Friday, November 12, 2010

VIX and SPY at RSI(2) Extremes

The market is falling while the VIX is spiking. Yes, we finally had a long overdue pullback, but it's not a full blown correction (yet). Volume today was lighter than yesterday and, in my opinion, this pullback looks healthy and orderly. The SPY currently sits just above its support at the 20 day moving average, and the VIX hit resistance at its 50 day moving average. On top of this, the SPY and VIX RSI(2) levels are at extreme high and lows.







This got me to thinking: What happens when the VIX RSI(2) > 90 and SPY RSI(2) <10 while above the 200 day MA?


VIX RSI(2) >90 and SPY RSI(2) <10, buy SPY on close above 200 day MA; sell 'n' days later. $100,000 per trade; 1993 to present.
Exit n
Days
Net Profit
# Trades
# of winners
% of Winners
Max. Trade % DD
Avg % P/L
W. Avg. Profit
L. Avg. Loss
Profit Factor
Payoff Ratio
1
    32,318.71
86
60
69.77
-3.79
0.38
     904.48
       (844.24)
2.47
1.07
2
    52,976.31
83
58
69.88
-4.01
0.64
  1,295.40
       (886.27)
3.39
1.46
3
    69,227.10
81
61
75.31
-4.29
0.85
  1,584.88
    (1,372.52)
3.52
1.15
4
    76,794.44
79
56
70.89
-4.29
0.97
  1,956.27
    (1,424.20)
3.34
1.37
5
    79,872.86
78
56
71.79
-4.58
1.02
  2,021.69
    (1,515.55)
3.40
1.33
6
    73,425.61
76
52
68.42
-10.58
0.97
  2,230.32
    (1,772.96)
2.73
1.26
7
    95,155.61
75
58
77.33
-10.58
1.27
  2,265.93
    (2,133.43)
3.62
1.06
8
    94,227.91
74
56
75.68
-10.58
1.27
  2,523.34
    (2,615.50)
3.00
0.96
9
 105,401.58
72
55
76.39
-10.58
1.46
  2,571.76
    (2,120.31)
3.92
1.21
10
 109,133.28
70
52
74.29
-10.58
1.56
  2,842.27
    (2,148.04)
3.82
1.32


Looks like some upside bias. Now what about a dynamic exit such as RSI(2) >65?


VIX RSI(2) >90 and SPY RSI(2) <10, buy SPY on close > 200 day MA; sell RSI(2) > 65. $100,000 per trade; 1993 to present.

Net Profit
# Trades
# of winners
% of Winners
Max. Trade % DD
Avg % P/L
W. Avg. Profit
L. Avg. Loss
Profit Factor
Payoff Ratio

    99,971.51
79
69
87.34
-5.48
1.27
  1,641.72
    (1,330.71)
8.51
1.23


Now this looks like a HIGH PROBABILITY trade! Something to keep in mind for next week.

5 comments:

Bud said...

Very nice. Can you post the data for SPY vs. VIX from 2000-present?

Chris C said...
This comment has been removed by the author.
Chris said...

Here it is Bud:

2000 - present. Exit RSI(2) > 65.

Net Profit 34292.34
# Trades 40
# of winners 34
% of Winners 85
Max. Trade % DD -5.47
Avg % P/L 1.01
W. Avg. Profit 1269.07
L. Avg. Loss -1476.03
Profit Factor 4.87
Payoff Ratio 0.86

Average hold is about 5 days.

Anonymous said...

Hi, thanks for that. Can you share with us what software you use to generate those tables? Thank you!

Chris said...

www.Amibroker.com

The program provides more metrics than shown here. I just pick a few key stats, export them to excel, then color 'em up.

Glad you enjoy them.

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