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Gitanshu, I posted this a few days ago, it is a future back testing of the same system. As you can
see it is not a fluke. There is a very valid theory to volatility vs commodity. Other promising data
is in such items as the Odd Lot Short Ratio and Put Call Ratios.
I certainly know all to well the misgivings of a short testing period and I would never try and fool
others or myself by demonstrating a false or misleading theory. Thank you for the critique we all
need to be on our toes in this business.
--
TC
Gitanshu Buch wrote:
> >Is a picture worth a thousand words?
>
> With all due respect for the trade summary which showed a phenomenal
> win/loss ratio and ROI, this picture is not worth much to me.
>
> Because of the foll reasons:
>
> a.I don't understand conceptually or practically the point being made -
> other than seeing the SnP/VIX plots and the buy/sell arrows where
> essentially two good moves and one shaky move were caught from a total of 8
> trades.
>
> b. The larger of the two significant moves caught - was also captured by any
> rudimentary system of capturing breakouts or trend/oscillation setups.
>
> What, then, is the edge being displayed here? I would imagine that in the
> examples shown, the edge came from money management and not necessarily from
> any interplay of VIX with SnP.
>
> Here's the data from that chart as visually apparent to me:
>
> Trade 1: (12/9-12/18) Short ~ 1000, presumably covered ~ 965 = +35 points =
> Classified GOOD trade.
> Trade 2: (Just before 1/9) Long ~ 980, immediately a loser unless stopped
> out tight.
> Trade 3: (just after 1/9) Short ~ 970, maybe a 5 point gain =
> inconsequential since 5 points = 1/2 ATR these days.
> Trade 4: (just after 1/21) Long ~ 970, caught the mother of all moves from
> 970 to say 1120 (150 linear points, assuming all of it was captured).
>
> a. Trades 2,3,4 seem to be at the same price level, but completely different
> volatility levels; AND coming out of totally different volatility
> precedents.
> b. There is inconsistency in the "rising vix/falling prices" logic within
> the period encompassing these 3 trades; because use of such logic would have
> captured more action than displayed.
>
> Hence some other decision rule must have been used for trade entry.
>
> Trade 5: Short ~ 1110 (just before 4/1) immediately blew up in the face
> unless you rode out a 30 point drawdown before exiting at b/e.
>
> Trade 6 = third of the three significant trades, caught ~35 slow points.
>
> Trade 7: Short ~1120, blew up - 10 points again, unless re-entry at same
> price later (not indicated on chart).
>
> Trade 8: Long ~1100, oscillating between b/e and + 25 points.
>
> General observation from displayed chart is that unless there is a sustained
> trend, the non-money management component of your decision rules seems to be
> capturing noise and getting whipsawed.
>
> Also, there are profitable moves captured by using the charts displayed by
> BobR and me previously on RT; using vix as the primary trade driver, within
> the regions where your displayed system gets whipsawed.
>
> Win-loss isn't anywhere near your number - but % profitable still gets there
> or better.
>
> Finally, TC - this is being sent privately and the criticism is intended to
> be constructive because I'm seriously trying to recognize the point your
> chart is making and learn from it - not inflammatory in intent.
>
> Regards
> Gitanshu
NDR_SP500$VIX SPPERP.CSV-60 min 01/22/90 - 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%
Performance Summary: Long Trades
Total net profit $ 171240.00 Open position P/L $ 1920.00
Gross profit $ 175585.00 Gross loss $ -4345.00
Total # of trades 19 Percent profitable 79%
Number winning trades 15 Number losing trades 4
Largest winning trade $ 38872.50 Largest losing trade $ -2692.50
Average winning trade $ 11705.67 Average losing trade $ -1086.25
Ratio avg win/avg loss 10.78 Avg trade(win & loss) $ 9012.63
Max consec. winners 6 Max consec. losers 2
Avg # bars in winners 269 Avg # bars in losers 197
Max intraday drawdown $ -10600.00
Profit factor 40.41 Max # contracts held 1
Account size required $ 10600.00 Return on account 1615%
Performance Summary: Short Trades
Total net profit $ 6965.00 Open position P/L $ 0.00
Gross profit $ 46477.50 Gross loss $ -39512.50
Total # of trades 19 Percent profitable 42%
Number winning trades 8 Number losing trades 11
Largest winning trade $ 9245.00 Largest losing trade $ -9025.00
Average winning trade $ 5809.69 Average losing trade $ -3592.05
Ratio avg win/avg loss 1.62 Avg trade(win & loss) $ 366.58
Max consec. winners 2 Max consec. losers 4
Avg # bars in winners 53 Avg # bars in losers 73
Max intraday drawdown $ -29560.00
Profit factor 1.18 Max # contracts held 1
Account size required $ 29560.00 Return on account 24%
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