End of Month down 1 pct + triggered 1/30/2015

See this (In Dec, it did not actually get triggered because it was down a little less than 1 pct)

End of Month down 1 pct (ish) triggered 12/31/2014


End of Month down 1 pct (ish) triggered 12/31/2014

On 12/31/2014, SPY is down about 1%. There is a 100 pct chance historically (at least) that there will be a profitable opening or close really soon. Buying SPY on the last trading day of the year without any other condition used to be 100% profitable till 12/31/2013, but then last year was up huge at the end of the year.


For those @DougKass critics (non-quantitative post)

I don’t work for @DougKass, don’t have money invested with him. I don’t know him personally. There are so many haters after I tweeted risk happens fast and I learned that from Doug. Here are my thoughts:

(1) If you notice, every time Doug says something like risk happens fast, it is usually a warning because of some fundamental issues Doug can observe in the marketplace (I suppose he uses some technical too but I don’t know). I usually reduce position sizing.
(2) Lots of people complains about Doug’s TBT trade but I don’t hear people mentioning his muni bond trade. What about buying at the low of the 2009 ? No one can be right all the time, even George Soros could be wrong. Position sizing is the key. If you read Doug’s tweet and uses ALL of your money to buy TBT…. You better go read something on position sizing first or you will be broke soon. Do you think Doug put his millions of client money in one trade ? He would be out of business by now.

VIX above BB band EOD 7/17/2014

This is a variation of the VIX above BB band trade.

VIX closed above 2 standard deviation of BB band using 25 days mv and 2 standard deviation.

I did other test with requirement that the signal has not happened in 30 days. Without any restrictions, we get 200+ trades with 93% win rate. Win loss however is 0.18. Take this trade only if you have other indicators/edge.