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I use a Vix system as part of my market allocation.. It is not
perfect ( nothing is). I use it along with Market Vane data and use
it to make up part of my matrix of scaling in and out of the Sp 500
and Nasdaq. My model uses Sentiment.( which Vix measures)
Breadth.. Momentum as well as Interest rates.. Below I listed my
results..
Sentiment I want to point out is early ...before market
turns.possibly..... same with interest rates... they make up the
envirnoment that we are trading in..I would encourage to use more
emphasis on Breadth systems..and Momentum...they can be easy
concepts.. use groups of systems because not one is the Holy Grail..
Andrew Abraham
vix andrew $VIX-Daily 05/03/97 - 01/25/99
Date Time Type Cnts Price Signal Name Entry P/L Cumulative
10/27/97 Sell 1 39.96
11/20/97 SExit 1 27.98 $ 11.98 $ 11.98
12/01/97 Buy 1 24.88
01/09/98 LExit 1 34.46 $ 9.58 $ 21.56
01/09/98 Sell 1 34.46
01/13/98 SExit 1 25.93 $ 8.53 $ 30.09
01/14/98 Buy 1 24.21
03/25/98 LExit 1 23.08 $ -1.13 $ 28.96
03/25/98 Sell 1 23.08
04/20/98 SExit 1 20.86 $ 2.22 $ 31.18
04/27/98 Sell 1 26.45
04/29/98 SExit 1 23.24 $ 3.21 $ 34.39
05/19/98 Buy 1 20.30
06/15/98 LExit 1 26.93 $ 6.63 $ 41.02
06/15/98 Sell 1 26.93
06/17/98 SExit 1 23.23 $ 3.70 $ 44.72
06/23/98 Buy 1 19.79
07/23/98 LExit 1 24.84 $ 5.05 $ 49.77
07/23/98 Sell 1 24.84
07/30/98 SExit 1 22.57 $ 2.27 $ 52.04
07/31/98 Sell 1 26.27
09/23/98 SExit 1 31.53 $ -5.26 $ 46.78
09/23/98 Buy 1 31.53
09/30/98 LExit 1 41.94 $ 10.41 $ 57.19
09/30/98 Sell 1 41.94
10/15/98 SExit 1 35.95 $ 5.99 $ 63.18
10/15/98 Buy 1 35.95
12/14/98 LExit 1 32.47 $ -3.48 $ 59.70
12/14/98 Sell 1 32.47
12/17/98 SExit 1 28.07 $ 4.40 $ 64.10
12/18/98 Buy 1 24.66
01/12/99 LExit 1 29.68 $ 5.02 $ 69.12
01/12/99 Sell 1 29.68
vix andrew $VIX-Daily 05/03/97 - 01/25/99
Performance Summary: All Trades
Total net profit $ 69.12 Open position P/L $ -1.99
Gross profit $ 78.99 Gross loss $ -9.87
Total # of trades 16 Percent profitable 81%
Number winning trades 13 Number losing trades 3
Largest winning trade $ 11.98 Largest losing trade $ -5.26
Average winning trade $ 6.08 Average losing trade $ -3.29
Ratio avg win/avg loss 1.85 Avg trade(win & loss) $ 4.32
Max consec. winners 6 Max consec. losers 1
Avg # bars in winners 11 Avg # bars in losers 42
Max intraday drawdown $ -27.16
Profit factor 8.00 Max # contracts held 1
Account size required $ 27.16 Return on account 254%
Performance Summary: Long Trades
Total net profit $ 32.08 Open position P/L $ 0.00
Gross profit $ 36.69 Gross loss $ -4.61
Total # of trades 7 Percent profitable 71%
Number winning trades 5 Number losing trades 2
Largest winning trade $ 10.41 Largest losing trade $ -3.48
Average winning trade $ 7.34 Average losing trade $ -2.31
Ratio avg win/avg loss 3.18 Avg trade(win & loss) $ 4.58
Max consec. winners 3 Max consec. losers 1
Avg # bars in winners 18 Avg # bars in losers 44
Max intraday drawdown $ -24.88
Profit factor 7.96 Max # contracts held 1
Account size required $ 24.88 Return on account 129%
Performance Summary: Short Trades
Total net profit $ 37.04 Open position P/L $ -1.99
Gross profit $ 42.30 Gross loss $ -5.26
Total # of trades 9 Percent profitable 89%
Number winning trades 8 Number losing trades 1
Largest winning trade $ 11.98 Largest losing trade $ -5.26
Average winning trade $ 5.29 Average losing trade $ -5.26
Ratio avg win/avg loss 1.01 Avg trade(win & loss) $ 4.12
Max consec. winners 6 Max consec. losers 1
Avg # bars in winners 8 Avg # bars in losers 38
Max intraday drawdown $ -27.16
Profit factor 8.04 Max # contracts held 1
Account size required $ 27.16 Return on account 136%
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