Volatility Derived Model

 **This is for informational purposes only and not a recommendation to Buy or Sell E-mini or any other investment vehicle**

**LongSPY in effect**

This model monitors the rate of change of volatility indices (e.g. VIX)  representing major market segments, VIX term structure, and investor's expectation of a 2 sigma event in the next thirty days. The use of rate of change eliminates the guess work of establishing threshold levels for any volatility measure to guide buy or sell decisions.
[Archived: For example now a days VIX is at 5 year low. Does this mean the bull market is in trouble?  Not necessarily. Actually VIX has been at a level even lower than this few times in the history of its existence. Surprisingly, markets (instead of collapsing) made significant gains in the next 6-12 months. (I plan to make a post on this in the future, so stay tuned) March 08, 2013].

Trading Guideline:
Model issues a buy/sell using Early Warning Setup - Eagle Eye. 
A conservative buy is issued when histogram turns positive from being negative.
An aggressive buy is issued when histogram is > -0.012 from being below this value.
A sell is issued when histogram drops below -0.012.
A Buy/Sell watch is issued when only one condition is unmet for the final signal.
System doesn't use any stop loss.

Model Time Horizon:
Medium Term: Weeks

Target Audience:
Swing Traders and investors looking for a substitute for B&H investing with market timing to reduce volatility

STATUS (Since June, 2013):
Exit Long SPY at Open on Jun 5, 2013
June 27, 2013, Buy Watch for aggressive investors in effect
July 1st, 2013, Go LONG SPY for aggressive investors in effect
July 8th, 2013, Go LONG SPY for all investors in effect 
Aug 21, 2013, Sell Watch in effect
Exit Long SPY at Open on August 28th, 2013 
September 12th, 2013, Go LONG SPY for aggressive investors in effect
Exit Long SPY at Open on October 2, 2013
October 18th 2013, Go LONG SPY for aggressive investors in effect 
Exit Long SPY at open on December 6, 2013 
A close above previous highest high (on close basis) will negate the signal of this setup 
Long SPY on open of December 20, 2013
Exit Long SPY at open on January 28, 2013 
Long SPY on open of February 14, 2014
Exit Long SPY at open on April 11, 2014 
Long SPY at open on April 20, 2014  
Exit Long SPY at open on July 14, 2014
Long SPY at open on July18, 2014  
Exit Long SPY at open on July 30, 2014  
Long SPY at open on August 14, 2014  
Exit Long SPY at open on September 30, 2014  
Long SPY at open on October 28, 2014
Exit Long SPY at open on December 13, 2014  
Long SPY at open on December 29, 2014
Exit Long SPY at open on January 02, 2015
Long SPY at open on January 27 2014
Exit Long SPY at open on February 02, 2015
Long SPY at open on March 16, 2015
Exit Long SPY at open on June 01, 2015 
Long SPY at open on June 23, 2015
Long SPY at open on March 16, 2015
Exit Long SPY at open on June 29, 2015 
Long SPY at open on July 14, 2015
Exit Long SPY at open on August 21, 2015
Long SPY at open on Oct 06, 2015
Exit Long SPY at open on Dec 14, 2015
Long SPY at open on Dec 23, 2015
Exit Long SPY at open on January 06, 2016
Long SPY at open on Feb 02, 2016
Exit Long SPY at open on June 13, 2016
Long SPY at open on July 07, 2016
Exit Long SPY at open on Sep 13, 2016
Long SPY at open on Sep 26, 2016
Exit Long SPY at open on October 13, 2016
Long SPY at open on November 18, 2016 
Exit Long SPY at open on March 24, 2017
Long SPY at open on April 27, 2017
Exit Long SPY at open on August 11, 2017
Long SPY at open on August 30, 2017
Exit Long SPY at open on October 19, 2017
Long SPY at open on November 03, 2017
Exit Long SPY at open on November 14, 2017
Long SPY at open on November 22, 2017
....
Exit Long SPY at open on January 27, 2020
Long SPY at open on February 05, 2020
Exit Long SPY at open on February 25, 2020
Long SPY at open on April 07, 2020
Exit Long SPY at open on September  04, 2020
Long SPY at open on September 25, 2020

Exit Long SPY at open on October 06, 2020
Long SPY at open on November 04, 2020

 

The setup 

(Chart updated on after the close on November 11, 2022)

Equity Curve Since March 2009 

(as of July 31, 2017)

*ETFs or mutual funds (leveraged or non leveraged) tracking the performance of SP500 index are the most suitable products to trade with this setup.