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Bruce E. Harrison wrote:
> Hi Realtraders,(although recent flaming and useless threads, makes me wonder)
>
> As a realtrader making a living I have recently been doing some extensive
> research on the VIX index as a leading indicator for short term moves.
> Larry Conners new book on Advanced Trading Tech is an excellent resource.
> I have been range contraction in the VIX index as a prelude to a strong
> breakout move.
> My question is, are there any other Realtraders researching the use of the
> VIX index or other uses of the VIX index. I was very interested in the
> modified VIX posted recently but misplaced the poster. I tried looking in
> up in TASC but could not find it. If you are out there please contact me.
>
> Bruce Harrison
> <mailto://trader@xxxxxxxxxx>
While this is not meant as a tease or a solicitation by any means. I wish to let you have a glimpse
of a proprietary trading system that we tested for a client who wishes to remain anonymous. The
point of the post is to assure you there is something to the VIX and don't give up. We just wish we
had more data on the VIX to test it back further than 94.
NDR_SP500$VIX SPPERP.CSV-60 min 04/11/94 - 05/12/98
Performance Summary: All Trades
Total net profit $ 178205.00 Open position P/L $ 1920.00
Gross profit $ 222062.50 Gross loss $ -43857.50
Total # of trades 38 Percent profitable 61%
Number winning trades 23 Number losing trades 15
Largest winning trade $ 38872.50 Largest losing trade $ -9025.00
Average winning trade $ 9654.89 Average losing trade $ -2923.83
Ratio avg win/avg loss 3.30 Avg trade(win & loss) $ 4689.61
Max consec. winners 4 Max consec. losers 2
Avg # bars in winners 194 Avg # bars in losers 106
Max intraday drawdown $ -12875.00
Profit factor 5.06 Max # contracts held 1
Account size required $ 12875.00 Return on account 1384%
--
TC
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