Part 2: Testing a New Model: Trading the SP500 Spyders ($SPY) along with CBOE’s Volatility Index ($VIX.X)

by Administrator on February 2, 2010

As stated in our post on January 29th, we are starting to test out a new model based on trading the SP500 Spyders ($SPY) along with CBOE’s Volatility Index ($VIX.X) with the BAM Pair Trading Strategy and wanted to share a trade that took place on Friday afternoon. 

 The net profit potential was $308 trading shorting SPY at $108.77 while buying VIX.X at $22.97. Entered position at 12:30pm EST and exited at 4:15pm EST.

As mentioned, we are still working on the settings (the results are just the base settings, so perhaps it can be improved upon).

We will continue to keep everyone posted on this model and look forward to hearing any feedback/suggestions.


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