VXX forecasts Mar 2012, 9 right, 4 wrong

Mon, April 2, 2012 10:10 PM EDST



# Days
(-)
(+)







Correct
9
-21.53
0







Wrong
4
-0.33
14.41







No forecast
9
-29.45
8.93
Score
69 /  100

(9 / 13 * 100)







qPath %VXX
Days

Avg
StDevP
22 down -0.60 100
Mar 30 (-) (+) (-) (+) (-) (+) (-) (+)




3.4 3.4 -33.91 15.85 13 5 -2.61 3.17 1.67 3.84




341 341 -12.99 0.00 4 0 -3.25 1.02




3411 3411 -12.99 0.00 4 0 -3.25 1.02





M-path %VXX
Days

Avg
StDevP





Mar 30 (-) (+) (-) (+) (-) (+) (-) (+)





2 days -206.93 142.12 73 40 -2.83 3.55 1.97 3.88





3 days -93.19 60.60 28 11 -3.33 5.51 2.22 5.01





4 days -55.22 25.46 14 6 -3.94 4.24 2.27 2.39





5 days -29.96 9.98 9 3 -3.33 3.33 2.43 2.19





6 days -29.96 9.98 9 3 -3.33 3.33 2.43 2.19





qPath %VXX
Days

Avg
StDevP
21 down -2.66 100
Mar 29 (-) (+) (-) (+) (-) (+) (-) (+)




4.1 4.1 -19.22 23.33 5 9 -3.84 2.59 1.42 2.52




411 411 -19.22 3.89 5 3 -3.84 1.30 1.42 0.26




4113 4113 -8.50 2.33 3 2 -2.83 1.16 0.10 0.22





M-path %VXX
Days

Avg
StDevP





Mar 29 (-) (+) (-) (+) (-) (+) (-) (+)





2 days -129.86 92.47 39 29 -3.33 3.19 2.55 2.89





3 days -65.68 42.25 20 14 -3.28 3.02 1.48 3.28





4 days -37.63 23.09 12 10 -3.14 2.31 1.53 2.29





5 days -16.38 9.32 6 5 -2.73 1.86 1.35





6 days 0 0 0 0





qPath %VXX
Days

Avg
StDevP
20 N/F -0.29

Mar 28 (-) (+) (-) (+) (-) (+) (-) (+)




1.1 1.1 -56.92 49.93 20 13 -2.85 3.84 2.30 3.81




113 113 -25.17 21.80 10 5 -2.52 4.36 1.92 2.59




1133 1133 -3.26 10.07 2 2 -1.63 5.04 1.46 0.87





M-path %VXX
Days

Avg
StDevP




Mar 28 (-) (+) (-) (+) (-) (+) (-) (+)





2 days -103.79 144.70 34 27 -3.05 5.36 2.27 5.42





3 days -63.21 72.91 22 12 -2.87 6.08 1.93 6.74





4 days -25.85 39.48 11 7 -2.35 5.64 2.03 6.09





5 days -7.01 22.49 1 3 -7.01 7.50 8.82





6 days 0 0 0 0





qPath %VXX
Days

Avg
StDevP
19 N/F 0.70

Mar 27 (-) (+) (-) (+) (-) (+) (-) (+)




1.3 1.3 -61.39 84.83 24 24 -2.56 3.53 2.02 3.42




133 133 -39.74 23.08 16 8 -2.48 2.88 2.09 4.52




1331 1331 -8.36 0.00 3 0 -2.79 2.46





M-path %VXX
Days

Avg
StDevP





Mar 27 (-) (+) (-) (+) (-) (+) (-) (+)





2 days -94.14 111.36 34 34 -2.77 3.28 2.03 3.29





3 days -52.65 39.36 21 18 -2.51 2.19 2.20 3.26





4 days -15.70 6.51 6 4 -2.62 1.63 1.92 1.79





5 days -7.36 4.80 2 2 -3.68 2.40 2.25





6 days 0 0 0 0





qPath %VXX
Days

Avg
StDevP
18 down 9.83 0
Mar 26 (-) (+) (-) (+) (-) (+) (-) (+)




3.3 3.3 -124.85 114.16 45 30 -2.77 3.81 2.01 4.04




331 331 -59.71 27.54 18 5 -3.32 5.51 2.61 6.71




3314 3314 -5.30 2.94 3 1 -1.77 2.94 0.52 0.00





M-path %VXX
Days

Avg
StDevP





Mar 26 (-) (+) (-) (+) (-) (+) (-) (+)





2 days -206.93 132.29 73 39 -2.83 3.39 1.97 3.80





3 days -93.19 50.77 28 10 -3.33 5.08 2.22 5.06





4 days -37.97 25.32 14 4 -2.71 6.33 1.97 7.27





5 days -19.27 25.32 7 4 -2.75 6.33 2.51 7.27





6 days -19.27 25.32 7 4 -2.75 6.33 2.51 7.27





qPath %VXX
Days

Avg
StDevP
17 N/F -9.37

Mar 23 (-) (+) (-) (+) (-) (+) (-) (+)




3.1 3.1 -89.60 47.90 26 14 -3.45 3.42 2.89 3.23




314 314 -12.35 3.39 5 1 -2.47 3.39 2.58 0.00




3144 3144 -6.94 0.00 1 0 -6.94 0.00





M-path %VXX
Days

Avg
StDevP





Mar 23 (-) (+) (-) (+) (-) (+) (-) (+)





2 days -120.49 92.47 38 29 -3.17 3.19 2.38 2.89





3 days -54.81 50.22 18 15 -3.04 3.35 3.09 2.46





4 days -41.02 37.01 11 9 -3.73 4.11 3.67 2.69





5 days -12.55 25.07 7 7 -1.79 3.58 1.83 2.77





6 days -12.55 25.07 7 7 -1.79 3.58 1.83 2.77





qPath %VXX
Days

Avg
StDevP
16 N/F -6.94

Mar 22 (-) (+) (-) (+) (-) (+) (-) (+)




1.4 1.4 -23.42 13.63 7 5 -3.35 2.73 2.03 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





M-path %VXX
Days

Avg
StDevP





Mar 22 (-) (+) (-) (+) (-) (+) (-) (+)





2 days -94.14 111.36 34 34 -2.77 3.28 2.03 3.29





3 days -52.65 39.36 21 18 -2.51 2.19 2.20 3.26





4 days -36.96 32.85 15 14 -2.46 2.35 2.30 3.55





5 days -23.63 14.82 11 9 -2.15 1.65 0.98





6 days 0 0 0 0





qPath %VXX
Days

Avg
StDevP
15 down 1.14 0
Mar 21 (-) (+) (-) (+) (-) (+) (-) (+)




4.4 4.3 -48.16 0.97 15 2 -3.21 0.49 2.03 0.48




443 443 0.00 4.17 0 2 2.09 0.94




4433 4433 0.00 1.14 0 1 1.14 0.00




M-path %VXX
Days

Avg
StDevP




nf Mar 21 (-) (+) (-) (+) (-) (+) (-) (+)





2 days -206.93 132.29 73 39 -2.83 3.39 1.97 3.80





3 days -113.30 81.51 44 29 -2.57 2.81 1.72 3.05





4 days -68.99 52.31 24 20 -2.87 2.62 1.82 2.92





5 days -15.71 35.49 10 14 -1.57 2.54 2.92





6 days 0 0 0 0





qPath %VXX
Days

Avg
StDevP
14 down -4.97 100
Mar 20 (-) (+) (-) (+) (-) (+) (-) (+)




4.3 4.3 -43.20 0.97 14 2 -3.09 0.49 2.04 0.48




433 433 -32.67 0.97 10 2 -3.27 0.49 2.19 0.48




4333 4333 -19.60 0.97 5 2 -3.92 0.49 1.94 0.48





M-path %VXX
Days

Avg
StDevP




down Mar 20 (-) (+) (-) (+) (-) (+) (-) (+)





2 days -197.51 131.14 71 38 -2.78 3.45 1.97 3.83





3 days -103.88 80.37 42 28 -2.47 2.87 1.69 3.08





4 days -64.03 51.17 23 19 -2.78 2.69 1.81 2.97





5 days -48.32 16.54 13 5 -3.72 3.31 1.78 2.92





6 days -48.32 16.54 13 5 -3.72 3.31 1.78 2.92





qPath %VXX
Days

Avg
StDevP
13 down -4.45 100
Mar 19 (-) (+) (-) (+) (-) (+) (-) (+)




3.3 3.3 -114.19 104.34 43 29 -2.66 3.60 1.97 3.95




333 333 -41.87 41.01 17 14 -2.46 2.93 1.30 3.15




3331 3331 -22.45 16.15 10 4 -2.24 4.04 1.36 3.80





M-path %VXX
Days

Avg
StDevP





Mar 19 (-) (+) (-) (+) (-) (+) (-) (+)




3.3 2 days -191.30 131.14 70 38 -2.73 3.45 1.94 3.83





3 days -103.88 80.37 42 28 -2.47 2.87 1.69 3.08





4 days -38.48 29.20 18 9 -2.14 3.24 1.48 3.27





5 days -22.78 15.75 10 3 -2.28 5.25 1.75 3.81





6 days -22.78 15.75 10 3 -2.28 5.25 1.75 3.81





qPath %VXX
Days

Avg
StDevP
12 N/F -6.21

Mar 16 (-) (+) (-) (+) (-) (+) (-) (+)




3.3 3.3 -102.96 100.90 40 28 -2.57 3.60 1.99 4.02




331 331 -53.50 27.54 17 5 -3.15 5.51 2.59 6.71




3313 3313 -16.01 22.38 7 3 -2.29 7.46 2.09 8.08





qPath %VXX
Days

Avg
StDevP
11 down -0.09 100
Mar 15 (-) (+) (-) (+) (-) (+) (-) (+)




3.1 3.1 -80.14 47.90 24 14 -3.34 3.42 2.66 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





qPath %VXX
Days

Avg
StDevP
10 N/F -1.69

Mar 14 (-) (+) (-) (+) (-) (+) (-) (+)




1.3 1.3 -59.70 84.14 23 23 -2.60 3.66 2.05 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





qPath %VXX
Days

Avg
StDevP
9 down 3.44 0
Mar 13 (-) (+) (-) (+) (-) (+) (-) (+)




3.3 3.3 -109.48 100.90 42 28 -2.61 3.60 1.97 4.02




333 333 -37.15 37.57 16 13 -2.32 2.89 1.20 3.27




3333 3333 -6.48 19.07 2 6 -3.24 3.18 0.78 3.20





qPath %VXX

Days
Avg
StDevP
8 down -4.76 100
Mar 12 (-) (+) (-) (+) (-) (+) (-) (+)




3.3 3.3 -102.96 100.90 40 28 -2.57 3.60 1.99 4.02




333 333 -32.61 37.57 15 13 -2.17 2.89 1.09 3.27




3333 3333 -6.48 19.07 2 6 -3.24 3.18 0.78 3.20





qPath
%VXX
Days
Avg
StDevP
7 down -4.54 100
Mar 9 (-) (+) (-) (+) (-) (+) (-) (+)




3.3 3.3 -102.96 100.90 40 28 -2.57 3.60 1.99 4.02




333 333 -32.61 37.57 15 13 -2.17 2.89 1.09 3.27




3331 3331 -17.91 16.15 9 4 -1.99 4.04 1.18 3.80





qPath
%VXX
Days
Avg
StDevP
6 down -1.97 100
Mar 8 (-) (+) (-) (+) (-) (+) (-) (+)




3.3 3.3 -100.66 100.90 39 28 -2.58 3.60 2.01 4.02




331 331 -49.22 27.54 15 5 -3.28 5.51 2.73 6.71




3314 3314 -3.32 2.94 2 1 -1.66 2.94 0.61 0.00





qPath
%VXX
Days
Avg
StDevP
5 down -3.84 100
Mar 7 (-) (+) (-) (+) (-) (+) (-) (+)




3.1 3.1 -74.34 47.90 22 14 -3.38 3.42 2.76 3.23




314 314 -1.57 3.39 3 1 -0.52 3.39 0.23 0.00




3141 3141 -1.20 3.39 2 1 -0.60 3.39 0.24 0.00





qPath
%VXX
Days
Avg
StDevP
4 N/F -4.95

Mar 6 (-) (+) (-) (+) (-) (+) (-) (+)




1.4 1.4 -11.52 13.63 5 5 -2.30 2.73 1.26 3.80




141 141 -11.20 13.17 4 3 -2.80 4.39 0.86 4.14




1413 1413 -4.00 11.94 1 2 -4.00 5.97 0.00 4.27





qPath
%VXX
Days
Avg
StDevP
3 N/F 7.69

Mar 5 (-) (+) (-) (+) (-) (+) (-) (+)




4.1 4.1 -19.22 15.64 5 8 -3.84 1.96 1.42 1.86




413 413 0.00 7.06 0 4 - 1.77 - 2.16




4134 4134 0.00 0.00 0 0 - - - -





qPath
%VXX
Days
Avg
StDevP
2 Up -0.33 0
Mar 2 (-) (+) (-) (+) (-) (+) (-) (+)




1.3 1.3 -54.14 84.14 21 23 -2.58 3.66 2.01 3.44




134 134 -3.72 2.24 1 2 -3.72 1.12 0.00 0.78




1343 1343 -3.72 2.24 1 2 -3.72 1.12 0.00 0.78





qPath
%VXX
Days
Avg
StDevP
1 N/F 0.54

Mar 1 (-) (+) (-) (+) (-) (+) (-) (+)




1.3 3.4 -47.59 16.77 19 6 -2.50 2.79 1.80 3.61




134 343 -20.48 15.31 8 4 -2.56 3.83 1.79 4.04




1343 3432 0.00 0.00 0 0 - - - -


Mon, April 2, 2012 8:08 PM EDST

VXX closed down today, Mon — barely — as we forecast Fri. 

Our 
algorithms' 
VXX forecast Scorecard this year is better than we expected because our algorithm was optimized in a much higher volatility period than this year — late last year: 

Correct         36
Wrong           11
No forecast     15
Score           77 / 100     (36 / 47)



20120402 VXX day




Mon, April 2, 2012 11:18 AM EDST

Our forecast for Tue Apr 3, 2012, assuming VXX closes down today like it is now as we forecast Fri it would — VXX will close DOWN.Final forecast later today if VXX looks like it will close up.

qPath%VXX
Days

Avg
StDevP
Apr 2(-)(+)(-)(+)(-)(+)(-)(+)
3.3-124.85114.164530-2.773.812.014.04
331-59.7137.37186-3.326.232.616.33
3311-32.192.2271-4.602.222.850.00

M-path%VXX
Days

Avg
StDevP
Apr 2(-)(+)(-)(+)(-)(+)(-)(+)
2 days-206.93142.127340-2.833.551.973.88
3 days-93.1960.602811-3.335.512.225.01
4 days-55.2225.46146-3.944.242.272.39
5 days-25.2715.4853-5.055.161.42.22
6 days-25.2715.4853-5.055.161.42.22

VXX actually closed in Quad 4 very close to Quad 1 Thu, Mar 29. Since Quad 4 data is very limited, we've used Quad 1 rather than Quad 4 in data above.

20120402 VXX 1138




Sat, March 31, 2012 11:21 PM EDST

HEADACHE CHART This is our most important chart new!

%VXX vs %S&P 500, Mar 5-30, 2012
VXX vs S&P 500 chart Mar 5-30, 2012



Fri, March 30, 2012 9:43 PM EDST

These tables and charts new! help understand VXX movements quad to quad.
 



Fri, March 30, 2012 10:37 AM EDST

Our forecast, assuming VXX closes down today like it is now,
for Mon, Apr 2, 2012, VXX will close
 
DOWN.
Final forecast later today if VXX looks like its closing up.

qPath%VXX
Days

Avg
StDevP
Mar 30(-)(+)(-)(+)(-)(+)(-)(+)
3.4-33.9115.85135-2.613.171.673.84
341-12.990.0040-3.251.02
3411-12.990.0040-3.251.02

M-path%VXX
Days

Avg
StDevP
Mar 30(-)(+)(-)(+)(-)(+)(-)(+)
2 days-206.93142.127340-2.833.551.973.88
3 days-93.1960.602811-3.335.512.225.01
4 days-55.2225.46146-3.944.242.272.39
5 days-29.969.9893-3.333.332.432.19
6 days-29.969.9893-3.333.332.432.19

VXX chart Mar 30 1037

4:39 PM today, Fri, Mar 30, VXX closed down as we forecast yesterday. Here's the chart for VXX and S&P 500 for this week:




Thu, March 29, 2012 3:30 PM EDST

Our FINAL forecast for tomorrow, assuming VXX closes down today like it is now, Fri, Mar 30, 2012, VXX will close DOWN

qPath%VXX
Days

Avg
StDevP
Mar 29(-)(+)(-)(+)(-)(+)(-)(+)
4.1-19.2223.3359-3.842.591.422.52
411-19.223.8953-3.841.301.420.26
4113-8.502.3332-2.831.160.100.22

M-path%VXX
Days

Avg
StDevP
Mar 30(-)(+)(-)(+)(-)(+)(-)(+)
2 days-206.93142.127340-2.833.551.973.88
3 days-93.1960.602811-3.335.512.225.01
4 days-55.2225.46146-3.944.242.272.39
5 days-29.969.9893-3.333.332.432.19
6 days-29.969.9893-3.333.332.432.19

VXX chart Mar 29 1530

What a day — Damn the torpedoes, full speed ahead. 
The crash ain't over 'till the fat lady sings!



Thu, March 29, 2012 12:22 PM EDST

Our initial forecast for tomorrow's, Fri, Mar 30, close, like yesterday 
we are unable to forecast because of limited historical data and inconsistent signals from our qPath and M-path Mosconi Effect algorithms.

qPath%VXX
Days

Avg
StDevP
Mar 29(-)(+)(-)(+)(-)(+)(-)(+)
1.1-56.9249.932013-2.853.842.303.81
111-22.045.1663-3.671.722.971.23
1113-4.522.3222-2.261.160.791.16

M-path%VXX
Days

Avg
StDevP
Mar 29(-)(+)(-)(+)(-)(+)(-)(+)
2 days-103.79144.703427-3.055.362.275.42
3 days-40.5871.781215-3.384.792.753.97
4 days-8.8527.9348-2.213.491.082.71
5 days-1.4722.7916-1.473.8002.68
6 days-1.4722.7916-1.473.802.68


20120328 VXX Chart1222


" 2  3 good days doth not a crash extinguish."
(Shakespeare's stock broker, Lord Iambroke)


Thu, March 29, 2012 12:09 PM EDST

If you're thinking of buying VXX because of the 3-day run up, be sure to read Bill Luby's good article first —  more than a word of caution:

Since its launch in January 2009, VXX has been responsible for luring in unwary investors with its siren song promise of huge profits ahead of the next, inevitable, just-around-the-corner selloff in stocks. Unfortunately for VXX longs, the hoped for VIX spike usually turns out to be much more elusive than anticipated and investors who fail to tie themselves to their masts typically end up shipwrecked on the treacherous shore of complacency. Full article

We enlarged Bill's chart

Bill Luby chart enlarged

Good article too about the VIX just posted by Schaeffer's Research this afternoon



Wed, March 28, 2012 2:02 PM EDST

We are unable to forecast tomorrow's, Thu, Mar 29, close because of limited historical data and inconsistent signals from our qPath and M-path Mosconi Effect algorithms.

qPath%VXX
Days

Avg
StDevP
Mar 28(-)(+)(-)(+)(-)(+)(-)(+)
1.1-56.9249.932013-2.853.842.303.81
113-25.1721.80105-2.524.361.922.59
1133-3.2610.0722-1.635.041.460.87

M-path%VXX
Days

Avg
StDevP
Mar 28(-)(+)(-)(+)(-)(+)(-)(+)
2 days-103.79144.703427-3.055.362.275.42
3 days-63.2172.912212-2.876.081.936.74
4 days-25.8539.48117-2.355.642.036.09
5 days-7.0122.4913-7.017.508.82
6 days0000

20120328 VXX google 1402

Looks like today will definitely close up, which yesterday's qPath algorithm — alone without Mosconi Effect algorithm data — would have predicted.

And, today was not a Boomerang Day but more like a Slingshot Day*

"2 good days doth not a crash extinguish." 
(Shakespeare's stock broker, Lord Iambroke)

4:25 PM:  Below is today's VXX closing chart. Wouldn't most of us, my gut included, predict VXX will close down tomorrow? BUT VIX volatility has been proven to out-fox us all, especially me:) Probability of VXX closing down the day after it closes up was 50/50 in 2011 — see #3.         * - Slingshot Day with a dead wad:)




Tue, March 27, 2012 10:09 PM EDST

Will tomorrow be a Boomerang Day too?

Boomerang Day



Tue, March 27, 2012 2:57 PM EDST

We are unable to forecast tomorrow's, Wed, Mar 28, close because of no consistent signals from our qPath and M-path Mosconi Effect algorithms.

qPath%VXX
Days

Avg
StDevP
Mar 27(-)(+)(-)(+)(-)(+)(-)(+)
2.3-7.3211.3725-3.662.272.051.60
233-1.6010.4514-1.602.610.001.62
23310.004.80022.402.25

M-path%VXX
Days

Avg
StDevP
Mar 27(-)(+)(-)(+)(-)(+)(-)(+)
2 days-94.14111.363434-2.773.282.033.29
3 days-52.6539.362118-2.512.192.203.26
4 days-15.706.5164-2.621.631.921.79
5 days-7.364.8022-3.682.402.25
6 days0000

20120327 VXX 1457



Tue, March 27, 2012 2:57 PM EDST

Very strong signals from our algorithm variables that VXX will close up today, not down we forecast yesterday. 


Tomorrow's forecast later today.




Mon, March 26, 2012 12:39 PM EDST

Our forecast for tomorrow, Tue, Mar 27, 2012, VXX will close DOWN

qPath%VXX
Days

Avg
StDevP
Mar 26(-)(+)(-)(+)(-)(+)(-)(+)
3.3-124.85114.164530-2.773.812.014.04
331-59.7127.54185-3.325.512.616.71
3314-5.302.9431-1.772.940.520.00

M-path%VXX
Days

Avg
StDevP
Mar 26(-)(+)(-)(+)(-)(+)(-)(+)
2 days-206.93132.297339-2.833.391.973.80
3 days-93.1950.772810-3.335.082.225.06
4 days-37.9725.32144-2.716.331.977.27
5 days-19.2725.3274-2.756.332.517.27
6 days-19.2725.3274-2.756.332.517.27

These 2 Tables above have been checked and corrected where necessary. Thanks to chimay in today's  Comments for pointing out our errors.

"Knowledge rests not upon truth alone, but upon error also."
(Carl Jung) 



201203026 VXX forecst 1229




Sun, March 25, 2012 5:30 AM EDST

VRI-VIX Index #2 has been modified to give buy/sell signals for current day only @ ± 50, down from ± 100 here.

Chart of VRI-VIX Index #2 vs %VXX

VRI-VIX Index #2


Sat, March 24, 2012 4:22 PM EDST

HEADACHE CHART This is our most important chart, %VXX vs %S&P 500, Mar 5-23, 2012. Note the boomerang-like effect of the 3 positive days, and the red trend line below and steeper than the blue 2011 trend line — More days than our Live Chart.

%VXX vs %S&P 500 Mar 5-23, 2012



Fri, March 23, 2012 2:41 PM EDST

We're afraid to forecast Mon, Mar 26, VXX close because our local Game Warden just called to say, "Beware, the Black Swan, Big Bird,
and the Black Bear have jumped the fence and flown the coop looking for a volatile, March-Madness party to crash this weekend."

And, there are no clear signals from our qPath and M-path Mosconi Effect algorithms. 

qPath%VXX
Days

Avg
StDevP
Mar 23(-)(+)(-)(+)(-)(+)(-)(+)
3.1-80.2347.902514-3.213.422.683.23
314-12.353.3951-2.473.392.580.00
3144-6.940.0010-6.940.00

M-path%VXX
Days

Avg
StDevP
Mar 23(-)(+)(-)(+)(-)(+)(-)(+)
2 days-120.4992.473829-3.173.192.382.89
3 days-54.8150.221815-3.043.353.092.46
4 days-41.0237.01119-3.734.113.672.69
5 days-12.5525.0777-1.793.581.832.77
6 days-12.5525.0777-1.793.581.832.77

(These 2 Tables above have been checked and corrected 
where necessary on Mar 27, 2012 with data through Mar 26)

Our gut tells us that VXX will close down Mon, Mar 26, but our gut has been wrong much more than right — and the Black Swan, Big Bird, and the Black Bear are deadly competitors no one can beat.

Enjoy the party this weekend, but be careful drinking the punch, especially if you see feathers in it and/or if the Butterfly in Brazil passes gas :)




Here's a screenshot*, about an hour and a half before our forecast, of our VRI-VIX Index, Run Predictor variables, and Price Directional Momentum variable, all suggesting a strong "down" today.


* Close to closing data





Fri, March 23, 2012 11:24 AM EDST

Sorry, we're having difficulty forecasting Mon, Mar 26, VXX close because it looks like today is a Mugwump Day, and there's a clinker in the woodpile. Final forecast and data to follow.
mugwump

   clinker in woodpile


In case you were wondering what the "clinker in the woodpile" was, its the fact that %VXX is so far below the 2011 trend line  — andMugwump Day is that our qPath and M-path Mosconi Effect algorithms didn't tell us which way Monday close would go :)


Thu, March 22, 2012 4:23 PM EDST

We were almost "saved by the bell" today, but "close don't count" :)
VXX closed up 1.14% today, not down we forecast yesterday.

"Took a lick'n", so let's check our scorecard this year:

Right           34
Wrong           10
No forecast     11
Score           77 / 100     (34 / 44)

"No amount of experimentation can ever prove me right; a single experiment can prove me wrong."  (Albert Einstein)

20120322 VXX 1600

20120322 VIX 1623



Thu, March 22, 2012 11:34 AM EDST

Looks like we will be unable to forecast VXX close tomorrow, Mar 23, because of unclear signals and limited historical information from our qPath and Mosconi Effect algorithms:

qPath%VXX
Days

Avg
StDevP
Mar 22(-)(+)(-)(+)(-)(+)(-)(+)
1.4-23.4213.6375-3.352.732.033.80
1440.000.46020.230.23
14430.000.00010.000.00

M-path%VXX
Days

Avg
StDevP
Mar 22(-)(+)(-)(+)(-)(+)(-)(+)
2 days-94.14111.363434-2.773.282.033.29
3 days-52.6539.362118-2.512.192.203.26
4 days-36.9632.851514-2.462.352.303.55
5 days-23.6314.82119-2.151.650.98
6 days0000

(These 2 Tables above have been checked and corrected 
where necessary on Mar 27, 2012 with data through Mar 26)

20120322 VXX 1134



Thu, March 22, 2012 10:54 AM EDST

We just closed out our Tip #1 this year published in the WSJ: 

Bought    VXX    Mar 22    10:54 AM    19.06 
Sold      VXX    Mar 7     11:54 AM    25.15
                                            
Gain        6.09    +24.2%    15 days

Our Goal — 9 more Tips this year @ +25% each

20120322 tip 1 close VXX 1054



Wed, March 21, 2012 12:39 PM EDST

Our initial forecast, tomorrow, Thu, Mar 22, 2012, VXX close DOWN

qPath%VXX
Days

Avg
StDevP
Mar 21(-)(+)(-)(+)(-)(+)(-)(+)
3.4-33.9115.85135-2.613.171.673.84
343-20.4815.8585-2.563.171.793.84
3433-19.7615.0373-2.825.011.764.02

There was more statistically significant data for current day quad 3 than quad 4 even though %VXX was in quad 4 but close to quad 3 at time of this forecast.

Our 2nd test of our new "Mosconi Effect" algorithm is unable to predict VXX close tomorrow, Mar 22, because of mixed signals and insufficient historical data: 

M-path%VXX
Days

Avg
StDevP
Mar 21(-)(+)(-)(+)(-)(+)(-)(+)
2 days-206.93132.297339-2.833.391.973.80
3 days-113.3081.514429-2.572.811.723.05
4 days-68.9952.312420-2.872.621.822.92
5 days-15.7135.491014-1.572.542.92
6 days0000

(These 2 Tables above have been checked and corrected 
where necessary on Mar 27, 2012 with data through Mar 26)

20120221 VXX forecast 1238



Tue, March 20, 2012 11:32 AM EDST

We forecast, tomorrow, Wed, Mar 21, 2012, VXX close DOWN 

qPath%VXX
Days

Avg
StDevP
Mar 20(-)(+)(-)(+)(-)(+)(-)(+)
4.3-43.200.97142-3.090.492.040.48
433-32.670.97102-3.270.492.190.48
4333-19.600.9752-3.920.491.940.48


Here's our first test of our new "Mosconi Effect" algorithm, also predicting VXX will close DOWN tomorrow, Mar 21:

M-path%VXX
Days

Avg
StDevP
Mar 20(-)(+)(-)(+)(-)(+)(-)(+)
2 days-197.51131.147138-2.783.451.973.83
3 days-103.8880.374228-2.472.871.693.08
4 days-64.0351.172319-2.782.691.812.97
5 days-48.3216.54135-3.723.311.782.92
6 days-48.3216.54135-3.723.311.782.92

Previous 6 days before today have the same Mosconi-path (M-path) as occurred 18 times since Jan 3, 2011, of which VXX next-day closed down 13 times and up 5 times. Our new "Mosconi Effect" algorithm is derived using Newton's Laws of Motion, Game and Chaos Theory, and Vector Analysis.

20120320 VXX forecast 1132

Hope the early worm doesn't get eaten by the Black Swan bird :)



Mon, March 19, 2012 9:58 AM EDST

We know its early in the day to be forecasting tomorrow's VXX. 
Our initial forecast for tomorrow, Tue, Mar 20, VXX will close DOWN 

qPath%VXX
Days

Avg
StDevP
Mar 19(-)(+)(-)(+)(-)(+)(-)(+)
3.3-114.19104.344329-2.663.601.973.95
333-41.8741.011714-2.462.931.303.15
3331-22.4516.15104-2.244.041.363.80

Our algorithm says, "Bet the farm if the Black Swan doesn't poop in the punch bowl." Stay tuned for our final forecast later today. This is our final forecast for tomorrow.


Fri, March 16, 2012 3:30 PM EDST

We are unable to forecast, Mon, Mar 19, VXX
 because VXX is only agnats eye from all Quads, and Black Bears and angry Black Swansprowl on weekends — When in doubt, stay out.


Thu, March 15, 2012 4:00 PM EDST

We forecast tomorrow, Fri, Mar 16, VXX will close DOWN.

qPath%VXX
Days

Avg
StDevP
Mar 15(-)(+)(-)(+)(-)(+)(-)(+)
3.1-80.1447.902414-3.343.422.663.23
313-48.0722.53126-4.013.763.272.54
3133-40.5513.2293-4.514.413.632.37


Wed, March 14, 2012 1:08 PM EDST

Volatility Research sole purpose has been to "crack the VIX volatility code."  We are pleasantly surprised that our VXX daily forecasts of VXX next-day close have done so well this year. Our forecast was correct we made Mon, Mar 12 (below), that Tue, Mar 13, VXX would close down, which it did. Tuesday's forecast that today, Wed, Mar 14 would close down looks like we may have been wrong  And, our algorithm is unable to forecast tomorrow's close, Thu, Mar 15, because of mixed signals and insufficient historical data.

Our scorecard so far this year is better than we expected, even though our algorithm was optimized to predict VXX gains, not losses, late last year (Sep-Dec) in a period of much higher volatility (see charts 4,5,6) than now:

 31 right 
  9 wrong 
  9 no forecast
 78 / 100 score (31 / 40)

THEORY* We are unable to explain why our forecasts this year are far more right than wrong. We know we should be in murky waters using historical data to forecast this year's VXX price. Our only possible explanation now is this: 
"VXX price movements are caused by the confluence of many variables occurring randomlyof which their sets are not mutually coexistent and are dissimilar over time; VXX price movements today over 4 consecutive days that are similar to historical price movements over 4 consecutive days, i.e. they have the same qPath as previously, will have, with reasonable certainty, the same 5th day price direction following this year's qPath as the same qPath had previously — either up or down — even though the set of variables affecting volatility and VXX ensuing price today is distinctly different from historical variables."
Its one theory we can't prove, other than "it seems to be working."

We are not aware of any other forecasts that have done this well. We hope that everyone interested in VIX volatility can benefit from our forecasts — and they're FREE! Just bookmark this page for our latest.

ARE YOU GAME FOR A WAGER? 
If so, we will wager $10,000.00 (ten thousand US Dollars) on 10 consecutive days of Volatility Research forecasts — VXX up or down the next day. Most number of days correct wins. We reserve the right to decline any wager without explanation.

OR WOULD YOU LIKE A FINDERS FEE? 
Okay — Then, if you can just point us to any "person, place or thing" that can, with our agreement, outperform our forecasts, we will gladly pay you $100.00 (one hundred US Dollars) finder's fee.


Volatility Research is unable

to forecast VXX close for

tomorrow, Thu, Mar 15, 2012

because of mixed signals

and insufficient historical data



Although historical data might suggest that tomorrow, Thu, Mar 15th, will close down,

qPath%VXX
Days

Avg
StDevP
Mar 14(-)(+)(-)(+)(-)(+)(-)(+)
1.3-59.7084.142323-2.603.662.053.44
133-38.0623.08158-2.542.882.154.52
1333-21.3316.0684-2.674.012.376.08

the data is inconclusive if VXX would have closed in Quad 4 Mon, which it almost did 

qPath%VXX
Days

Avg
StDevP
Mar 14(-)(+)(-)(+)(-)(+)(-)(+)
1.3-59.7084.142323-2.603.662.053.44
134-4.052.2422-2.021.121.690.78
1343-4.052.2422-2.021.121.690.78

qPath (see also and also and also and also at end)
digit 1 today's close Quad
digit 2 yesterday's close Quad
digit 3 close Quad 2 days ago
digit 4 close Quad 3 days ago
Other data after qPath is for next day's close previously

Look at yesterday's historical data in blue below for a moment— Had we not done a manual override of our algorithm and that data, our forecast yesterday for today would have been UP, not DOWN, and we would have been right, not wrong.

Using that same logic, we would have forecast tomorrow's close down, rather than no forecast.

But, our algorithm, VRI-VIX Index and Run Predictor Variables now (Wed, 3:34 PM) suggest we should have forecast tomorrow UP, rather than no forecast:


You can see why we were unable to forecast tomorrow's, Thu, close — conflicting signals and insufficient historical data.


Google Finance Chart at time of forecast


* CORRECTION: A previous version of our Theory implied we were using only historical data from last year. We are using historical data from every previous day through last year.


Tue, March 13, 2012 2:26 PM EDST

In less than 2 months that our website has been up, Google Analytics reports more than 3,000 visits, more than 11,000 page views, and more than 18,000 minutes time on site — That's more than 300 hours site time! And, returning visitors were more than 47% of visits. Since our site is not yet even a "blip" on the search engines, traffic here is probably due to our site content and word of mouth.

Page Views                   Overview @ 8:43 AM today
 
 

To see pages in Page Views, search site at top on page name.



Tue, March 13, 2012 12:55 PM EDST

Volatility Research sole purpose has been to "crack the VIX volatility code."  We are pleasantly surprised that our VXX daily forecasts of VXX next-day close have done so well this year. Our forecast was correct we made Fri, Mar 9 (below), that Mon, Mar 12, VXX would close down, which it did. Monday's forecast that today, Tue, Mar 13 would close down today looks like it will — Today's forecast for tomorrow, Wed, Mar 14, is that VXX will close DOWN.

Our scorecard so far this year is better than we expected, even though our algorithm was optimized late last year, which was a much higher volatility period (see charts 4,5) than now:
 31 right 
  8 wrong 
  9 no forecast
 79 / 100 score (31 / 39)
We are not aware of any other forecasts that have done this well. We hope that good traders and investors can benefit from our forecasts — and they're FREE! Just bookmark this page for our latest.


Volatility Research forecasts that

VXX will close DOWN
down arrow
Wed, Mar 14, 2012
 

This forecast is based on our algorithm and historical data: 

qPath%VXX
Days

Avg
StDevP
Mar 13(-)(+)(-)(+)(-)(+)(-)(+)
3.3-104.94100.904128-2.563.601.974.02
333-32.6137.571513-2.172.891.093.27
3333-6.4819.0726-3.243.180.783.20

and the next closest historical data because %VXX closed yesterday so close to Quad 4:

qPath%VXX
Days

Avg
StDevP
Mar 13(-)(+)(-)(+)(-)(+)(-)(+)
3.4-33.9115.85135-2.613.171.673.84
343-20.4815.8585-2.563.171.793.84
3433-19.7615.0373-2.825.011.764.02

qPath (see also and also and also and also at end)
digit 1 today's close Quad
digit 2 yesterday's close Quad
digit 3 close Quad 2 days ago
digit 4 close Quad 3 days ago
Other data above is for next day's close last year


Google Finance Chart at time of forecast




Mon, March 12, 2012 3:38 PM EDST

Volatility Research sole purpose has been to "crack the VIX volatility code."  We are pleasantly surprised that our VXX daily forecasts of VXX next-day close have done so well this year. Our forecast was correct we made Thu, Mar 8 (below), that Fri, Mar 9, VXX would close down, which it did. Friday's forecast that today, Mon, Mar 12 would close down is almost certainly correct — And, today's forecast for tomorrow, Tue, Mar 13, is that VXX will close DOWN.

Our scorecard so far this year is better than we expected, even though our algorithm was optimized late last year, which was a much higher volatility period (see charts 4,5) than now:
 30 right 
  8 wrong 
  9 no forecast
 79 / 100 score (30 / 38)
We are not aware of any other forecasts that have done this well. We hope that good traders and investors can benefit from our forecasts — and they're FREE! Just bookmark this page for our latest.


Volatility Research forecasts that

VXX will close DOWN
down arrow
Tue, Mar 13, 2012
 

This forecast is based on our algorithm and historical data at 3:38 PM today:

qPath%VXX
Days

Avg
StDevP
Mar 12(-)(+)(-)(+)(-)(+)(-)(+)
4.3-43.200.97142-3.090.492.040.48
433-32.670.97102-3.270.492.190.48
4333-19.600.9752-3.920.491.940.48

As we finish writing this now, historical data based at today's close suggests our forecast for tomorrow, Tue, might have been better UP  — VXX closed in quad 3 but was in quad 4 at 3:38 PM because S&P 500 Index was slightly down at 3:38 PM but slightly up (0.02%) at the close.

qPath%VXX
Days

Avg
StDevP
Mar 12(-)(+)(-)(+)(-)(+)(-)(+)
3.3-102.96100.904028-2.573.601.994.02
333-32.6137.571513-2.172.891.093.27
3333-6.4819.0726-3.243.180.783.20

But, we're sticking with our 3:38 PM forecast because a "card laid is a card played."

Google Finance chart at 333 PM Mar 12, 2012
Google Finance Chart at time of forecast




Fri, March 9, 2012 10:25 AM EST

Volatility Research sole purpose has been to "crack the VIX volatility code."  We are pleasantly surprised that our VXX daily forecasts of VXX next-day close have done so well this year. Our forecast was correct we made Wed, Mar 7 (below), that yesterday, Thu, Mar 8, VXX would close down, which it did — Today's forecast for Mon, Mar 12, is that VXX will close DOWN.

Our scorecard so far this year is better than we expected because our algorithm was optimized late last year, which was a much higher volatility period (see charts 4,5) than now:
 29 right 
  8 wrong 
  9 no forecast
 78 / 100 score (29 / 37)
We are not aware of any other forecasts that have done this well. We hope that good traders and investors can benefit from our forecasts — and they're FREE! Just bookmark this page for our latest.


Volatility Research forecasts that

VXX will close DOWN
down arrow
Mon, Mar 12, 2012
 

This forecast is based on our algorithm and historical data:

qPath%VXX
Days
Avg
StDevP
Mar 9(-)(+)(-)(+)(-)(+)(-)(+)
3.3-102.96100.904028-2.573.601.994.02
333-32.6137.571513-2.172.891.093.27
3331-17.9116.1594-1.994.041.183.80

Google Finance chart VXX Mar 9, 2012 1025
Google Finance Chart at time of forecast




Fri, March 9, 2012 4:15 AM EST

At this time, we forecast that VXX will open down and close down both today, Fri, Mar 9 and Mon, Mar12. Stay tuned for our final forecast later today.


Thu, March 8, 2012 10:40 AM EST

Volatility Research, whose sole purpose has been to crack the VIX volatility code, is pleasantly surprised that our VXX daily forecasts of VXX next-day close have done so well this year — today's forecast for tomorrow, Fri, Mar 9, is that VXX will close DOWN. Our forecast was correct we made Tue, Mar 6 (below), that yesterday, Wed, Mar 7, would close down, which it did.

O
ur scorecard so far this year is better than we expected:
 28 right
  8 wrong 
  9 no forecast
 78 of 100 score (28 / 36)
Trading our 36 forecasts above would have produced gains of more than 65%. We are not aware of any other forecasts that have done this well. We hope that good traders and investors can capitalize on our forecasts — and they're FREE! Just bookmark this page for our latest.



Volatility Research forecasts that

VXX will close DOWN
down arrow
tomorrow, Fri, Mar 9, 2012
 

This forecast is based on our algorithm and historical data:

qPath%VXX
Days
Avg
StDevP
Mar 8(-)(+)(-)(+)(-)(+)(-)(+)
3.3-100.66100.903928-2.583.602.014.02
331-49.2227.54155-3.285.512.736.71
3314-3.322.9421-1.662.940.610.00


Google Finance chart VXX Mar 8, 2012 1040
Google Finance Chart at time of forecast


1303,7486,3.53,40.94

Wed, March 7, 2012 4:09 PM EST

Volatility Research algorithm Index VRI-VIX and Predictor Variables at the close today are the strongest "VXX sell, XIV buy" signals this year:

Wed, March 7, 2012 2:34 PM EST

We just posted 
in the public media 
our tip 
below 
in the WSJ 
— a "
strong sell VXX, buy XIV" today at 
11:54 AM (25.15 / 8.63).

Volatility Research, whose sole purpose has been to crack the VIX volatility code, is pleasantly surprised that our VXX daily forecasts of VXX next-day close have done so well this year — today's forecast for tomorrow, Thu Mar 8, is that VXX will closeDOWN. 

O
ur scorecard so far this year is better than we expected:
 27 right
  8 wrong 
  9 no forecast
 77 of 100 score (27 / 35)
We are not aware of any other forecasts that have done this well. We hope that good traders and investors can capitalize on our forecasts — and they're FREE! Just bookmark this page for our latest.


Volatility Research forecasts that

VXX will close DOWN
VXX forecast down tomorrow
tomorrow, Thu, Mar 8, 2012
 

This forecast is based on our algorithm and historical data below:

qPath%VXX
Days
Avg
StDevP
Mar 7(-)(+)(-)(+)(-)(+)(-)(+)
3.1-74.3447.902214-3.383.422.763.23
314-1.573.3931-0.523.390.230.00
3141-1.203.3921-0.603.390.240.00


1167,6939

Wed, March 7, 2012 11:58 AM EST

We just posted our first "strong" tip this year:

11:54 am March 7, 2012 Volatility Research algorithm, which has been correct about 80% this year, just issued a strong sell VXX, buy XIV.

Below are VXX and XIV charts showing prices at 
11:54 am today
(25.15 / 8.63)

Google Finance chart VXX Mar 7, 2012 1154 AM

Google Finance chart XIV Mar 7, 2012 1154 AM



Tue, March 6, 2012 3:15 PM EST

Volatility Research is pleasantly surprised that our VXX daily forecasts of VXX next-day close have done so well this year — we are unable to make a forecast for tomorrow, Wed Mar 7, because of insufficient and mixed historical data. O
ur scorecard so far this year is better than we expected:
 27 right
  8 wrong 
  9 no forecast
 77 of 100 score (27 / 35)
We are not aware of any other forecasts that have done this well. We hope that good traders and investors can capitalize on our forecasts — and they're FREE! Just bookmark this page for our latest.


Volatility Research is unable

to forecast VXX close for

tomorrow, Wed, Mar 7, 2012

because of mixed and insufficient 

historical data



Actual 2011 qPaths
qPath%VXX
Days
Avg
StDevP
Mar 6(-)(+)(-)(+)(-)(+)(-)(+)
1.4-11.5213.6355-2.302.731.263.80
141-11.2013.1743-2.804.390.864.14
1413-4.0011.9412-4.005.970.004.27

Closest 2011 qPaths below
qPath%VXX
Days
Avg
StDevP
Mar 6(-)(+)(-)(+)(-)(+)(-)(+)
1.4-11.5213.6355-2.302.731.263.80
143-0.320.0010-0.32-0.00-
1433-0.320.0010-0.32-0.00-

qPath%VXX
Days
Avg
StDevP
Mar 6(-)(+)(-)(+)(-)(+)(-)(+)
1.1-56.9249.932013-2.853.842.303.81
111-22.045.1663-3.671.722.971.23
1113-4.522.3222-2.261.160.791.16

qPath%VXX
Days
Avg
StDevP
Mar 6(-)(+)(-)(+)(-)(+)(-)(+)
1.1-56.9249.932013-2.853.842.303.81
113-25.1721.80105-2.524.361.922.59
1133-3.2610.0722-1.635.041.460.87





Mon, March 5, 2012 3:11 PM EST

Volatility Research is pleasantly surprised that our VXX daily forecasts of VXX next-day close have done so well this year — we are unable to make a forecast for tomorrow, Tue, because of insufficient historical data. Our forecast Friday for today's 
close up looks wrong as of now, but our scorecard so far this year is better than we expected:
 27 right
  8 wrong 
  8 no forecast
 77 / 100 score (27 / 35)
We are not aware of any other forecasts that have done this well. We hope that good traders and investors can capitalize on our forecasts — and they're FREE! Just bookmark this page for our latest.


Volatility Research is unable

to forecast VXX close for

tomorrow, Tue, Mar 6, 2012

because of insufficient

historical data


qPath%VXX
Days
Avg
StDevP
Mar5(-)(+)(-)(+)(-)(+)(-)(+)
4.1-19.2215.6458-3.841.961.421.86
4130.007.0604-1.77-2.16
41340.000.0000----




Fri, March 2, 2012 1:18 PM EST

Volatility Research is pleasantly surprised that our VXX daily forecasts of VXX next-day close have done so well this year — today's forecast for Monday's VXX close isUP. Our forecast yesterday for today's close was wrong, but our scorecard so far this year is better than we expected:
 27 right
  7 wrong 
  8 no forecast
 79 of 100 score (27 / 34)
We are not aware of any other forecasts that have done this well. We hope that good traders and investors can capitalize on our forecasts — and they're FREE! Just bookmark this page for our latest.


Volatility Research forecasts that
VXX will close UP
Mon, Mar 5, 2012



qPath%VXX
Days
Avg
StDevP
Mar2(-)(+)(-)(+)(-)(+)(-)(+)
1.3-54.1484.142123-2.583.662.013.44
134-3.722.2412-3.721.120.000.78
1343-3.722.2412Err:5221.120.000.78




Thu, March 1, 2012 1:56 PM EST


Volatility Research forecasts that

VXX will close DOWN
VXX forecast down tomorrow
tomorrow, Fri, Mar 2, 2012
 


qPath%VXX
Days
Avg
StDevP
Mar 1(-)(+)(-)(+)(-)(+)(-)(+)
3.4-33.9111.37133-2.613.791.674.66
343-20.4811.3783-2.563.791.794.66
34320.000.0000----