Posted 29 July 2007 - 03:21 PM
If you remember my RSI2 VIX buy system, it has 70% winning trades on SPY.
The rules are, RSI2 of VIX must satisfy the following conditions:
1) 2 days ago > 80
2) 1 day ago > 90
3) today > 95
When conditions meet, go long SPY then sell when RSI of VIX < 65
By using this method, the following trades follow:
You will note that 70% of them were winners, going back to 1995. The problem is, THIS HAS NOT GIVEN A BUY SIGNAL AS OF END OF FRIDAY.
This system will give a buy signal on one more day of flat to higher VIX.
Position Symbol Shares Entry Date Entry Price Exit Date Exit Price % Change Net Profit Bars Held Profit/Bar Entry Signal Exit Signal Cum Profit MAE % MFE %
Long SPY 1,531 09/03/96 65.75 09/06/96 65.94 0.27 271.06 3 90.35 271.06 -1.12 1.52
Long SPY 1,423 10/25/96 70.31 10/31/96 70.84 0.74 740.04 4 185.01 1,011.11 -0.87 0.80
Long SPY 1,315 12/03/96 74.75 12/04/96 74.95 0.26 251.08 1 251.08 1,262.19 -0.88 0.42
Long SPY 1,368 12/13/96 73.31 12/17/96 72.95 -0.51 -507.66 2 -253.83 754.53 -1.96 0.51
Long SPY 1,354 01/02/97 74.03 01/03/97 75.09 1.42 1,422.77 1 1,422.77 2,177.30 0.00 1.48
Long SPY 1,265 03/19/97 78.78 03/20/97 78.38 -0.53 -529.84 1 -529.84 1,647.46 -1.15 0.28
Long SPY 1,095 07/21/97 91.31 07/22/97 93.73 2.64 2,635.98 1 2,635.98 4,283.44 0.00 2.72
Long SPY 1,080 08/13/97 92.28 08/14/97 92.63 0.36 355.31 1 355.31 4,638.75 -0.61 1.12
Long SPY 1,147 10/28/97 92.22 10/31/97 92.06 -0.18 -195.28 3 -65.09 4,443.47 -2.68 1.66
Long SPY 1,046 12/12/97 95.75 12/16/97 97.31 1.62 1,618.38 2 809.19 6,061.84 0.00 2.15
Long SPY 904 03/25/98 110.16 04/01/98 110.83 0.59 591.40 5 118.28 6,653.25 -1.08 0.94
Long SPY 858 07/23/98 114.19 07/30/98 114.22 0.01 10.60 5 2.12 6,663.84 -2.03 0.79
Long SPY 967 08/31/98 96.00 09/01/98 100.06 4.22 3,912.92 1 3,912.92 10,576.77 -2.47 4.75
Long SPY 983 10/01/98 98.81 10/02/98 100.72 1.91 1,857.60 1 1,857.60 12,434.36 -1.61 2.09
Long SPY 854 12/14/98 113.75 12/15/98 116.69 2.57 2,493.05 1 2,493.05 14,927.42 0.00 2.64
Long SPY 811 01/14/99 121.22 01/15/99 124.38 2.59 2,543.51 1 2,543.51 17,470.93 0.00 2.63
Long SPY 804 02/09/99 121.53 02/10/99 122.31 0.63 612.73 1 612.73 18,083.66 -0.17 1.21
Long SPY 770 06/14/99 129.94 06/15/99 130.81 0.66 657.75 1 657.75 18,741.41 0.00 1.32
Long SPY 737 07/26/99 134.75 07/27/99 135.88 0.82 813.13 1 813.13 19,554.54 0.00 1.82
Long SPY 755 08/04/99 130.63 08/06/99 130.38 -0.21 -204.75 2 -102.38 19,349.79 -1.36 1.05
Long SPY 780 10/15/99 124.88 10/19/99 127.00 1.69 1,641.50 2 820.75 20,991.29 -1.15 2.70
Long SPY 658 03/28/00 151.06 03/29/00 151.22 0.09 86.64 1 86.64 21,077.93 -0.93 0.94
Long SPY 694 09/26/00 142.41 09/28/00 146.13 2.60 2,564.98 2 1,282.49 23,642.91 -0.20 2.75
Long SPY 714 10/10/00 137.69 10/13/00 137.56 -0.11 -105.25 3 -35.08 23,537.66 -3.56 0.68
Long SPY 711 11/09/00 140.03 11/13/00 133.03 -5.02 -4,994.11 2 -2,497.05 Stop Loss 18,543.56 -5.00 0.00
Long SPY 732 11/13/00 135.56 11/14/00 139.13 2.61 2,591.38 1 2,591.38 21,134.94 0.00 3.00
Long SPY 796 02/22/01 125.81 02/26/01 127.62 1.42 1,424.76 2 712.38 22,559.70 -3.19 1.44
Long SPY 891 03/22/01 111.12 03/23/01 114.48 3.01 2,977.76 1 2,977.76 25,537.46 0.00 3.19
Long SPY 840 07/09/01 119.70 07/12/01 121.19 1.23 1,235.60 3 411.87 26,773.07 -2.18 1.48
Long SPY 880 09/06/01 110.77 09/17/01 101.00 -8.84 -8,613.60 3 -2,871.20 Stop Loss 18,159.47 -8.82 0.43
Long SPY 909 09/17/01 104.30 09/19/01 99.09 -5.02 -4,756.43 2 -2,378.22 Stop Loss 13,403.04 -5.00 0.96
Long SPY 913 04/26/02 107.39 04/30/02 107.86 0.42 413.11 2 206.56 13,816.15 -0.71 1.16
Long SPY 1,217 07/23/02 79.95 07/24/02 84.72 5.95 5,789.10 1 5,789.10 19,605.25 -2.84 6.47
Long SPY 1,152 08/05/02 83.77 08/06/02 86.59 3.35 3,232.64 1 3,232.64 22,837.89 0.00 4.93
Long SPY 1,086 08/29/02 92.14 08/30/02 91.78 -0.41 -406.96 1 -406.96 22,430.93 -0.80 1.36
Long SPY 1,077 12/04/02 92.45 12/06/02 92.03 -0.47 -468.34 2 -234.17 21,962.59 -2.67 0.38
Long SPY 1,184 02/07/03 83.42 02/11/03 83.43 0.00 -4.16 2 -2.08 21,958.43 -0.92 1.54
Long SPY 1,015 08/04/03 98.51 08/06/03 96.98 -1.57 -1,568.95 2 -784.47 20,389.48 -2.20 0.25
Long SPY 870 02/23/04 114.59 02/24/04 114.39 -0.19 -190.00 1 -190.00 20,199.48 -0.60 0.35
Long SPY 873 03/10/04 112.58 03/12/04 112.58 -0.02 -16.00 2 -8.00 20,183.48 -1.31 0.61
Long SPY 894 04/30/04 110.96 05/03/04 112.15 1.06 1,047.86 1 1,047.86 21,231.34 0.00 1.20
Long SPY 923 08/06/04 106.85 08/10/04 108.22 1.27 1,248.51 2 624.26 22,479.86 0.00 1.46
Long SPY 827 01/03/05 120.30 01/06/05 118.61 -1.42 -1,413.63 3 -471.21 21,066.22 -1.91 0.20
Long SPY 851 01/21/05 116.78 01/25/05 116.88 0.07 69.10 2 34.55 21,135.32 -0.35 0.59
Long SPY 840 06/27/05 119.15 06/28/05 120.15 0.82 824.00 1 824.00 21,959.32 0.00 0.91
Long SPY 836 10/06/05 119.20 10/07/05 119.61 0.33 326.76 1 326.76 22,286.09 -0.06 0.71
Long SPY 851 10/13/05 117.43 10/14/05 118.67 1.04 1,039.24 1 1,039.24 23,325.32 0.00 1.18
Long SPY 792 05/19/06 127.10 05/24/06 126.17 -0.75 -752.56 3 -250.85 22,572.76 -1.84 0.42
Long SPY 810 07/17/06 123.34 07/18/06 123.97 0.49 494.30 1 494.30 23,067.07 -0.77 0.58
Long SPY 689 02/27/07 139.50 02/28/07 140.93 1.01 969.26 1 969.26 24,036.33 0.00 1.78
Long SPY 659 06/07/07 149.10 06/08/07 151.04 1.28 1,262.45 1 1,262.45 25,298.79 -0.01 1.40
Long SPY 667 06/26/07 148.29 06/27/07 150.40 1.41 1,391.37 1 1,391.37 26,690.16 -0.16 1.54
Qui custodiet ipsos custodes?
