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Thursday, February 9, 2012
VIX & VIX Futures Diverges From FVE
FVE usually leads or is concurrent with the VIX, thus when the direction of FVE diverges from the VIX, it presents a good trading opportunity to bet against the VIX. There are instances (20-30%), however, when FVE lags the VIX. Could this be one of those instances?
Gray box & Black box trading record explained.
Discretionary judgement is used to determine which of the 3 trading rules are to be followed at any given time. Furthermore, because execution on the live account is done manually, calling it a graybox system is more accurate. The live account does not follow an automated system. It would be interesting to see which method performs better over time. Regardless, either the graybox or blackbox methods should deliver outstanding performance.