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They were by design a shot vol player selling weeklies. Just search reddit to see how simple their main strategies are. They got burned in 2015 and they started to explore other opportunities. The feb VIX spike was gradual (rising for several days) so they can avoid it w/o any issue. If it is an...

I think his algo is kind of out-of-control now. Ridiculously high # of trade of long VXX recently.

Thank you for the explanation. My guess is that at the market open if the SPY dipped he intend to long VXX during the day otherwise long XIV. Is that roughly in the line?

Hi bbpp, Thank you for all the excellent analysis. Would you please expand a little bit on how the VIX daytrader has deviated from his original strategy? I am his subscriber and has been losing money for quite some time. I noticed that many of his recent losses are coming long vxx under this...

My algo aslo tried to short XIV in morning around 10am and had the same problem. I also had to manually switch to long VXX.

http://ratedata.gaincapital.com/ all free of charge.

Mine is Ok as I have just tested the code. I think your problem might be from the qmao package. You need to install that package at first. I think it is not from install.packages() method but you can directly google "install qmao package R" to see how it is installed. Good luck.

use google finance data require(qmao) currentQuote <- getQuote("AAPL", src="google") #the qmao method there is no 15min delay as in yahoo. And you can still use yahoo for the daily OHLC. I trust yahoo data more than goolge.

Unless you can predict the term structure evolution for 2 years which is impossible I do not think the model is useful for trading. If you are assuming the term structure is not changing it is very straightforward to calculate the daily decay/gain in the volatility ETPs.

Sorry that my browser on my cellphone did not display the book picture.:sneaky: They are pretty decent books.

where are names of the three books?

Here are the R codes I have been using to get index data from Yahoo (google) Finance and send me text message once it breaks a key lvl. You can change it to your own e-mail address and your cellphone #. I am using t-mobile so the to address is YYY@tmomail.net. You can change the warning signal...

There have been academic papers talking about the profitability of index option writing strategies and most of their results can be replicated. In general since 1987 option sellers have an edge. But the real world is not simple, it largely depends on your leverage. If you are selling a spread...

Thanks, will take a close look at FIX engine.

Dear ETers, I have several day trading systems I want to put them into live actions and I need some advice on the platform/broker/programming language. The systems are trading very liquid ETFs and futures and I may further develop systems for FOREX. The time frame is from 1min to 1hr depending...

Although I hold the same idea as you that many of the VRP or term structure algos did not fare very well in the past 3 years, there are still some other even simple TA trading systems still working. One of my old systems I developed in 2011 around the debt+Greek crisis was still able to get my...

Dallas here with a focus on the volatility market:)

Regarding the spread, I think it may not be that relevant. The vix ETNs are tracking the corresponding S&P VIX future indexes which are directly computed from the VIX futures. The spread of 1 cent for short term VIX futures ETNs may be much smaller than the spread for the underlying VIX futures...

try quantconnect.com they are faster compared to quantopian and also free for backtest.

I looked at my actual trade log after seeing Robert's post, I guess I was just lucky since I only sold put before that particular event. BTW, fOptions is a pretty decent package in R for option calculation if you do not trust the Greeks reported by your trading platform and you want to specify...