AMEX:UVXY   PROSHARES TRUST ULTRA VIX SHORT TERM FUTURES ETF
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If was real time posted in the TV room. Self Explanitory.
Don't get all serious guys this was kind of a joke but I was emphasizing when vix is at a proper extreme you and just sell a vix product like uvxy or buy it depending on the extreme and walk away and wait for it to regress or cycle and it may just be one of the best trades available. I was feeeling it was about to turn this day and mentioned it ...and it turned on the spot and did its thing. You know the beta on uvxy moves compaared to the moved in the indexes is much higher...and sometimes vix regression is much better than many regular trades. Don't even bother with the strats..I change them often to suit the current conditions for heads up. I was just calling attention to vix regression trades from extremes.
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FYI, I poked around in your code a bit and I believe there is a lookahead bias in your strategy. You're using the open and close value for a 720 minute window (using the security() method) so the script already knows the close value before the interval is over. So the strategy would only work well on historical data but not in realtime. This is my understanding of how this works as I have made the same mistake in the past. Feel free to correct me if I'm wrong.
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JasonGrigsby PRO JasonGrigsby
Now that I think about it, that would cause the "repainting" Algyros mentioned.
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chartmojo PRO JasonGrigsby
dont worry about the strats I change them frequently to suit the current conditon for a heads up. I was just calling a vix regression trade, half joking here..and it co operated..read my second comment above.
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chartmojo PRO chartmojo
I was calling an intraday scalp...that could possibly turn into a position.
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One more thing, but, first, thank you for sharing this idea.

Second, could you tell me if I'm remembering correctly that an earlier version of the Vdub indicator tended to repaint? In other words, a buy or sell signal was placed by the strategy a number of bars earlier than realtime, often in a more profitable position. Has that bug been worked out in the current version?

If so, this would be an utterly amazing strategy.

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yes dont worry about the strat I change them frequently to suit conditions..I was just sort of jokingly pointing out in real time a vix regression trade...sometimes a vix regression in a leveraged instrument is the best trade available, often over looked and mis understood.
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Thanks for the heads up. What time frame are you using?
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