VIX AutoCorrelation

DayTrading Algo

Below is a virtual One Side DayTrading robot tested on SPX.  
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Rules 

1. Every trading day: If no position open SPX position at the end of the trading day. 2. Next day close the position if losses > 0.25%. ----------------------------------------------------------------------------------------
	LONG					SHORT
year	% change	drawdown	win/loss ratio		year	% change	drawdown	win/loss ratio
2005	14.16	-1.60	0.65		2005	1.97	-1.77	0.4
2006	17.26	0.35	0.68		2006	-4.49	-5.3	0.43
2007	31.34	-1.30	0.54		2007	25.7	-2.6	0.45
2008	51.61	-7.10	0.26		2008	99.05	-0.26	0.35
2009	57.07	-2.65	0.39		2009	52.95	-0.67	0.31
2010	39.13	-1.70	0.52		2010	21.76	-1.1	0.37
2011	55.32	-1.30	0.54		2011	61.12	-0.65	0.45
2012	25.88	-1.09	0.53		2012	10.77	-5.08	0.47
2013	30.43	-0.42	0.79		2013	2.97	-2.72	0.47
2014	21.81	-0.75	0.65		2014	0.03	-3.03	0.38
2015	33.40	-0.52	0.53		2015	37.94	1.07	0.63
2016	16.62	-3.16	0.52		2016	18.02	-0.26	0.57

+$500.00 Saudi's Ramp: Closed All Naked Puts in WTI

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
9/29/2016 12:21	SINGLE	BUY	1	TO CLOSE	/CLZ6 1/1000 DEC 16	/LOZ6	37.5	PUT	0.21
9/29/2016 12:21	SINGLE	BUY	1	TO CLOSE	/CLF7 1/1000 JAN 17	/LOF7	32.5	PUT	0.12

+$200.00 from NASDAQ Short

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
9/23/2016 10:00	FUTURE	BUY	1	TO CLOSE	/NQZ6	16-Dec		FUTURE	4867.5
9/22/2016 9:29	FUTURE	SELL	-1	TO OPEN	/NQZ6	16-Dec		FUTURE	4878.25

Short NASDAQ Pure Delta

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price
9/22/2016 9:29	FUTURE	SELL	-1	TO OPEN	/NQZ6	16-Dec		FUTURE	4878.25

Position Statement on 9/20/16

using Beta Weighing on 'SPY'
Instrument	Qty	Days	Strike		Break Mark	Delta	Theta	Vega	BP Effect
/CL						46.32	24.1	-71.2	($2,579.00)
Light Sweet Crude Oil Futures,Dec-2016,ETH	0	62		0	44.12	0	0	0
Light Sweet Crude Oil Futures,Jan-2017,ETH	0	91		0	44.79	0	0	0
1/1000 DEC 16 /LOZ6 37.5 PUT	-1	57	37.5	0.51	0.7	32.23	16.13	-42.26
1/1000 JAN 17 /LOF7 32.5 PUT	-1	86	32.5	0.33	0.35	14.09	7.97	-28.94
/ES						-101.57	12.4	-102.09	($3,687.50)
E-mini S&P 500 Index Futures,Dec-2016,ETH	0	87		0	2136.25	0	0	0
1/50 OCT 16 (EOM) /EWV6 2200 CALL	-1	41	2200	9	8.25	-101.57	12.4	-102.09

+$2100 of Green Bucks by Crack Spread

Exec Time	Spread	Side	Qty	Pos Effect	Symbol	Exp	Strike	Type	Price	Crack
										9.9644
9/20/2016 10:50	FUTURE	BUY	3	TO CLOSE	/RBZ6	16-Dec		FUTURE	1.2982
9/20/2016 10:50	FUTURE	SELL	-3	TO CLOSE	/CLZ6	16-Dec		FUTURE	44.56