The S&P Model is short as of the close on March 27th. No open orders.
The NASDAQ model is flat and in cash. No open orders.
The NASDAQ model is flat and in cash. No open orders.
The VIX Model is long as of the close on March 27th. No open orders.
The road map image at left shows the current long and short term influences on the S&P and real time out of sample performance results on the models mentioned above, for a longer term model performance history click on the links above.
5 comments:
Dear Ripe Trade,
Thank you for this very informative blog, which is a daily must-read for me. I've got a question for the S&P500 trainbg model set up: Assuming a trade is imminent the next trading day "if the VIX is greater smaller than X". When do you check the VIX as "greater or smaller than X" as an order limit on close or market on close needs to be entered / cancelled at 3:40 p.m Eastern time - at least with my broker. This makes me unsure as to whether I can trade this set up at all, which would be a pitty.
Thanks, Joe
A market on close order can be canceled up until the last second, to enter a market on close order there is a 3:40 cut off, at least at my broker. Also mutual fund orders can be entered at any time before the close ( no 3:40 cut off) and of course you will get the closing price. I usually don’t bother with the market on close orders because I watch the market all day. I either enter a market or limit order as close to the close as possible. If you check the VIX value a couple of minutes before the close it should do the trick. The order doesn’t necessarily have to be a market on close order. I hope this helps.
Thank you. I'll check this out. It would definitively work if my broker lets me cancel the MOC order until right before execution. Just to get the right understanding - you trade this with the E-mini futures contract?
Thanks, Joe
Sorry- one more question. If you mean buy a futures contract at the close, do you mean the close of the cash market session at 4:00 p.m. or the close of the electronic session which I think is at 4:30 p.m.?
Thanks, Joe
Joe,
For various accounts we may trade the futures , minis included, SPY, SDS, SSO, and Rydex open end funds. The Futures SPY, SSO, SDS all close at 4:15 est and the VIX + Open end funds close at 4 est. One last thought is that most of these trades go into a drawdown so there are many opportunities to get in at the same if not better price as the MOC price.
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