Wednesday, April 08, 2009

Crosses and Reversals

Yesterday's post profiled some Qs/VXN reversals. Today's deals with what happens when the Qs and VXN successfully cross. While we managed to scrape a few dimes out of yesterday's trades, the Qs/VXN reversal at 10:30 that continued until 13:00 yielded a nice .50 gain, almost the entire hi-lo range for the day. We then got another reversal at 13:00 that ran to 14:00 and kicked out another .20 gain. While these types of returns are a bit unusual, they are certainly welcome and the setup doesn't get much easier to see.
Side note: I've linked a real time 5 minute bar chart of the Qs on the right of the blog with the pivots, parabolics and 11 and 30 linear regression lines.

4 comments:

John Pingel said...

BZB: These Crosses and Reversals that you’ve engineered are good ones. The Qs/$VXN reversals part of the setup is straightforward. On the MACD it is not so easy to see the settings. What are the MACD settings? I see in the 3/4/2009 blog posting where you mention a 3,14,3 MACD for day trading. Then it looks like you overlay 3 and 7 period SMAs of the MACD signal line to get the crossovers.

bzbtrader said...

John,
SMAs are 3 & 7. MACD lines are 5/20 and 3/16. The blue histogram is classic 12/26/9.

fiki said...

BZB: I´m just starting to follow your blog. I scrolled back throught your older posts and found that for the scaling you monitor the VIX on 1 or 2/3 minute bars that only reference the current day. For a daily price cross what would the lookback be? I´m using prophet charts in TOS for the comparison and noticed the crosses changed when using for example 1 year och 3 months... Cool blog btw. Love the out-of-the-box tactics.

bzbtrader said...

fiki,
The VIX/price cross thing is really designed for intraday bars. While it does generate some signals on daily bars I have not pursued any backtesting research in that area so I just post the Telechart VIX/price crosses as part of my typical weekly update. I'm not familiar with the embedded algorithms in prophet charts so I'm not going to be any help there. Sorry.
My main focus for the past year has been daytrading or very short term swing trading (2-4 days)as a risk management tactic. As I've mentioned several times in the blog I find it much easier to see (and trade) what's happening on the intraday charts than I do on the dailies. If you're in a daytrading mode stop in the free Market Rewind chatroom sometime. There are several who follow the VIX crosses in the Qs, the IWM and SPY, along with other short term tactics.
Thanks for checking in.......