Are your buy and sell signals using the VIX:VXV ratio hard and fast (I see you reference 1.08 as an entry point, but then later on say that 1.10 would have been better) or is it +/- 10% over the 10d SMA of the ratio?
I don't think I have posted a chart that reflects this, but I tend to favor four signals of increasing strength on the bullish side (ranging from 1.08 to 1.15) and four signals on the bearish side (ranging from 0.92 to 0.85).
I generally use these as guidelines for scaling in and out of positions, for determining when to use options or other forms of leverage, etc.
As for which is better, it's the same old story: 1.10 gives fewer signals, but better ones; 1.08 adds some weaker signals, which should increase expectancy, but lower the percentage of winners.
I think the trick is to use other indicators to help refine entries and exits signaled by the VIX:VXV ratio.
Are your buy and sell signals using the VIX:VXV ratio hard and fast (I see you reference 1.08 as an entry point, but then later on say that 1.10 would have been better) or is it +/- 10% over the 10d SMA of the ratio?
ReplyDeleteHi Jeff,
ReplyDeleteI don't think I have posted a chart that reflects this, but I tend to favor four signals of increasing strength on the bullish side (ranging from 1.08 to 1.15) and four signals on the bearish side (ranging from 0.92 to 0.85).
I generally use these as guidelines for scaling in and out of positions, for determining when to use options or other forms of leverage, etc.
As for which is better, it's the same old story: 1.10 gives fewer signals, but better ones; 1.08 adds some weaker signals, which should increase expectancy, but lower the percentage of winners.
I think the trick is to use other indicators to help refine entries and exits signaled by the VIX:VXV ratio.
Cheers,
-Bill