RealMoneyIssues
Well-known member
No.
I load GDX into the system to trade NUGT/DUST.
I could load MSFT to trade MSFT.
I could load TVIX to trade TVIX/XIV
Would decay be an issue using TVIX?
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Or you can now use TapaTalk again!userque & NUGT/DUST
- Thread starter userque
- Start date
Would decay be an issue using TVIX?
userque
Well-known member
I believe all leveraged etf's decay, including NUGT/DUST.
I could speculate and say, "no," as the system is not holding these etf's for very long. But, I'd rather just test it out and see what the results of the testing say.
RealMoneyIssues
Well-known member
I believe all leveraged etf's decay, including NUGT/DUST.
I could speculate and say, "no," as the system is not holding these etf's for very long. But, I'd rather just test it out and see what the results of the testing say.
I guess my point was that you are feeding the system with a leveraged ETN, and that would mean to me (a simpleton) that the input data is flawed due to decay.
GDX doesn't (necessarily) suffer from decay, so charting/calculating on it would be (IMHO) much more accurate than charting, say, NUGT.
I'm done, time to work, thanks for listening, replying, and programming.
userque
Well-known member
Consider the graphs below. They represent the data the system will be using. One is longer term, the other shorter.
Notice in both images that the peaks and valleys continue to line up.
As long as the historical data is correlated, the system can use it. Skew may occur going forward, but I suspect the historical data is adjusted; as it typically can be for splits, etc., for example.
The skew going forward should be a non-issue as I won't be holding long.
k0nkuzh0n
Well-known member
Re: userque & NUGT/DUST
the VIX ETFs from time to time seem to have a mind of their own and not correlate well for a given day. Like the VIX will be up 5%, and the (NON inverse) ETF will be down 10% (Random numbers, but you get the idea)
Word of caution, UVXY will result in getting a Schedule K. So if you aren't trading in an IRA, don't file your taxes right away. Schedule K's don't get mailed out until mid March.
userque
Well-known member
Re: userque & NUGT/DUST
Thanks...didn't read that about schedule K's yet! (I suspect the same applies to SVXY?) Nor have I seen such mis-correlations yet. :blink:
But before I would spend the time reading/researching, it's easiest just to copy/paste the data into my system and see it if hunts first, if it doesn't--case closed.
userque
Well-known member
Also, if you know, have you seen such mis-correlations between the derivative ETF's of the VIX (TVIX for example)and the inverse (XIV)--(regardless of the VIX...as I won't be using the VIX as the underlying, just one of the pairs); such as both closing up big, or both closing down big!?
userque
Well-known member
I'll check. I won't be using VIX. I'm more interested in whether, say, UVXY and SVXY would ever both be up or down big, at the same time (closing)--as they are inverse to each other, and one would be used to generate signals. I'll check for that on that day.
......
All is still well with the universe. Both UVXY and SVXY kept their inverse relationship on 8-25-15
k0nkuzh0n
Well-known member
In the data I looked at, from jan 1 2014 onward to today, there was only 7 (out of 574) times that UVXY and SVXY had a positive (wrong) correlation
Date UVXY SVXY
[TABLE="width: 185"]
[TR]
[TD="align: right"]9/17/2015
[/TD]
[TD="align: right"]-1.70%[/TD]
[TD="align: right"]-0.03%
[/TD]
[/TR]
[TR]
[TD="align: right"]4/1/2015[/TD]
[TD="align: right"]-0.33%[/TD]
[TD="align: right"]-0.03%[/TD]
[/TR]
[TR]
[TD="align: right"]2/25/2014[/TD]
[TD="align: right"]-0.19%[/TD]
[TD="align: right"]-0.06%[/TD]
[/TR]
[TR]
[TD="align: right"]6/30/2015[/TD]
[TD="align: right"]-1.21%[/TD]
[TD="align: right"]-0.48%[/TD]
[/TR]
[TR]
[TD="align: right"]3/5/2014[/TD]
[TD="align: right"]-0.27%[/TD]
[TD="align: right"]-0.11%[/TD]
[/TR]
[TR]
[TD="align: right"]2/10/2014[/TD]
[TD="align: right"]-0.11%[/TD]
[TD="align: right"]-0.10%[/TD]
[/TR]
[TR]
[TD="align: right"]5/1/2014[/TD]
[TD="align: right"]0.04%[/TD]
[TD="align: right"]0.11%[/TD]
[/TR]
[/TABLE]
As you can see, all small numbers.
userque
Well-known member
Thanks k0n! I can live with those numbers!
userque
Well-known member
SIGNAL: NUGT again
Still holding nugt.
Code:04-06-16 ENTERED NUGT AT 59.15 03-30-16 ENTERED DUST AT 03.14---04-06-16 EXITED DUST AT 03.16 MAJOR upgrade 03-28-16 ENTERED NUGT AT 54.25---03-30-16 EXITED NUGT AT 60.38 03-21-16 ENTERED DUST AT 03.19---03-28-16 EXITED DUST AT 03.60 03-18-16 ENTERED NUGT AT 67.65---03-21-16 EXITED NUGT AT 65.20 optimized, fixed 1 bug 03-15-16 ENTERED DUST AT 03.83---03-18-16 EXITED DUST AT 03.08 minor system update, fixed 2 bugs 03-14-16 ENTERED NUGT AT 54.37---03-15-16 EXITED NUGT AT 56.80 03-11-16 ENTERED DUST AT 03.61---03-14-16 EXITED DUST AT 04.04 major system update 02-29-16 ENTERED NUGT AT 58.25---03-11-16 EXITED NUGT AT 61.59 02-24-16 ENTERED DUST AT 04.51---02-29-16 EXITED DUST AT 04.22 02-04-16 ENTERED NUGT AT 36.78---02-24-16 EXITED NUGT AT 55.95 major system update 02-02-16 ENTERED DUST AT 13.05---02-04-16 EXITED DUST AT 08.77 01-26-16 ENTERED TNA AT 44.93---01-27-16 EXITED TNA AT 44.85 01-25-16 ENTERED TZA AT 61.15---01-26-16 EXITED TZA AT 60.51 01-20-16 ENTERED TNA AT 42.98---01-25-16 EXITED TNA AT 44.79
_______________________________________________________________________________________________________________________________
DISCLAIMER: Userque's trading signals are not affiliated with TSP Talk or Buy Low Sell High, Inc. The information is for educational purposes only! The information is not advice or recommendations. The information may be revised at anytime. Userque does not give investment advice. Do not act on this data. Do not buy, sell or trade any stocks, ETF's, indices, funds, or any other instruments/vehicles based on this information. Userque may trade differently than discussed or posted in this forum.
userque
Well-known member
SIGNAL: HOLD
Still holding nugt.
NUGT last trade price: $78.12
Code:04-06-16 ENTERED NUGT AT 59.15 03-30-16 ENTERED DUST AT 03.14---04-06-16 EXITED DUST AT 03.16 MAJOR upgrade 03-28-16 ENTERED NUGT AT 54.25---03-30-16 EXITED NUGT AT 60.38 03-21-16 ENTERED DUST AT 03.19---03-28-16 EXITED DUST AT 03.60 03-18-16 ENTERED NUGT AT 67.65---03-21-16 EXITED NUGT AT 65.20 optimized, fixed 1 bug 03-15-16 ENTERED DUST AT 03.83---03-18-16 EXITED DUST AT 03.08 minor system update, fixed 2 bugs 03-14-16 ENTERED NUGT AT 54.37---03-15-16 EXITED NUGT AT 56.80 03-11-16 ENTERED DUST AT 03.61---03-14-16 EXITED DUST AT 04.04 major system update 02-29-16 ENTERED NUGT AT 58.25---03-11-16 EXITED NUGT AT 61.59 02-24-16 ENTERED DUST AT 04.51---02-29-16 EXITED DUST AT 04.22 02-04-16 ENTERED NUGT AT 36.78---02-24-16 EXITED NUGT AT 55.95 major system update 02-02-16 ENTERED DUST AT 13.05---02-04-16 EXITED DUST AT 08.77 01-26-16 ENTERED TNA AT 44.93---01-27-16 EXITED TNA AT 44.85 01-25-16 ENTERED TZA AT 61.15---01-26-16 EXITED TZA AT 60.51 01-20-16 ENTERED TNA AT 42.98---01-25-16 EXITED TNA AT 44.79
_______________________________________________________________________________________________________________________________
DISCLAIMER: Userque's trading signals are not affiliated with TSP Talk or Buy Low Sell High, Inc. The information is for educational purposes only! The information is not advice or recommendations. The information may be revised at anytime. Userque does not give investment advice. Do not act on this data. Do not buy, sell or trade any stocks, ETF's, indices, funds, or any other instruments/vehicles based on this information. Userque may trade differently than discussed or posted in this forum.
userque
Well-known member
Status Update
The above quoted 'improvement' didn't hunt during backtests. No changes made.
Currently building TVIX/XIV matrix. May have a signal, if it hunts, by close today.
userque
Well-known member
SIGNAL: HOLD
Still holding nugt.
NUGT last trade price: $78.00
Still testing TVIX/XIV. Not looking great so far. Should have a conclusion by tomorrow. Afterwards, I'll find and test some low-priced, volatile, swing tradable stock to see how it stacks up to NUGT/DUST. Then I'll finally revisit TNA/TZA using the latest system.
Code:04-06-16 ENTERED NUGT AT 59.15 03-30-16 ENTERED DUST AT 03.14---04-06-16 EXITED DUST AT 03.16 MAJOR upgrade 03-28-16 ENTERED NUGT AT 54.25---03-30-16 EXITED NUGT AT 60.38 03-21-16 ENTERED DUST AT 03.19---03-28-16 EXITED DUST AT 03.60 03-18-16 ENTERED NUGT AT 67.65---03-21-16 EXITED NUGT AT 65.20 optimized, fixed 1 bug 03-15-16 ENTERED DUST AT 03.83---03-18-16 EXITED DUST AT 03.08 minor system update, fixed 2 bugs 03-14-16 ENTERED NUGT AT 54.37---03-15-16 EXITED NUGT AT 56.80 03-11-16 ENTERED DUST AT 03.61---03-14-16 EXITED DUST AT 04.04 major system update 02-29-16 ENTERED NUGT AT 58.25---03-11-16 EXITED NUGT AT 61.59 02-24-16 ENTERED DUST AT 04.51---02-29-16 EXITED DUST AT 04.22 02-04-16 ENTERED NUGT AT 36.78---02-24-16 EXITED NUGT AT 55.95 major system update 02-02-16 ENTERED DUST AT 13.05---02-04-16 EXITED DUST AT 08.77 01-26-16 ENTERED TNA AT 44.93---01-27-16 EXITED TNA AT 44.85 01-25-16 ENTERED TZA AT 61.15---01-26-16 EXITED TZA AT 60.51 01-20-16 ENTERED TNA AT 42.98---01-25-16 EXITED TNA AT 44.79
_______________________________________________________________________________________________________________________________
DISCLAIMER: Userque's trading signals are not affiliated with TSP Talk or Buy Low Sell High, Inc. The information is for educational purposes only! The information is not advice or recommendations. The information may be revised at anytime. Userque does not give investment advice. Do not act on this data. Do not buy, sell or trade any stocks, ETF's, indices, funds, or any other instruments/vehicles based on this information. Userque may trade differently than discussed or posted in this forum.
userque
Well-known member
Status Update:
The system didn't handle TVIX well. I was curious.
Tested a low cost single stock as well. Wasn't impressed.
***********
I went to ETF's long ago. For one (of many) reasons, they cancel/average-out/neutralize the 'weird' price action movements of individual stocks. I believe that makes them more suited for machine learning applications.
I'll eventually try TNA/TZA, (I suspect it'll trade TNA/TZA just fine) but I want to finish building the TSP matrix. Though automated now, doing that (TSP matrix) still takes lots of time and computer resources. The GDX matrix is sufficient right now, going forward, but I want to build it further, going backward, so I can thoroughly backtest it to see how well it would have done in the recent past trading at its best capacity.
userque
Well-known member
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