VIX Filter
in progress
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Andreas M
The current value of VIX and the daychange of the VIX (open vs close) as a filter for trading. I know this is already mentioned, but I personally cannot understand why that is not implemented. It is very important in this LOW Vol environment to stop trading some credit stuff. I do this manually every day, which is annoying. And wrong at some point as I do this not in the moment the trade would be placed. I like to port OO backests to TAT trading. As clean as it could be ported......
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Kyle L
in progress
K
Kyle L
M
M P
This has become evident to me the past few days of May. Just a simple rule of not selling spreads in a low vix environment would avoid losses significantly as it seems the edge of the strategy goes away.
Would be great to block all trades when VIX<13 (or whichever number you backtest in OO) rather than do it in a discretional manner.
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Mario C
I totally agree. In my opinion there are 3 features that should be top priority to port backtest or OO as clean as possible:
- Long trades missing (debit IC,strangles, strangles) specially in this low vol environment.
- Partial close positions. There is a lot of good setups that rely be able to partial close and adjust Stops.
- Add some filters as you said. VIX overnight and VIX are top priority. But gap Up/down and intraday movement Will be cool too.
I'm aware that some or these features are in the Kyles list, hope will be released soon
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Hal M
Agreed. I'm not sure what other use, but both static levels (e.g. VIX must be over 15 for the trade to fire) and relative overnight movement (e.g. VIX must not have dropped more than 1% overnight from yesterday close to today's cash open) are very important and i do these manually right now.
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Mauro F
And also VIX ON GAP, basically same filters as Option Omega backtest
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Hal M
This would be awesome. Currently i enable/disable trades in the scheduler based on VIX gaps. However this can get tricky because the first VIX print of the day often doesn't come until 0931-0933, and if you have a strategy that executes very early in the day you have to be quick. Would be amazing to just add into the template an entry condition based on VIX or SPX gaps (by percent or raw point movement) so you can leave them all enabled and TAT will only take the trades where conditions are met.
Edit to add: Would also be extremely useful to have "day of week" conditions. Where certain trades will only enter on specific days of the week.