| April 18th, 2011 07:48 AM |
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| membar |
My FKOS gains for the year have all but vanished :(
Allen: why not a step function instead of mx + b? |
| April 18th, 2011 12:24 PM |
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| HeidiTwit |
Hi membar, it's quiet around here!
Someone on cnbc said they were long on vxx because it couldn't go down any more. That makes me skeptical.
My DH is in the wrong side of TNA. Big hurts for all of us here, I'm guessing. |
| April 18th, 2011 01:24 PM |
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| allen314159 |
Quote:
membar wrote:
My FKOS gains for the year have all but vanished :(
Allen: why not a step function instead of mx + b?
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Maybe you should call it quits with FKOS. Then I won't feel guilty if you loose money with it. :(
I'm in FAZ trying to make back a little of that harsh opening gap we had.
re: step function,
The market probably displays a smooth relationship between what's considered low volatility and nominal volatility. |
| April 18th, 2011 01:28 PM |
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| allen314159 |
BTW, I've come up with an overnight prediction scheme... Seems to do around 60% accuracy (but that's with an optimized backtest). And I'm going to switch between FKOS and ZKOS (FAZ-KOS). That's the plan. It's ballsy because it could hold FAZ for over a day... But I'm trying to move towards a market neutral position vs. trying to ride financials.
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| April 18th, 2011 01:43 PM |
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| allen314159 |
Another BTW,
Tuesday, April 16? |
| April 18th, 2011 02:08 PM |
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| HeidiTwit |
Allen, last year when you ran the competition, it seemed that there was a gap up more times than not, if the etf was rising from the bottom of the bollinger band to the top. Reverse on the way from top to bottom. |
| April 18th, 2011 04:07 PM |
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| allen314159 |
Weird... I'm beginning to wonder if the "perfect inverse" assumption is applicable for FAS FAZ.
I got out of FAS at 28.25, then got into FAZ at 42.985. Then got out of FAZ at 42.93, and back in FAS at 28.1488.
So although I saved on FAS, I lost on FAZ, even though I used one-triggers-another market orders to reverse my position between FAS/FAZ.
Hmm.
Another thing I noticed is that FAS.IV, FAZ.IV display in real-time on google finance charts, while FAS/FAZ are still lagging. |
| April 18th, 2011 04:09 PM |
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| allen314159 |
Quote:
HeidiTwit wrote:
Allen, last year when you ran the competition, it seemed that there was a gap up more times than not, if the etf was rising from the bottom of the bollinger band to the top. Reverse on the way from top to bottom.
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Based on the -3% opening gap, and -1% open-to-close, statistics are lightly bullish for FAS tomorrow morning. |
| April 18th, 2011 06:54 PM |
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| membar |
Quote:
allen314159 wrote:
Another BTW,
Tuesday, April 16?
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Oops. Renamed it. Wish it were Friday. |
| April 18th, 2011 06:57 PM |
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| membar |
Quote:
allen314159 wrote:
Maybe you should call it quits with FKOS. Then I won't feel guilty if you loose money with it. :(
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I'm the one that came up with 0.23 ATR initially, so I've only myself to "blame".
It's official, I'm under water on FKOS despite a 30% runup at one point in time. :(
I'm going to keep playing, though. Official drawdown is 33% and I messed up with the Japan crisis by staying out. ATR can't keep staying this low forever, unless the summer doldrums are already starting. |
| April 18th, 2011 07:11 PM |
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| allen314159 |
I think what's really killing FKOS is how stagnant financials have been.. Especially when looking over the last 1.5-2 years and comparing with the general market. I kinda assumed that they would run up with the market, but financials have been amazing at underperforming. At least the financial sector has good EPS in comparison to other sectors.
Anyway, today is an example of how ZKOS would've performed better than FKOS (since open-to-close was positive for FAZ, negative for FAS, and "Z" wouldn't have gotten stopped out) |
| April 18th, 2011 07:45 PM |
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| membar |
Quote:
allen314159 wrote:
Anyway, today is an example of how ZKOS would've performed better than FKOS (since open-to-close was positive for FAZ, negative for FAS, and "Z" wouldn't have gotten stopped out)
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Didn't you say once in a previous analysis that ZKOS performed pretty decently? |
| April 18th, 2011 07:50 PM |
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| membar |
Quote:
allen314159 wrote:
I think what's really killing FKOS is how stagnant financials have been.
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Also, when I started playing last December, FAS was 24.xx and now it's still 28.xx, so holding would have been more favorable. 0.23 ATR is almost a guaranteed stop out if ATR is low, which is why your mx + b thing seems promising. However, I keep telling myself that ATR was this low during certain periods last year too. Low volatility means that something is going to explode to the upside or the downside. Remember that thing I said about buying OTM calls and puts each month and waiting for something eventful to happen? |