| Jan 2012 VXX forecasts |
|
|
|
|
|
%VXX |
actual |
|
# days |
(-) |
(+) |
| Correct |
17 |
-23.75 |
1.74 |
| Wrong |
2 |
-2.46 |
1.70 |
| No forecast |
1 |
|
|
| Score |
89/100 |
|
|
Buying VXX on the close on days we forecast that VXX would close UP the next day — and shorting VXX or buying XIV on the close on days we forecast that VXX would close DOWN the next day — would have produced a cumulative daily gain for Jan 2012 of 21.33% (23.75+1.74 -2.46-1.70=21.33).
|
%VXX |
|
|
qPath |
%VXX |
|
Days |
|
Avg |
|
StDevP |
|
|
next day |
Score |
|
Jan 31 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-2.72 |
100 |
1.1 |
1.1 |
-56.92 |
49.93 |
20 |
13 |
-2.85 |
3.84 |
2.30 |
3.81 |
|
|
|
114 |
114 |
-8.74 |
1.00 |
3 |
1 |
-2.91 |
1.00 |
1.50 |
0.00 |
|
|
|
1144 |
1144 |
1.28 |
0.00 |
3 |
0 |
0.43 |
- |
2.37 |
- |
|
|
|
|
Jan 30 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| up |
0.00 |
100 |
1.4 |
1.4 |
-11.52 |
13.63 |
5 |
5 |
- |
2.73 |
1.26 |
3.80 |
|
|
|
144 |
144 |
0.00 |
0.46 |
0 |
2 |
- |
0.23 |
- |
0.23 |
|
|
|
1443 |
1443 |
0.00 |
0.00 |
0 |
1 |
- |
0.00 |
- |
0.00 |
|
|
|
|
Jan 27 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| up |
3.03 |
100 |
4.4 |
4.4 |
0.00 |
9.99 |
0 |
2 |
- |
5.00 |
- |
1.97 |
|
|
|
443 |
443 |
0.00 |
3.03 |
0 |
1 |
- |
3.03 |
- |
0.00 |
|
|
|
4431 |
4431 |
4.00 |
3.03 |
2 |
1 |
2.00 |
3.03 |
1.00 |
0.00 |
|
|
|
|
Jan 26 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-2.14 |
100 |
4.3 |
4.3 |
-45.68 |
0.97 |
16 |
2 |
-2.86 |
0.49 |
2.06 |
0.48 |
|
|
|
431 |
431 |
-7.40 |
0.00 |
2 |
0 |
-3.70 |
- |
1.56 |
- |
|
|
|
4313 |
4313 |
-3.40 |
0.00 |
4 |
0 |
-0.85 |
- |
3.14 |
- |
|
|
|
|
Jan 25 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-0.04 |
100 |
3.1 |
3.1 |
-75.08 |
47.90 |
22 |
14 |
-3.41 |
3.42 |
2.74 |
3.23 |
|
|
|
313 |
313 |
-48.07 |
22.53 |
12 |
6 |
-4.01 |
3.76 |
3.27 |
2.54 |
|
|
|
3133 |
3133 |
-40.55 |
13.22 |
9 |
3 |
-4.51 |
4.41 |
3.63 |
2.37 |
|
|
|
|
Jan 24 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-4.21 |
100 |
1.3 |
1.3 |
-59.37 |
84.14 |
22 |
23 |
-2.70 |
3.66 |
0.00 |
3.44 |
|
|
|
133 |
133 |
-38.06 |
23.08 |
15 |
8 |
-2.54 |
2.88 |
2.15 |
4.52 |
|
|
|
1333 |
1333 |
-21.33 |
16.06 |
8 |
4 |
-2.67 |
4.01 |
2.37 |
6.08 |
|
|
|
|
Jan 23 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| up |
0.36 |
100 |
3.3 |
3.3 |
-99.96 |
100.90 |
38 |
28 |
-2.63 |
3.60 |
2.00 |
4.02 |
|
|
|
333 |
333 |
-29.79 |
37.57 |
14 |
13 |
-2.13 |
2.89 |
1.12 |
3.27 |
|
|
|
3333 |
3333 |
-2.48 |
19.07 |
4 |
6 |
-0.62 |
3.18 |
2.77 |
3.20 |
|
|
|
|
Jan 20 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| up |
-2.46 |
0 |
3.3 |
3.3 |
-99.96 |
100.90 |
38 |
28 |
-2.63 |
3.60 |
2.00 |
4.02 |
|
|
|
333 |
333 |
-29.79 |
37.57 |
14 |
13 |
-2.13 |
2.89 |
1.12 |
3.27 |
|
|
|
3333 |
3333 |
-2.48 |
19.07 |
4 |
6 |
-0.62 |
3.18 |
2.77 |
3.20 |
|
|
|
|
Jan 19 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-3.04 |
100 |
3.3 |
3.3 |
-99.96 |
100.90 |
38 |
28 |
-2.63 |
3.60 |
2.00 |
4.02 |
|
|
|
333 |
333 |
-29.79 |
37.57 |
14 |
13 |
-2.13 |
2.89 |
1.12 |
3.27 |
|
|
|
3331 |
3331 |
-17.91 |
16.15 |
9 |
4 |
-1.99 |
4.04 |
1.18 |
3.80 |
|
|
|
|
Jan 18 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-2.79 |
100 |
3.3 |
3.3 |
-99.96 |
100.90 |
38 |
28 |
-2.63 |
3.60 |
2.00 |
4.02 |
|
|
|
331 |
331 |
-51.33 |
27.54 |
15 |
5 |
-3.42 |
5.51 |
2.62 |
6.71 |
|
|
|
3313 |
3313 |
-16.01 |
22.38 |
7 |
3 |
-2.29 |
7.46 |
2.09 |
8.08 |
|
|
|
|
Jan 17 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-3.43 |
100 |
3.1 |
3.1 |
-75.08 |
47.90 |
22 |
14 |
-3.41 |
3.42 |
2.74 |
3.23 |
|
|
|
313 |
313 |
-48.07 |
22.53 |
12 |
6 |
-4.01 |
3.76 |
3.27 |
2.54 |
|
|
|
3132 |
3132 |
0.57 |
1.60 |
3 |
1 |
0.19 |
1.60 |
2.69 |
0.00 |
|
|
|
|
Jan 13 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-0.86 |
100 |
1.3 |
1.3 |
-59.37 |
84.14 |
22 |
23 |
-2.70 |
3.66 |
2.04 |
3.44 |
|
|
|
132 |
132 |
-3.26 |
18.20 |
2 |
4 |
-1.63 |
4.55 |
0.77 |
2.46 |
|
|
|
1323 |
1323 |
3.14 |
2.01 |
3 |
1 |
1.05 |
2.01 |
1.58 |
0.00 |
|
|
|
|
Jan 12 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| N/F |
2.71 |
N/F |
3.2 |
3.2 |
-19.47 |
21.24 |
7 |
6 |
- |
3.54 |
1.67 |
2.38 |
|
|
|
323 |
323 |
0.00 |
4.85 |
0 |
2 |
- |
2.43 |
- |
0.28 |
|
|
|
3233 |
3233 |
4.00 |
2.71 |
2 |
1 |
2.00 |
2.71 |
1.00 |
0.00 |
|
|
|
|
Jan 11 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-1.60 |
100 |
2.3 |
2.3 |
-7.32 |
10.45 |
2 |
4 |
-3.66 |
2.61 |
2.05 |
1.62 |
|
|
|
233 |
233 |
-1.60 |
10.45 |
1 |
4 |
-1.60 |
2.61 |
0.00 |
1.62 |
|
|
|
2334 |
2334 |
2.40 |
2.54 |
3 |
1 |
0.80 |
2.54 |
1.89 |
0.00 |
|
|
|
|
Jan 10 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
1.70 |
0 |
3.4 |
3.3 |
-99.96 |
100.90 |
38 |
28 |
-2.63 |
3.60 |
2.00 |
4.02 |
|
|
|
343 |
334 |
-7.49 |
19.51 |
6 |
6 |
-1.25 |
3.25 |
0.53 |
2.57 |
|
|
|
3433 |
3343 |
-0.60 |
11.02 |
6 |
4 |
-0.10 |
2.75 |
1.67 |
1.95 |
|
|
|
|
Jan 9 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-2.11 |
100 |
3.4 |
3.4 |
-33.91 |
11.37 |
13 |
3 |
-2.61 |
3.79 |
1.67 |
4.66 |
|
|
|
343 |
343 |
-20.48 |
11.37 |
8 |
3 |
-2.56 |
3.79 |
1.79 |
4.66 |
|
|
|
3433 |
3433 |
-15.76 |
11.09 |
9 |
2 |
-1.75 |
5.55 |
2.58 |
4.84 |
|
|
|
|
Jan 6 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-1.45 |
100 |
4.3 |
4.3 |
-45.68 |
0.97 |
16 |
2 |
-2.86 |
0.49 |
2.06 |
0.48 |
|
|
|
433 |
433 |
-36.90 |
0.97 |
13 |
2 |
-2.84 |
0.49 |
2.14 |
0.48 |
|
|
|
4333 |
4333 |
-19.60 |
0.97 |
5 |
2 |
-3.92 |
0.49 |
1.94 |
0.48 |
|
|
|
|
Jan 5 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-1.52 |
100 |
3.3 |
3.3 |
-99.96 |
100.90 |
38 |
28 |
-2.63 |
3.60 |
2.00 |
4.02 |
|
|
|
333 |
333 |
-29.79 |
37.57 |
14 |
13 |
-2.13 |
2.89 |
1.12 |
3.27 |
|
|
|
3331 |
3331 |
-17.91 |
16.15 |
9 |
4 |
-1.99 |
4.04 |
1.18 |
3.80 |
|
|
|
|
Jan 4 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-2.30 |
100 |
3.3 |
3.3 |
-99.96 |
100.90 |
38 |
28 |
-2.63 |
3.60 |
2.00 |
4.02 |
|
|
|
331 |
331 |
-51.33 |
27.54 |
15 |
5 |
-3.42 |
5.51 |
2.62 |
6.71 |
|
|
|
3313 |
3313 |
-16.01 |
22.38 |
7 |
3 |
-2.29 |
7.46 |
2.09 |
8.08 |
|
|
|
|
Jan 3 |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
(-) |
(+) |
| down |
-1.96 |
100 |
3.1 |
3.1 |
-75.08 |
47.90 |
22 |
14 |
-3.41 |
3.42 |
2.74 |
3.23 |
|
|
|
313 |
313 |
-48.07 |
22.53 |
12 |
6 |
-4.01 |
3.76 |
3.27 |
2.54 |
|
|
|
3131 |
3131 |
-0.09 |
1.04 |
4 |
1 |
-0.02 |
1.04 |
2.14 |
0.00 |
Gainers next day Mostly gainers next day Mostly losers next day Losers next day
Notes:
1) Grey 2-digit qPaths are all VXX qPaths except green and red qPaths. Related Tickers: VelocityShares Daily 2x VIX ST ETN (NYSEArca:TVIX), VelocityShares Daily Inverse VIX ETN (NYSEArca:XIV), VelocityShares Daily Inverse VIX Medium-Term ETN (NYSEArca:ZIV), iPath S&P 500 VIX Mid-Term Futures ETN (NYSEArca:VXZ), VIX Mid-Term Futures ETN (NYSEArca:VXZ), iPath S&P 500 VIX Short-Term Futures ETN (NYSEArca:VXX) |