Disclaimer: The information found on this site is meant for educational and informational purposes only. Nothing on this site should be construed as a recommendation or solicitation to buy or sell derivatives or securities or to trade any particular strategy. Trading of derivatives or securities has large potential risk and you must be aware of and accept all the risks. Past performance of any trading system or methodology is not necessarily indicative of future results. No representation is being made that any account will or is likely to achieve performance results similar to those discussed on this website. Hypothetical or simulated performance results have certain limitations and do not represent actual trading.

Wednesday, February 22, 2012

Potential for Diverse Trading Strategies with FVE

 FVE indicator can be incorporated into diverse trading strategies. Top left shows the daily equity graph for intraday strategy simulation using FVE buy/sell signals.  Buy/Sell VIX futures on Open & Exit on Close. (50 contracts, 0.025 slippage, $125 commissions).  Annualized return 110% on $500k margin.

If we were to utilize an intraday filter, such as constant volume bar breakout, I am positive the results would be much better.

Bottom left shows the daily equity graph for VIX futures spread strategy.  Based on FVE Buy or Sell signals, one can buy (sell) the near month VIX futures and sell (buy) the next month futures.  I ran the simulation for both the front month / second month spread & the second month / third month spread.

This simulation was conducted from July 1, 2007. (50 contracts spread, 0.025 spread slippage, $100 commissions).  This strategy is more fitting for firm traders rather than individual traders.  A market maker could leg into the spread strategy for positive slippage.

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