shillllihs
6,095 posts
msg #138996
- Ignore shillllihs
modified |
11/1/2017 11:18:39 AM
Closed TMV short 18.78, will drop more.
Took that and added to my XIV 112.45
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shillllihs
6,095 posts
msg #138997
- Ignore shillllihs |
11/1/2017 11:48:51 AM
My ratio of Xiv to tmv was 75% to 25%.
So I added 25%
If this runs it will be a huge run for possibly 2-3 weeks.
If not, it will have caught me by surprise.
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shillllihs
6,095 posts
msg #138998
- Ignore shillllihs |
11/1/2017 11:57:26 AM
Bad case scenario, this could dip to 100-102, worse case, it goes to 0.
On a big dip I'm bringing 800,000 in.
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shillllihs
6,095 posts
msg #139001
- Ignore shillllihs |
11/1/2017 12:10:36 PM
Just saying Tmv may have bottomed.
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shillllihs
6,095 posts
msg #139002
- Ignore shillllihs |
11/1/2017 12:55:51 PM
Think I'm wrong, Tmv will still sink while Xiv rises big.
Ok, now sushi and visit gramps at the cemetery on All Souls' Day.
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Kevin_in_GA
4,599 posts
msg #139003
- Ignore Kevin_in_GA |
11/1/2017 1:26:41 PM
I had several sell signals last night on XIV - no position at the moment. In theory I should be holding a LOT of XIV even with the sell signals, but trade carefully.
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shillllihs
6,095 posts
msg #139008
- Ignore shillllihs
modified |
11/1/2017 3:30:40 PM
Why should you still be holding Xiv, do you still have some buy signals?
And more so, you sidestepped my question last time, how has your system for Xiv performed since inception particularly july 2014 to Jan 2016. Trying to figure out if Xiv long worked in that timeframe.
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Kevin_in_GA
4,599 posts
msg #139011
- Ignore Kevin_in_GA |
11/1/2017 4:30:05 PM
Here you go. Trying to post an equity curve but photobucket just sucks.
Period - 01/01/2014 through 06/01/2016
Initial equity for system: $100,000
Initial equity for XIV: $100,000
Ending Equity for system: $279,130 (179% ROI)
Ending equity for XIV: $94,751 (-5.25% ROI)
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shillllihs
6,095 posts
msg #139012
- Ignore shillllihs
modified |
11/1/2017 4:51:24 PM
Seems the system works though I really just wanted to see
July 14, 2014 till end of Feb 2016, so maybe subtract 100%
That's when the market started to zigzag.
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Kevin_in_GA
4,599 posts
msg #139013
- Ignore Kevin_in_GA
modified |
11/1/2017 8:46:10 PM
For that specific period, the system returned $178,709 (78.7% ROI) while XIV dropped to $41,259 (-58.7% ROI).
298 trades, 217 wins (72.8% win rate).
Average win - 6.63%
Average loss - 8.01%
Sharpe Ratio (annualized) was 1.17.
Max drawdown on closed trades was 11.16%. Max drawdown intratrade was 28.4%. A rough time but it beat the snot out of buy and hold.
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