codypd
Short

SVXY/VIX KAGI PAYS AGAIN

202 8 4
This chart outperforms me again and I am thinking of simply placing half my assets in it.

It has been 4 months since I last posted an update and it completed 2 more trades in that window, one a 21% win and the next a 47% win.

This is so simple that I have a very hard time trading it. Really.

Yet it wins.

In the coming days I am going to look at this as a signal for doing the opposite trade in UVXY             and seeing what results.
codypd
5 months ago
Got asked on twitter when SVXY will turn long. With the current Kagi leg having a high of 3.39 you need the ratio of SVXY/VIX to post 3.40 or higher. That can happen in the next day or two with a big VIX drop. But if things linger with a high VIX the roll trade that SVXY models (which is basically short VXV and buy VIX a month later) will produce heavy losses. SVXY will lose a lot of value as it covers stuff it sold at $16 a month ago with $25 buys today. The numerator then takes on some real damage that a one day drop in the VIX won't fix.

These inflection points (where the VIX changes sustained direction) are hard to forecast and depend solely on when the S&P trend changes. For those cues I look for RSI divergences and volume changes on SPY. So there's your answer, which isn't really a definitive answer.
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Algyros PRO
5 months ago
I remember your original post of this chart. I found the concept very interesting, so I observed it closely for a while. What I discovered is that the chart repainted its signals. In other words, a signal (I think it was a buy) appeared the chart about a month after it had "occurred." Specifically, the chart changed color retroactively.

Have you noticed this? If so, is there a way to remedy the problem?

Thanks for sharing.
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codypd Algyros
5 months ago
That is a problem with ratio charts on TV when you are using a symbol that they only update daily (VIX). There isn't enough history for to use SPYIX as a substitute over these time frames, but it should work. I use SPYIX for my intraday VIX indicator and it works fairly well (but still has update gaps minutes in length). So you have to update your trading timeframe accordingly.
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Algyros PRO
5 months ago
For example, did this chart turn bearish on 6/10 in realtime?
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Algyros PRO
5 months ago
Thanks for the reply. Could you clarify your solution a bit? Exactly what ratio do you use in place of SVXY:VIX in the daily time frame?
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codypd Algyros
5 months ago
SVXY/SPYIX. Again, it will get an approximation of the VIX and you have to be mindful that the daily KAGI that you are shooting for is based on the close, so intraday whiplash may throw a signal that doesn't stick by end of day.
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Algyros PRO
5 months ago
I've been looking at Kagi charts in real time, and it seems that the date of a "signal" is not the date when the color changes, but the date when the next elbow appears. In other words, it seems that you're basing your statistics on prices that occurred many days before an actual signal was issued. BTW, I'm not a Kagi expert and I would very much like to be wrong, since your charts are the epitome of simplicity and elegance.
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bachacha
2 months ago
I wonder, does it really work in real time? How? I don t understand the strategy, could you explain it please, thank you?!
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