests...

    Symbol ID for AMD retrieved via local cache
    Retrieving some one day candles for this symbol...
    High and low based averages calculated
    Average difference over 20 candles 0.110 (effective 0.090 after commissions)
    Effective average daily move of 4.972%

    While I am not suggesting one randomly jump in to trade AMD, for example, I would suggest that the size of the move in the high and low averages analyzed does suggest an algorithm could pick entry points for a trading strategy involving a stock that one would be comfortable holding in any case.

    Of course, neither the actual settings used nor the decision making criteria are going to be shared... as you can imagine.

    I should note that the VIX information can be used in multiple ways. For example, if the stock market is volatile you may decide to change your entry or exit criteria. Alternately, if you are trading VIX derivatives then contango and backwardation may be directly important to your trading criteria.

    Sep 15 8:35 PM | Link | Comment!
Full index of posts »
Latest Followers


  • $AA looks like it's a good point for a short-term spec play.
    Nov 14, 2013
  • $SNE will be in the news from now until Xmas with updates on PS4 vs XBox1 sales numbers.
    Nov 14, 2013
  • $RVBD Interesting early move...
    Nov 8, 2013
More »
Posts by Themes
Instablogs are Seeking Alpha's free blogging platform customized for finance, with instant set up and exposure to millions of readers interested in the financial markets. Publish your own instablog in minutes.