國立中山大學 金融創新產業碩士專班
碩士論文
Industrial Technology Graduate Program in Financial Innovation
National Sun Yat-sen University
Master Thesis
K 棒策略在 VIX 期貨市場中的價值
Does a candlestick strategy have its value in the VIX future
market?
研究生：洪志穎
Chin-Ying Hung
指導教授：蔡維哲 博士
Dr. Wei-Che Tsai
中華民國 108 年 7 月
July 2019 論文審定書
i 摘要
本研究探討 K 棒策略在 VIX 期貨上是否能找尋到一些價值。本文蒐集了芝加哥
交易所（CBOE）VIX 期貨，並使用 9 種單根及 7 種雙根，總計 16 種的燭台策
略做為 VIX 期貨市場的交易策略。我們嘗試利用 6、8、10 個 K 棒持有區間推斷
有效預測週期。此外我們將 VIX 用到期日及指數分群，最後我們所得，到期日
30 天、31 至 60 天、61 至 90 天、VIX 指數 15.00 以下、VIX 指數 15.00 至 25.00
和 VIX 指數 25.00 以上的六種類別。實證結果發現，在日內 VIX 期貨市場中預
測區間建議 50 至 90 分鐘為主。在分群方面的結果發現，距離到期日 30 天內的
期貨相較於其他到期日區間較有顯著的獲利；VIX 指數低於 15.00 的情況相較於
其他分群，較有顯著的獲利。結果讓我們發現在 VIX 期貨市場中，K 棒策略在
近到期日及低 VIX 時較能反映期價值。
關鍵字: K 棒、燭台分析、技術分析、VIX 期貨
ii Abstract
This study explores the potential value for a K-bar strategy in VIX futures trading. We collect the VIX futures historical transaction data from the Chicago Board Options
Exchange (CBOE) with 9 kinds of single candlestick strategies and 7 kinds of double candlestick strategies, for a total of 16 candlestick strategies. During the back-testing phase, we utilize 6, 8, and 10 K-bar holding intervals to infer an effective prediction period and choose expiration day and index level in order to classify the VIX.
Ultimately, we got six categories with above factor. The empirical results clearly recommend that the prediction interval in the VIX futures intraday market be 50 to 90 minutes. In terms of clustering, we note that futures within 30 days of expiration have a more significant profitable performance compared to futures clustered with 60 and
90 expiration day. To be more specific, a VIX index below 15.00 has a more significant profitable performance versus an VIX index between 15.00 to 25.00 and above 25.00. We strongly conclude that a candlestick strategy in the VIX futures market is more reflective in periods at nearer maturities and lower VIX levels.
Keywords:. K -bar, Candlestick analysis, Technical analysis, VIX futures
iii 目錄
論文審定書...... i 摘要...... ii Abstract ...... iii 目錄...... iv 圖目錄...... v 表目錄...... vi 1. INTRODUCTION ...... 1 2. LITERATURE REVIEW ...... 4 3. DATA ...... 8 3.1 Sample...... 8 3.2 Sequence of order ...... 9 4. CANDLESTICK ...... 10 4.1 Origin and synopsis of candlestick ...... 10 4.2 Shadow ...... 11 4.3 Real body ...... 12 4.4 Pattern ...... 14 5. RESEARCH DESIGN ...... 15 5.1 Strategy ...... 15 5.2 Benchmark ...... 16 5.3 Classification...... 18 6. EMPIRICAL RESULTS ...... 20 6.1 Original Data With Time Period ...... 20 6.2 Expiration Day (Tables8-11) ...... 22 6.3 VIX Index (Table12-15) ...... 24 7. CONCLUSION ...... 27 REFERENCES ...... 29 FIGURES ...... 32 TABLES ...... 36
iv 圖目錄
FIGURE 1 TWO BASIC TYPES OF CANDLESTICK ...... 32
FIGURE 2 INTRODUCTION OF CANDLESTICK STRUCTURE ...... 32
FIGURE 3 THE STRATEGY OF CANDLESTICK CHARTING ...... 33
FIGURE 4 DIFFERENT TYPES OF REAL BODY ...... 35
v 表目錄
TABLE 1 COUNT FORMULA OF A SHADOW ...... 36
TABLE 2 SIZE OF REAL BODIES FOR VIX FUTURES K-CHART ...... 37
TABLE 3 DEFINITION OF CANDLESTICK STRATEGY...... 38
TABLE 4 STATISTICS OF THE K-CHART CLASSIFIED BY EXPIRATION DAY ...... 39
TABLE 5 STATISTICS OF THE K-CHART CLASSIFIED BY VIX INDEX ...... 41
TABLE 6 FIVE-MINUTE K-BAR STRATEGY OF VIX FUTURES ...... 43
TABLE 7 FIFTEEN-MINUTE K-BAR STRATEGY OF VIX FUTURES ...... 44
TABLE 8 RESULT OF EXPIRATION DAY CLASSIFICATION IN FIVE-MINUTE K-BAR BY HOLDING 30 MINUTES ...... 45
TABLE 9 RESULT OF EXPIRATION DAY CLASSIFICATION IN FIVE-MINUTE K-BAR BY HOLDING 40 MINUTES ...... 46
TABLE 10 RESULT OF EXPIRATION DAY CLASSIFICATION IN FIFTEEN-MINUTE K-BAR BY HOLDING 90 MINUTES ...... 47
TABLE 11 RESULT OF EXPIRATION DAY CLASSIFICATION IN FIFTEEN-MINUTE K-BAR BY HOLDING 120 MINUTES ...... 48
TABLE 12 RESULT OF VIX INDEX CLASSIFICATION IN FIVE-MINUTE K-BAR BY HOLDING 30 MINUTES ...... 49
TABLE 13 RESULT OF VIX INDEX CLASSIFICATION IN FIVE-MINUTE K-BAR BY HOLDING 40 MINUTES ...... 50
TABLE 14 RESULT OF VIX INDEX CLASSIFICATION IN FIFTEEN-MINUTE K-BAR BY HOLDING 90 MINUTES ...... 51
TABLE 15 RESULT OF VIX INDEX CLASSIFICATION IN FIFTEEN-MINUTE K-BAR BY HOLDING 120 MINUTES ...... 52
vi 1. INTRODUCTION
The effectiveness of technical analysis has always been inconclusive with some studies suggesting that investors cannot effectively profit in market (Marshall, Young. and Rose, 2006; Marshall, Cahan, and Young, 2008; Horton, 2009). However other studies mention that a candlestick strategy can offer different information values (Goo,
Che.n and Chang, 2007; Duvinage, Mazza, and Petitjean, 2013; Zhu, Atri, and Yegen.,
2016). Among the various information values, many researches believe technical analysis can correctly illustrate market sentiment (Nison, 1991).The information of market sentiment can help us trading.Thus, the literature has presented that candlestick analysis can help explore market and values from different aspects.
The candlestick analysis literature is mainly based on the daily candlestick (Lu,
Shiu, and Liu, 2012; Lu, 2014; Zhu et al., 2016; Tharavanij, Siraprapasiri, and
Rajchamaha, 2017). Nevertheless, some scholars specialize in intraday candlesticks
(Marshall et al., 2008; Fock, Klein and Zwergel. 2005), while many in the literatures argue that short-term candlestick analysis is more effective. Thus this present research; mainly analyzes 5-minute (5-min) and 15-min intraday candlestick strategies in which a transactions are settled on the same day and cross-day trading does not exist within our trading strategy.
1 There are many different classifications in terms of holding time for an investment. For example, there are some holding periods of 1, 3, 5, and 10 candlesticks (Marshall et al., 2008; Tharavanij et al., 2017),or an investor holds a position until the market price is higher (lower) than the interval average price
(Caginalp. and Laurent, 1998). Intraday trading can also be held for 30-min (Fock et al. 2005). This paper uses 6, 8 and 10 intervals in 5-min and 15-min candlestick strategies to analyze implicit information from different minutes candlestick patterns and holding intervals.
In addition to find a candlestick strategy value from different holding time intervals, we believe there are other ways to dig out value from such a strategy. Thus we group the sample data and then use a candlestick strategy to analyze those clusters.
Here in, we use the expiration day of VIX futures as the basis for grouping. And we also use the VIX level as the basis for grouping.
The VIX index in the U.S. reflects market volatility and the information from it may contain market sentiment. At the same time, technical analysis may also provide information on market sentiment. Under this premise, we use candlestick analysis to explore information in the VIX futures market. We find that there are many significant and effective strategies which candlestick analysis can earn more excess returns between VIX index level, expiration day.
2 Many candlestick analysis studies seek direct profit from related investment strategies. In this study, we take candlestick analysis to be just like any other technical analysis method. Although this method mainly consists of open, high, low, and closing price, technical analysis may not bring direct trading gains. However, we can use different types of technical analysis to find indirect market information, which could then help formulate an investment strategy. This is the value that technical analysis provides to the financial markets.
The rest of this paper runs as follows. Section 2 reviews the literature. Section 3 describes the data. Section 4 illustrates the candlestick structure of candlestick analysis. Section 5 presents the research method. Section 6 discusses the empirical results. Section 7 concludes the paper.
3 2. LITERATURE REVIEW
From the efficient market hypothesis (EMH) viewpoint, technical analysis
(candlestick) is effective when the market is not efficiency. Technical analysis loses its value when the market is efficient. Thus one might say that EMH recognizes candlestick analysis a only having value during inefficient markets. Some experimental results in the literature show no value from a candlestick strategy. For example, Malkiel (1981) believes that technical analysis offers zero benefit to investors. Use the S&P 349 stock market with 9 candlestick strategies. Horton (2009) finds that the candlestick strategy to be ineffective. Marshall et al. (2006) note that candlestick analysis is not profitable on the U.S. Dow Jones Industrial Average (DJIA) from 1992 to 2002. Duvinage et al. (2013) also present for DJIA that the candlestick strategy is not profitable. Marshall and Cahan et al., (2008) find that the candlestick strategy does not provide significant returns in the 100 stock of Japan's Tokyo Stock
Exchange from 1975 to 2004. Tharavanij et al. (2017) find from 2006 to 2016 in the
Stock Exchange of Thailand (SET) market that using a candlestick strategy does not offer any significant profit. Fock et al. (2005) use the data from 2002 to 2003 intraday
DAX and Bund futures didn’t have significant profit.
For the literature results of candlestick analysis that show no direct significant
4 return, each study has a different interpretation. Marshall and Cahan et al. (2008) speculate that candlestick analysis is ineffective, because the candlestick strategy is so widespread and popular in the Japan market.The other reason is technical trading rules have been shown to be more profitable in Japan. Fock et al. (2005) mention a wide variety of candlestick strategies in existence, but they do not see any distinct profitable strategy. Fock et al. (2005) and Goo et al. (2007) state that some candlestick analyses combined with other technical analyses can provide more effective trading results.
Among those in the literature who find candlestick analysis to have value, they note that it is due to specific market conditions. Treynor and Ferguson (1985) believe that past prices may contain information that people can use to find profits. Lo,
Mamaysky and Wang (2000) find that various chart patterns precede returns with unique characteristics. These kinds of similar features may be due to the shape of the candlestick or the sign of market liquidity. Mazza et al. (2013) show that some candlestick structures appear under high market liquidity. Chordia and
Subrahmanyam (2004) and Chordia et al. (2001, 2002) mention the relationships among market remuneration, liquidity, and trading activities, which run similar to emotional effects in the market. In Nison (1991), emotional and irrational decisions affect market prices, and technical analysis can explicitly illustrate this impact.Above
5 paper show technical analysis can provide different information to investors.
Other studies believe short-term strategies are more representative of candlestick strategies’ value. Kavajecz and Odders-White (2004) find that trading strategy affects market prices, and that short-term impacts are best represented by candlestick charts.
Goo, Chen, and Chang (2007), Lu and Shiu (2012), Lu et al. (2012), and Zhu et al.
(2016) also note that candlestick strategy analysis can show value in the short term.
Among the values that candlestick analysis offers are return, market liquidity, market efficiency, and the phenomenon of specific assets’ characteristics. The following describes the features found in different studies of the literature using candlestick analysis. Using the genetic network programming (GNP) method for the
Japan market from 2000 to 2002, Izumi, Yamaguchi, Mabu, Hirasawa and Hu (2006) link it up with candlestick analysis and find that GNP utilized under specific volatility environments does present better profit opportunities. Tharavanij et al. (2017) present that candlestick analysis shows value in Thailand’s small-cap stock market. Lu (2014) also notes that the candlestick strategy has a better effect in small-size companies and low-priced stocks.
Detollenaere and Mazza (2014) show how a specific candlestick strategy can be profitable, for which some represent the transaction cost (ex: slippage or searching
6 cost). For institutional traders or hedgers, who demand immediate liquidity, candlestick analysis can help give them a judgment basis of cost. In Zhu et al. (2016), candlestick analysis provides information in the Taiwan and China markets. A bullish signal is more effective for small-cap stocks and high liquidity stocks, while a bearish signal is more effective for small-cap stocks and low liquidity stocks. Compared to government-owned enterprises, candlestick analysis is more profitable for privately-owned companies. It is mentioned that you can use candlestick analysis to find information in different market.
Different studies in the literature provide different interpretations for the information coming from candlestick analysis. Thus, our paper shall mainly discuss whether candlestick analysis can find useful information emanating from VIX futures.
This information may concern liquidity, market sentiment, predictions of specific condition, or even profits.
7 3. DATA
3.1 Sample
Classical and Quantum Gravity (CQG) is a company from the United States that specializes in technical analysis, chart generation, and electronic trading data collection for financial markets. We thus use data on CBOE VIX futures produced by
CQG. The VIX index of CBOE measures the stock market’s expectation of volatility as implied in S&P 500 index options. The inclusion of this information may provide an expected fluctuation in the S&P index over the next 30 days. CBOE Options
Exchange lists up to six consecutive weekly expirations for VIX. VIX weekly futures and options generally have the same contract specifications as monthly expiring VIX contracts.
The data obtained by the CQG market include intraday data for each transaction order in the VIX futures market. The VIX futures contract started trading in 2004, but its initial trading volume was quite small. For the calculation of intraday data, there are often no transactions or only one deal order. This phenomenon is a big problem for candlestick analysis.
8 3.2 Sequence of order
We therefore utilize the time period from January 2008 to September 2015, covering a total of 1937 trading days. Each datapoint is an individual limit order transaction. The total number of transactions over this time interval is close to 40 million. The original data categories are contract, time, price, type, volume, sequence
(number of orders), date (trading order date), and price ticks. The data for each order are calculated in units of minutes. Therefore, there is no blurring interval in which all orders can clearly distinguish their ticks from minute K-sticks.
Trading type is divided into two parts: Regular Trading Hours and Global
Trading Hours. Regular Trading Hours are from 8:30 a.m. to 3:30 p.m. (Chicago time
Monday-Friday). Global Trading Hours (5:00 p.m. to 8:30 a.m. and 3:30 p.m. to 4:00 a.m) have a small amount of transactions and often no transactions or few deal orders.
Therefore, we do not include Global Trading Hours in this paper. Expiration and settlement of VIX futures are usually on Wednesday morning (30 days before Friday settlement of SPX options). For VIX futures data, we sort out the first 15 minutes and last 15 minutes, because many noise-traders trade during these two periods. After removing the two time intervals, the remaining data are more representative of the picture.
9 4. CANDLESTICK
4.1 Origin and synopsis of candlestick
The candlestick originated from the rice market of Japan in the 17th century. At that time, the candlestick was used to record the rice market price and volatility.
Munehisa Homma used candlestick analysis in the Dojima Rice market in Osaka.
Therefore, Munehisa Homma is sometimes considered the father of the candlestick chart.
After several centuries, candlestick analysis was introduced to the stock market and futures market due to its delicate and unique way (by Steve Nison in his book, Japanese Candlestick Charting Techniques). We also call candlestick with terms like ‘K-bar’, ‘K-chart’, and ‘candle chart’. Why is it called “K-bar” ? In fact, the “K” in Japan is not written as “K”, but as “罫” (Japanese character), and K-line is the pronunciation of “kei-line”. The first letter “K” in English was literally translated into the “K” line, which was developed from this.
In Figure 1 we can see two different forms of candlestick. K-bar, which is used in current stock markets, is almost always presented in the form of black and white or green and red. It displays the high, low, open, and closing prices of a security for a specific period. Our research shows the K chart as black and white. The entity is
10 painted as a white graphic, representing a bullish market signal where the closing price is higher than the opening price. A black graphic is a bearish market, which represents a closing price lower than the opening price. It is easier to display both the supply and demand sides through the K-line entity and colors.
［Figure 1 about here］
Figure 2 shows the candlestick structure. The area between open and close is called the real body, and the price is distributed above and below the real body. A shadow also represents the highest and lowest trading prices of the market in the time pattern. In addition, a shadow is used to present a range of price fluctuations in a candlestick pattern. In other words, the shadow also indirectly illustrates the highest and lowest prices.
［Figure 2 about here］
4.2 Shadow
Table 1 shows the calculation method of a shadow in our study. Because the black and white candlesticks represent different opening and closing positions, the calculation method after quantification is different. However, the meaning of the representation is the same. Others believe that short-term or falling shadows may
11 mean that the price will rise in the future. In short, it may be possible after a long upper shadow appears that the representative price is about to fall. A tall upper shadow means a downturn is coming. However, the strategy described above produces different buying and selling signals with a combination of candlesticks.
［Table 1 about here］
Figure 3 illustrates different kinds of candlesticks strategy. Under many professionals’ communication, candlestick analysis has many different forms. There are often cases with similar names that have similar definitions from time to time.
This table has a total of nine kinds of single K-bar and seven kinds of double K-bar, for a total of sixteen trading strategies. In addition, some trading strategies require triple K-sticks. The more K-bars that are required for the strategy, the fewer the relative signals will be.
［Figure 3 about here］
4.3 Real body
The real body is the core part of a candlestick chart. It indicates stock’s closing price and opening price. Some like Marshall et al. (2007) and Lu et al. (2012) omit the narrative of the real body’s definition. Others take the percentage of real body to
12 classify. Fock et al. (2005) use 10%, 30%, and 80%, on DAX Futures and 40% and
80% on Bund Futures. Goo et al. (2007) employ 20% and 80% on the Taiwan stock market.
푂푝푒푛 −퐶푙표푠푒 Real Body = (1) 푂푝푒푛
We first analyze the real body composition of VIX futures from 2008 to 2015. In
Table 2 of Panel A, about 27% of the real body values are 0. This phenomenon mainly affects the proportion of “Doji” and “small”. In order to deeply explore the classification of the real body, we next remove the real body from the value of zero.
The results are in Table 2 of Panel B. The adjusted decile composition shows that the effect below the 50th percentile is more obvious, while the effect above the 70th percentile is weak. We lastly decide to use the Fock et al. (2005) method of DAX futures to classify the real body by 40% and 80%.
［Table 2 about here］
In Figure 4 we can see four kinds of candlestick real body classifications. Doji,
Small, Medium, and Tall each represent 27%, 13%, 40%, and 20% of the real body.
After the above numerical quantifications, it is now more conducive to filter out a strategy condition.
［Figure 4 about here］
13 4.4 Pattern
Using two kinds of period, we sort out 30 million transactions of order data and divide the daily transactions into 5-min K-bar and 15-min K-bar. When each segment has a transaction order, the K-bars formed by the 5-min daily show 78 K-bar patterns.
The K-bars formed by the 15-min daily show 26 K-bar patterns. In this paper, these two intervals are used as the trading pattern for the candlestick strategy.
14 5. RESEARCH DESIGN
5.1 Strategy
Most studies in the literature mainly distinguish the candlestick strategy by using open, high, low, and close prices. For example, Lu (2014), Tharavanij et al. (2017), and Chen et al. (2016) utilize the relationship between the open, high, low, and close to analyze candlestick strategy. This classification is vague about the real body size, and the length of the shadow is also understated. Relatively, this is a wide candlestick strategy definition, which may have more trading signals. Another type of candlestick strategy focuses on shadows and real bodies, such as Fock et al. (2005), Shi Chen et al.
(2016), and Wing et al. (2011).
In this paper our candlestick strategy is the latter and focuses on the real body and shadow. Table 3 presents the candlestick strategy of our experiment. The conditions in the candlestick strategy are mainly divided into the real body and the single value’s two parts. The condition of the real body part is set by the color of the candlestick and the type of real body classification. A single value is mainly specific to open, high, low, and close prices and the relationship with other K-bars.
［Table 3 about here］
The past literature mainly uses the candlestick strategy based on the daily
15 strategy, and the strategies’ holding periods are kept within 10 days. Marchall et al.
(2016), Lu et al. (2012), and Tharavanij et al. (2017) all use a ten-day holding strategy.
Some, like Duvinage et al. (2013), have a holding period that may be extend by the same bullish or bearish signal appearing. Fock et al. (2005) hold 30 minutes for an intraday candlestick strategy.
We use the candlestick strategy of intraday trading, and each trade will be closed the same day. In the 5-minute candlestick strategy, we hold 6, 8, and 10 intervals, meaning a 5-min K-bar strategy holds for 30, 40, and 50 minutes. In the 15-minute candlestick strategy we hold 6, 8, and 10 intervals; that is, the 15-min K-bar strategy holds 90, 120, and 150 minutes. We observe the effective prediction period of the candlestick strategy through different holding periods and also avoid holding too long during the intraday trading. The long holding period will affect the forecasting power.
5.2 Benchmark
In the study of trading strategies and technical analysis transactions, benchmarks are often taken as comparison. For a comparative benchmark, we want it to be random, and so we simulate a value in each candlestick interval during the 8-year data period from 2008 to 2015. There are approximately 420,000 candlesticks in 5-min pattern and approximately 150,000 candlesticks in 15-min patterns. The random value is from
16 the “numpy” module in the PYTHON programming language, and the random values are saved by uniform (0,1) distribution. We thus hope that the benchmark signal obtained by uniform (0,1) distribution can be approximated to a candlestick strategy signal.
After the evaluation, we decide to target a 5% probability of the benchmark to hit the signal. Each signal has the same holding time as its corresponding interval. The strategy of buying and selling is independent. Each benchmark holding is also an intraday strategy. All strategies are closed on that day.
Each different holding interval has a different uniform (0, 1) distribution random value, which means that we have 6 different benchmarks in the benchmark candlestick strategy. The trading of this benchmark signal has about 7,000 in the
15-min candlestick strategy and 40,000 benchmark signal in the 5-min candlestick strategy. At the same time, we use the Monte Carlo method to let the benchmark stabilize. Because we find that the benchmark changes a lot when trying a single sample, we use 500 times the Monte Carlo method to get the benchmark.
The abnormal return of the benchmark under a random sample is assumed to be zero. Because of the random value, the benchmark has different results. This benchmark is used to simulate the status of random orders.
17 5.3 Classification
In addition to back-testing the general candlestick strategy, this study also tries to observe the VIX futures candlestick strategy after grouping. First, the expiry date is a very important part of futures trading. Therefore, we use it to classify VIX futures. In addition; we also consider that there will be an impact in the case when the VIX values are different. Therefore, we adopt the expiration date and the VIX value as the conditions for classification.
Table 4 is a descriptive statistics table obtained by the expiration date grouping.
Panel A is the data before the classification. The others are based on the expiration day. We use the expiration day as the segment. Overall, the expiration days are divided into three groups: 1) current month, where expiration day is within 30 days;
2) nearby month, where expiration day is between 31 to 60 days; and 3) back month, where expiration day is between 61 to 90 days. The VIX futures that are traded near the expiration date show more volume. Because of the high transaction volume, “Doji” strategy signals will be less.
［Table 4 about here］
There are about 420,000 K-bars in the 5-min candlestick strategy. And in Panel
B,0 to 30 expiration day have about 150,000 candlesticks in current month . The
18 closer the expiration days are, the greater are the K-bars, and the current month group’s standard deviation is higher. Here, we derive the method of VIX value classification.
We in general use the VIX index value as the reference value for the size of panic (risk). When the index is low, it indicates that the market is overly optimistic.
The VIX market typically moves back to a normal market price over time. If the VIX index is too high, then the market is overly pessimistic, and the market outlook again is likely to rebound in the short term.
Table 5 is the descriptive statistics chart after VIX value grouping. Panel A is the unclassified data. Panel B, Panel C, and Panel D are classified statistics. We find that the higher the VIX value is, the higher is the standard deviation. This may have a significant impact on the return of the candlestick strategy.
［Table 5 about here］
19 6. EMPIRICAL RESULTS
Tables 6 to Table 15 list the results of our candlestick strategy. We have 9 single candlestick strategies and 7 double candlestick strategies, for a total of 16 candlestick strategies in the empirical results. We use benchmark in table 6 and table7 only. Since our benchmark is a form of simulating random orders, it is not a proper reference to put it into the grouping of the VIX future data.
This research tests the profitability of candlestick trading strategies by the t-test.
With the t-test as the null hypothesis, the mean return is equal to zero (H0: μ = 0). We use the binomial test for the null hypothesis that the win rate is 50% (H0: p > 0.5).
There are three levels for testing: 10%, 5%, and 2.5% (α = 0.1, 0.05 and 0.025).
6.1 Original Data With Time Period
Two K-bar patterns and three kinds of holding intervals are used in the candlestick strategy. In the general data, six results are presented. Those tables have the type of trading (long or short), the number of transactions (N), average return (Ret mean), cumulative return (Ret sum), Win rate, and Return standard deviation (Std).
The 5-minute K-bar is usually the basis for intraday candlestick analysis. In
Table 6, we use the three ranges of 6, 8, and 10 patterns. We find that the win rate is not particularly prominent in any interval, but the “ShootingStarBlack” candlestick
20 strategy has a clear profit at 5-min intervals. In eight intervals (40-min), the strategy of “Doji” shows more profitability. This may be that buyers and sellers have started to struggle with prices in this interval. It is a signal that the balance will be broken. In addition, we find that the win rate in the 5-min trading strategy should be held for a longer period of time. This phenomenon is related to the real body being zero.
［Table 6 about here］
Table 7 is 15-min k-bar with three kinds of interval results. The biggest difference from the 5-min candlestick is that there are fewer signals. The win rate of the 15-min candlestick strategy is not particularly prominent, with most of them around 50%. In addition, we find that the “InvertedHammerBlack” strategy is more effective during the 15-min interval. This strategy is characterized by the lack of a lower shadow. A couple of K-bar strategies has no significant return at 15-min candlesticks.
［Table 7 about here］
In the comparison of 5-min and 15-min intervals, several strategies are found to have more significant returns (Dragonfly Doji, Gravestone Doji, Hanging Man, and
Doji). However, the win rate of both parts has no good value. Those long-shadow strategies contain information about the upcoming market trend.
21 6.2 Expiration Day (Tables8-11)
There are four tables showing the classification results of expiration day. The classification method is the same as above. All candlesticks are divided into 3 types: current month, nearby month, and back month. Table 8 and Table 9 present the 5-min
K-bar classification strategy. Table 10 and Table 11 present the 15-min classification strategy.
Table 8 lists the empirical result of the 5-min candlestick strategy holding 6 intervals (30-min) after expiration date grouping. Table 9 is the results of the 5-min candlestick strategy holding 8 intervals (40-min). Between the two tables, we find when the expiration day is closer that the candlestick strategy has a more significant amount of return. It indicates that the candlestick strategy is more profitable within 30 days of the futures expiration day. The farther away from the expiration day, the lower is the win rate. However, the win rate is not particularly significant.
［Table 8 about here］
［Table 9 about here］
The liquidity of the VIX futures market may be the cause of this situation. The
“All Equal” strategy has more signals in the far expiration days (61~90). The main reason is that the volume of transaction orders is less on these days. There may be only a single deal or a few transactions at the same trading price. This phenomenon
22 makes the signal more draw transaction (zero return), and the win rate is reduced. It also decreases other candlestick signals. Most trading strategies appear in the current months, and the standard deviation also increases with the expiration day. The current month candlestick strategy has the highest standard deviation, mainly as a result of liquidity and trading turnover.
Table 10 and Table 11 list the results of the 15-min candlestick strategy holding for six intervals (90-min) and eight intervals (120-min). Most of the strategies have a better win rate and reward in the current month (0-30 expiration days). The main reason is the number of “All Equal” signals, which are more in the 61-90 expiration day group. This result is due to low transaction volume. The standard deviation in the
K-bar of 15 minutes is also higher in the current month (0-30 expiration days).
［Table 10 about here］
［Table 11 about here］
In the 15-min and 5-min comparisons, the 15-min K-bar win rate is better than the 5-min K-bar. The main reason is that the 15-min candlestick has long holding period and it makes higher trading volume. In Tables 8 to 11, candlestick strategy is more effective in low maturity day .Some candlestick strategies have more significant return, like Dragonfly Doji, Gravestone Doji, Hanging Man, and Doji. These strategies mainly focus on being shadow-related. When the shadow is more obvious
23 than the real body, its symbolic price will show a large fluctuation in the trading range.
Some traders may have more information. In the four tables, we find that the strategy with a closer expiration day the candlestick strategy is more effective. The standard deviation is also higher in the current month. The main impact is on liquidity and the turnover rate of VIX futures.
6.3 VIX Index (Table12-15)
VIX index symbolizes market volatility. We divide the VIX index into three groups of low, medium, and high levels. The VIX classification results include 5-min and
15-min K-bars for 6 and 8 different intervals, respectively. Four tables present different VIX index classification result. A low VIX index has a value below 15.00. A medium VIX index has a value between 15.00 to 25.00. A high VIX index has a value above 25.00. In the candlestick strategy when using VIX index grouping, we mainly judge the grouping based on the closing price of the previous day. When the first day
(t) closing price is 14.22, then the second day (t+1) is classified into the low group
(VIX below 15.00). This action prevents us from using data in the future.
Table 12 and Table 13 present the 5-min empirical results in the VIX group.
When the VIX index is below 15.00, there are more candlestick strategies with significant returns. When the VIX index is above 25.00, the candlestick strategies
24 with significant return are less. This phenomenon means that when market volatility is low, it is easier to predict the future trend, and so candlestick analysis is more effective. Conversely, when market volatility is high, it is harder to predict the future trend, and so candlestick analysis is less effective.
［Table 12 about here］
［Table 13 about here］
Under different VIX index classifications, most strategies exhibit little difference in the number of signals. When the “All Equal” candlestick strategy has a lower signal ratio at a low VIX index, it indicates that there is less chance of a draw when the VIX index is below 15.00. The couple K-bar’s condition is stricter than the single
K-bar’s. We find that there are more significant returns under a high VIX index. The complex candlestick strategy conditions can predict the uncertainty of high fluctuations. The standard deviation increases with a rise in the VIX index.
Table 14 and Table 15 are the 15-min K-bar VIX index classification results. In
Table14, holding for a 90-min internal has same result as a 5-min candlestick, in which a low VIX index achieves more significant returns. In Table 15, when holding
120 minutes, the candlestick strategy has less significant returns. However, it has the
25 same result that candlestick strategy is more effective in low VIX index level. In the
15-min, the standard deviation increases with a rise in the VIX index
［Table 14 about here］
［Table 15 about here］
26 7. CONCLUSION
This paper uses the CBOE (Chicago Board Options Exchange)’s VIX Index to analyze a candlestick strategy for achieving trading profits. The data time covers from January 2008 to September 2015. During this period we use 9 single candlestick strategies and 7 couple candlestick strategies, taking 5-min and 15-min intraday trading as an experiment. In the 5-min candlestick strategy, we hold 6-, 8-, and 10-
(30, 40, and 50 minutes) intervals. From the viewpoint of the return, 10-interval is more predictive than all the other intervals. We also hold 6-,8- and 10-intervals (90,
120, and 150 minutes) in 15-min candlestick strategy. Thus, a better strategy is the
90-min holding period. From another viewpoint, holding 6-interval is an effective strategy in 15-min candlestick analysis. Finally, the specific candlestick strategies have more predictive power in market trend.
In addition to the effective prediction range of the basic candlestick strategy, this paper also discusses which candlestick strategy is effective for the time period of
VIX futures trading before expiration day and during market fluctuations. We divide into three groups (30, 60, and 90 days) based on expiration days before contract expiry. We find that candlestick strategy is more effective in low maturity day. The main reason for this phenomenon is the high liquidity of near expiration day. In
27 addition, we infer that the roll-over of futures and the market inform-trader also result in this phenomenon.
For the VIX index, we divide into three groups according to 15.00 and
25.00(below15.00; between 15.00 and 25.00; above 25.00). We find that the candlestick strategy is more predictive during a low VIX index (below 15.00), whereas the candlestick strategy is ineffective at a high VIX index (above 25.00). The main reason may be that it is easier to predict future trends when the market is low and fluctuating, whereas the future trend is difficult to predict when the market is volatile. Therefore, candlestick analysis is more effective below 15.00.
The candlestick analysis win rate is not particularly prominent in the VIX futures market. However, our findings show evidence that it is better to trade within
30 days of expiration or when VIX is below 15.00 in order to forecast better returns.
Traders can be more effective at predicting future trends when the above conditions are met.
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31 FIGURES
High High
Close Open
Open Close
Low Low
Candlestick in bullish single Candlestick in bearish single Figure 1 Two basic types of candlestick
Upper Shadow
(us)
Real Body (rb)
Lower Shadow
(ls)
Construction of Candlestick
Figure 2 Introduction of candlestick structure Upper shadow, lower shadow and real body
32 Name Chart Definition
All Equal Open ,high ,low and closing price are the same.
Dragonfly Open and the closing price are the same, it also be the Doji highest price. Have lower shadow.
Graveston Open and the closing price are the same, it also be the e Doji lowest price. And it has upper shadow.
Hanging Open price is the highest price, its shape like a person Man hanging on something.
The open and closing price are equal. Doji has lots of Doji definition but the figures are similar.
Inverted Closing price is the lowest price in this interval, the Hammer candlestick line have three price levels. Black
This kind of candlestick is the most common shape. HOCL And it has four price levels.
Graveston Closing price is the lowest price and candlestick has eDoji four price levels.It has obviously upper shadow.
Shooting Shooting Star has the similar shape with inverted StarBlack Hammer, but long of real body is different.
Count 9 Those strategy are single candle version.
Figure 3 The strategy of candlestick charting Show the strategy of Candlestick.
33
Name Chart Definition
Compsoed of bullish candlestick and Doji , the Doji Star second bar high price is higher than first bar closing price.
Piercing mrb Both candlestick are in similar price and the sceond Pattern closing price higher thae first middle real body.
Rain Drop Second candlestick price fall and it has white bar.
Rain Drop Similar as Rain Drop, but the second bar is Doji or Doji bearish candlestick.
A a small body-candle is positioned above the price Star range of the second bar .
A white candle is followed by a black candle,the Thrusting mrb second closing price smaller than first middle real PatternPos body. Thrusting A black candle is followed by a white candle,the mrb PatternNe second closing price higher than first middle real g body.
Count 7 Those strategy are double candle version.
Figure 3 (continue) There are many types of candlestick strategies can be presented. Most of the strategies that appear on the market are mainly single, double or triple candlesticks. We mainly use the single candlestick version and the double-candlestick trading mode. The above is the strategy type when the eyeball method is used. After that, we will have quantified definitions and methods presented in Table 3.
34 Doji Medium
40% ＜ RB, RB = 0 RB ≦ 80%
Small Tall
RB ≦ 40% RB ＞ 80%
Figure 4 Different types of real body The real body is calculated by the opening price minus the closing price and then taking the absolute value divided by the opening price ( | open-close | / open ). Using the value calculated above. The real body will be divided into four different forms: Doji , Small , Medium and Tall. Doji is the group of the real body equal to zero; Small is the group of real body value located within 40 percent of the total but without zero; Medium is a group of real body value between the total percentage of 40 and 80 ; Tall is a group of real body value located at a total percentage higher than 80. Real body type is used to distinguish variety candlestick strategy. The traditional K-bar strategy is mostly based on the eyeball method. There may be more vague identification in eyeball method practical applications.
35 TABLES
Table 1 Count formula of a shadow Bullish and bearish candlestick have different way to calculate upper shadow and lower shadow. In white candle, open price is higher than close price. When calculating a upper shadow, using the high price minus the close price; calculating a lower shadow, using the open price minus the low price. In black candle, close price is higher than open price. When calculating the upper shadow, using the high price minus the open price; calculating a lower shadow, using the close price minus the low price.
Upper shadow(us) Black k-chart White k-chart us = High − 푂푝푒푛 us = High − 퐶푙표푠푒 Lower shadow(ls) Black k-chart White k-chart ls = Close − 퐿표푤 ls = Open − 퐿표푤
36 Table 2 Size of Real Bodies for VIX Futures K-chart Table 2 presents the real body classification and adjustment. The original real body is calculated by the rate of price change per unit time. Using this value to sort and distinguish four different types. Panel A is obtained by the above method. We can see that about 27% of the real body is zero value. In the original classification, the quantity of “Small” groups will be allocated sparingly. This may cause us to be distorted in defining the real body type. The main cause of the phenomenon is excessive zero value. So we remove the value of the real body equal zero and observe its data distribution. We found that the deconstruction below the percentage 50 will have a more obvious change. The adjusted result of 70% (0.0033) is approximately equal to Panel A 80% (0.0034). Finally, we re-adjusted the entire classification range to get the result of Panel B.
Panel A. Original real body classification and distribution PR 10 20 27 30 40 50 60 70 80 90 99 RB-value 0 0 0 0.0004 0.0011 0.0016 0.0021 0.0027 0.0034 0.0051 0.0116
Size Decile RB-value Doji RB ≦10% RB ≦ 0 Small 10% ＜ RB ≦30% 0 < RB ≦0.0004 Medium 30% ＜ RB ≦70% 0.0004 ＜ RB ≦0.0027 Tall RB > 70% RB > 0.0027
Panel B. Adjust the real body by remove zero value PR 1 10 20 30 40 50 60 70 80 90 99 RB-value 0.0004 0.0007 0.0013 0.0017 0.002 0.0024 0.0028 0.0033 0.0043 0.0059 0.0129
Size Decile RB-value Doji - RB ≦ 0 Small RB ≦ 40% 0 < RB ≦0.0011 Medium 40% ＜ RB ≦ 80% 0.0011 ＜ RB ≦0.0034 Tall RB ＞ 80% RB ＞ 0.0034
37 Table 3 Definition of candlestick strategy The conditions of the strategy are divided into two parts, one is the color and length of the K-bar, and the other is the length of the shadow. The field "Rb1 condition" represents the color and type by the first K-bar in the strategy. All conditions need to match, then the signal appears. The color of the candlestick is classified into black and white. The black K-bar(b) represents the bearish market (open price is greater than the close price). The white K-bar(w) mainly represented the bullish market (the close price is greater than the opening price). Types of real body have four different classifications: Doji , Small , Medium and Tall. Some of the strategies have two or more types. The field "P1" represents the detail requirements of the strategies. At this part “us1” means the upper shadow of first K-bar upper shadow;” ls1” means the lower shadow of first K-bar ; ” rb1” means the real body of first K-bar ; “o2” means the open price of second K-bar ; “c2” means the close price of second K-bar ; “mrb1’ means the middle price of real body in first K-bar.( [open + close]/ 2 ).
Name Type Rb1 condition Rb2 condition P1 P2 P3
color type color type condition condition condition All Equal Long b.w Doji rb1 = 0
Dragonfly Doji Long b.w Doji us1 = 0 h1 = c1
Gravestone Doji Long b.w Doji ls1 = 0 us1 > rb1
Hanging Man Long b Not Doji us1 = 0
Doji Long b.w Doji us1 > 0 ls1 > 0
Inverted Hammer Long b Not Doji ls1 = 0 Black
HOCL Long b Not Doji us1 > 0 ls1 > 0
GravestoneDoji Short b.w Doji us1 > 3*rb1 ls1 = 0 ShootingStarBlack Both b small us1 >= 2*rb1 ls1 = 0 ShootingStarWhite Both w small us1 >= 2*rb1 ls1 = 0 DojiStar Short w tall b.w Doji c1 <= h2 us2 > 3*b2 ls2 > 3*rb2 PiercingPattern Long b tall w tall o2 <= c1 c2 < o1 c2 > mrb1 RainDrop Long b tall b.w small c1 >= l2 RainDropDoji Long b tall b.w Doji c1 >= l2 us2 > 3*rb2 ls2 > 3*rb2 Star Short w tall b.w small c1 <= h2 ThrustingPatternNeg Short w tall b tall o2 >= c1 c2 < c1 c2 >= mrb1 ThrustingPatternPos Long b tall w tall o2 <= c1 c2 > c1 c2 <= mrb1 C1-rb：the real body of first k-chart in the strategy P1：first condition of the strategy condition：open(o)、close(c)、real body(rb)、middle of real body(mrb) color：black k-chart (b)、white k-chart (w) construction：upper shadow(us)、lower shadow(ls)
38 Table 4 Statistics of the K-chart classified by expiration day Table 4 is the statistical statistics of the K-bar. The data contains the VIX futures trading order from 2008 to 2015. This table shows the amount of data , average, standard deviation, the median, and skewness coefficient, kurtosis coefficient. In addition, according to different expiration day, the characteristics are divided into three parts. We distinguish the data structure by current month (Panel B), near-month (Panel C) and back month (Panel D). The watershed of the category is 30, 60, 90 expiration day. In Panel B 's current month statistics, we can find that the Kurtosis value is about 4.3, which is higher than the value of Panel C and Panel D( Kurtosis 2.5). Overall, the VIX futures trade shows a peak distribution. It will be more obvious in the current month's expiration day. The Skewness coefficient shows the result of the right deviation (SK > 0).
Panel A. Normal data of VIX Statistics Count Mean Std Median Skewness Kurtosis High 422480 22.3576 8.0515 20.26 1.7461 4.0327
Five-minute Low 422480 22.2698 8.0267 20.19 1.7401 3.9954
k-chart Open 422480 22.3134 8.0391 20.22 1.7431 4.0133
Close 422480 22.3.33 8.0391 20.22 1.7431 4.0135
Statistics Count Mean Std Median Skewness Kurtosis
High 152792 22.7790 8.3363 20.70 1.6739 3.5455 Fifteen Low 152792 22.6342 8.2712 20.55 1.6622 3.4716 minute Open 152792 22.7154 8.3035 20.64 1.6678 3.5067 k-chart Close 152792 22.7147 8.3038 20.64 1.6678 3.5063
Panel B. 0 to 30 expiration day Statistics Count Mean Std Median Skewness Kurtosis High 153710 22.1174 9.2920 19.22 1.9506 4.3863
Five-minute Low 153710 22.0081 9.2487 19.13 1.9465 4.3632
k-chart Open 153710 22.0629 9.2699 19.18 1.9485 4.3741
Close 153710 22.0627 9.2704 19.18 1.9485 4.3741
Statistics Count Mean Std Median Skewness Kurtosis
High 53545 22.3047 9.4560 19.35 1.9249 4.1952 Fifteen Low 53545 22.0983 9.3454 19.20 1.9152 4.1383 minute Open 53545 22.2014 9.3994 19.27 1.9197 4.1647 k-chart Close 53545 22.1999 9.4008 19.27 1.9199 4.1640
39 Table 4 (continued)
Panel C. 30 to 60 expiration day Statistics Count Mean Std Median Skewness Kurtosis High 135022 22.5269 7.6582 20.70 1.4812 2.5528
Five-minute Low 135022 22.4391 7.6421 20.60 1.4819 2.5582
k-chart Open 135022 22.4822 7.6505 20.65 1.4815 2.5553
Close 135022 22.4822 7.6503 20.65 1.4814 2.5551
Statistics Count Mean Std Median Skewness Kurtosis
High 48364 22.9398 8.0248 21.04 1.4759 2.4050 Fifteen Low 48364 22.7782 7.9748 20.89 1.4781 2.4168 minute Open 48364 22.8580 8.0001 20.95 1.4769 2.4108 k-chart Close 48364 22.8575 8.0000 20.95 1.4766 2.4093
Panel D 61 to 90 expiration day Statistics Count Mean Std Median Skewness Kurtosis High 133748 22.4629 6.7995 20.90 1.3860 2.5391
Five-minute Low 133748 22.3996 6.7916 20.85 1.3867 2.5413
k-chart Open 133748 22.4309 6.7960 20.90 1.3866 2.5410
Close 133748 22.4309 6.7954 20.89 1.3861 2.5389
Statistics Count Mean Std Median Skewness Kurtosis
High 50883 23.1820 7.2768 21.90 1.3666 2.3680 Fifteen Low 50883 23.0612 7.2509 21.80 1.3675 2.3686 minute Open 50883 23.1209 7.2645 21.85 1.3673 2.3694 k-chart Close 50883 23.1208 7.2636 21.85 1.3668 2.3682
40 Table 5 Statistics of the K-chart classified by VIX index This table shows the statistical statistics of the K-bar. The data contains the VIX futures trading order from 2008 to 2015. We distinguish the data structure by different VIX Index closing price, below 1500(Panel B), between 1500 to 2500 (Panel C) and above 2500 (Panel D). This table shows the amount of data, average, standard deviation, the median, and skewness coefficient, kurtosis coefficient. In addition, according to different VIX, the characteristics are divided into three parts. The watershed of the category is 15.00 and 25.00 VIX future price. In Panel B 's low Index statistics, we can find that the kurtosis value is near to zero and negative skewness coefficient, which means low VIX price kurtosis is similar with normal distribution and left deviation (SK > 0). Overall, the Panel C VIX between 1500 to 2500 trade shows a peak distribution. Panel D high VIX seldom appear in past data.
Panel A. Normal data of VIX Statistics Count Mean Std Median Skewness Kurtosis High 422480 22.3576 8.0515 20.26 1.7461 4.0327
Five-minute Low 422480 22.2698 8.0267 20.19 1.7401 3.9954
k-chart Open 422480 22.3134 8.0391 20.22 1.7431 4.0133
Close 422480 22.3133 8.0391 20.22 1.7431 4.0135
Statistics Count Mean Std Median Skewness Kurtosis
High 152792 22.7979 8.3363 20.70 1.6739 3.5455 Fifteen Low 152792 22.6342 8.2712 20.55 1.6622 3.4716 minute Open 152792 22.7154 8.3035 20.64 1.6678 3.5067 k-chart Close 152792 22.7147 8.3038 20.64 1.6678 3.5063
Panel B. VIX index below 1500 Statistics Count Mean Std Median Skewness Kurtosis High 46084 11.7217 1.9939 11.55 -0.8277 0.0353
Five-minute Low 46084 14.1422 0.6970 14.30 -0.8289 0.0401
k-chart Open 46084 14.0738 0.6962 14.25 -0.8220 0.0236
Close 46084 14.1082 0.6963 14.28 -0.8281 0.0268
Statistics Count Mean Std Median Skewness Kurtosis
High 15962 11.8046 2.0559 12.00 -0.8238 0.0423 Fifteen Low 15962 14.1639 0.6988 14.35 -0.8274 0.0434 minute Open 15962 14.0590 0.6958 14.23 -0.8167 0.0254 k-chart Close 15962 14.1116 0.6974 14.29 -0.8297 0.0317
41 Table 5 (continued)
Panel C. VIX index between 1500 to 2500 Statistics Count Mean Std Median Skewness Kurtosis High 257256 23.3654 7.9642 21.30 1.7815 4.1046
Five-minute Low 257256 23.2752 7.9387 21.20 1.7753 4.0661
k-chart Open 257256 23.3200 7.9515 21.25 1.7783 4.0844
Close 257256 23.3200 7.9514 21.25 1.7784 4.0849
Statistics Count Mean Std Median Skewness Kurtosis
High 136805 23.8067 8.2359 21.75 1.7066 3.5999 Fifteen Low 136805 23.6361 8.1705 21.60 1.6940 3.5220 minute Open 136805 23.7207 8.2030 21.70 1.7000 3.5588 k-chart Close 136805 23.7203 8.2030 21.70 1.7002 3.5590
Panel D. VIX index above 2500 Statistics Count Mean Std Median Skewness Kurtosis High 119140 32.4906 7.7643 30.10 1.7203 2.8499
Five-minute Low 119140 32.3746 7.7280 30.00 1.7162 2.8153
k-chart Open 119140 32.4322 7.7462 30.05 1.7179 2.8312
Close 119140 32.4328 7.7456 30.05 1.7184 2.8329
Statistics Count Mean Std Median Skewness Kurtosis
High 45795 32.8145 7.9604 30.25 1.6004 2.2968 Fifteen Low 45795 32.5807 7.8746 30.05 1.5883 2.2180 minute Open 45795 32.6962 7.9173 30.15 1.5936 2.2547 k-chart Close 45795 32.6976 7.9159 30.15 1.5944 2.2560
42 Table 6 Five-minute K-bar strategy of VIX futures Data for the 5-minute K-bar period in each trade order from 2008 to 2015. When the signal appears at “t”, we operate at the opening price of (t+1). The close the position after holding half hour later(t +1+I). The trading strategy consists of buy and short. The field "Ret mean" means the average profit per trade. The field "Earning" means that if you invest 1 dollar at the beginning of the period, you can get the benefits at the end of the period. holding 30 min holding 40 min holding 50 min Name TYPE N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std All Equal Long 51431 -0.0061% -314.21% 45.13% 0.0095 51431 0.0008% 42.77% 46.31% 0.0088 51431 0.0008% 40.68% 47.16% 0.0099
Dragonfly Doji Long 20056 -0.0039% -90.31% 45.11% 0.0125 20056 0.0134%*** 269.08% 45.61% 0.0082 20056 0.0208%*** 418.13% 46.55% 0.0090
Gravestone Doji Long 23151 -0.0341% -1176.65% 46.19% 0.0167 23151 0.0141%*** 327.06% 45.89% 0.0074 23151 0.0235%*** 544.21% 47.51% 0.0082
Hanging Man Long 34495 -0.0273% -807.83% 46.75% 0.0158 34495 0.0170%*** 586.38% 46.97% 0.0105 34495 0.0209%*** 722.64% 48.07% 0.0115
Doji Long 29563 -0.0273% -807.83% 46.75% 0.0158 29563 0.0099%** 293.37% 47.44% 0.0097 29563 0.0147%*** 435.36% 48.30% 0.0107
Inverted Hammer Black Long 33226 -0.0028% -91.77% 46.73% 0.0138 33226 0.0208%*** 689.65% 47.00% 0.0106 33226 0.0216%*** 716.31% 47.48% 0.0115
HOCL Long 35029 0.0089% 311.16% 47.45% 0.0171 35029 0.0023% 82.27% 47.53% 0.0128 35029 0.0020%*** 68.39% 48.41% 0.0138
GravestoneDoji Short 9061 -0.0036% -34.58% 46.37% 0.0080 9061 0.0047% 45.10% 45.70% 0.0085 9061 -0.0048% -45.95% 47.13% 0.0095
ShootingStarBlack Short 4516 -0.0218%** -115.67% 45.95% 0.0091 4516 -0.0262%*** -139.17% 45.91% 0.0081 4516 0.0320%*** 170.12% 46.14% 0.0090
ShootingStarWhite Short 4552 0.0219% 99.79% 46.51% 0.0076 4552 -0.0103% -47.06% 44.22% 0.0080 4552 0.0117% 53.16% 43.87% 0.0088
DojiStar Short 3032 0.0558% 169.78% 46.37% 0.0177 3032 0.0161% 49.09% 47.29% 0.0113 3032 -0.0086% -26.22% 48.01% 0.0125
PiercingPattern Long 2497 0.0665%** 175.75% 45.38% 0.0206 2497 0.0909%*** 240.24% 48.07% 0.0179 2497 0.0836%*** 220.86% 47.24% 0.0196
RainDrop Long 3657 0.0540%** 181.27% 48.08% 0.0166 3657 0.0223% 74.85% 44.86% 0.0110 3657 0.0285%* 95.55% 46.11% 0.0122
RainDropDoji Long 2744 0.0633%** 159.23% 48.17% 0.0175 2744 0.0172% 43.25% 44.79% 0.0113 2744 0.0192% 48.22% 45.59% 0.0126
Star Short 3620 0.0117% 39.57% 45.71% 0.0135 3620 0.0032% 10.80% 45.53% 0.0109 3620 0.0080% 26.99% 47.82% 0.0117
ThrustingPatternNeg Short 4552 -0.0055% -27.21% 46.86% 0.0179 4552 -0.0405%*** -199.87% 46.19% 0.0159 4552 -0.0755% -352.54% 47.71% 0.0202
ThrustingPatternPos Long 4688 0.0237% 110.89% 48.12% 0.0181 4688 -0.0561% -262.14% 47.39% 0.0188 4688 0.0438%** 215.77% 46.00% 0.0175
Benchmark Long 21123 0.0113% 5.66% 43.48% 0.0001 21123 0.0149% 1.49% 43.79% 0.0001 21123 0.0185% 1.85% 43.96% 0.0001 Benchmark Short 21123 -0.0113% -5.63% 47.13% 0.0011 21123 -0.0142% -7.10% 48.19% 0.0013 21123 -0.0177% -8.85% 48.98% 0.0013
43 Table 7 Fifteen-minute K-bar strategy of VIX futures Data for the 15-minute K-bar period in each trade order from 2008 to 2015.When the signal appears at “t”, we operate at the opening price of (t + 1) . The close the position after holding an hour later(t +1+I) . The trading strategy consists of buy and short. The field "Ret mean" means the average profit per trade. The field "Earning" means that if you invest 1 dollar at the beginning of the period, you can get the benefits at the end of the period.
holding 90 min holding 120 min holding 150 min Name TYPE N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std All Equal Long 7411 0.0047% 34.72% 46.92% 0.0122 7411 0.0105% 77.65% 47.93% 0.0161 7411 0.0075% 55.44% 49.25% 0.0217
Dragonfly Doji Long 3999 0.0227%* 90.66% 48.19% 0.0104 3999 -0.0167% -66.65% 48.29% 0.0180 3999 -0.1395% -557.67% 49.74% 0.0326
Gravestone Doji Long 4822 0.0457%*** 220.33% 48.26% 0.0098 4822 0.0399%* 192.50% 50.33% 0.0173 4822 -0.0114% -54.81% 51.12% 0.0267
Hanging Man Long 13934 0.0360%*** 501.54% 48.37% 0.0140 13934 0.0414%*** 576.49% 49.21% 0.0190 13934 -0.0138% -192.75% 50.48% 0.0333
Doji Long 11637 0.0581%*** 676.63% 48.16% 0.0137 11637 0.0147% 171.18% 49.43% 0.0236 11637 -0.0281% -327.39% 50.53% 0.0338
Inverted Hammer Black Long 13626 0.0495%*** 675.02% 48.23% 0.0158 13626 0.0414%*** 564.12% 48.98% 0.0202 13626 0.0103% 139.82% 49.20% 0.0286
HOCL Long 26643 -0.0016% -41.07% 47.20% 0.0208 26643 -0.0130% -324.19% 47.76% 0.0257 26643 -0.0215% -537.01% 48.77% 0.0331
GravestoneDoji Short 5363 0.0106% 60.41% 47.30% 0.0117 5363 -0.0173% -98.92% 48.88% 0.0138 5363 -0.0520%*** -296.38% 50.11% 0.0194
ShootingStarBlack Short 922 -0.0420% -38.68% 48.37% 0.0111 922 -0.0667% -61.45% 49.35% 0.0163 922 0.0065% 5.96% 49.24% 0.0184
ShootingStarWhite Short 3038 -0.0587%*** -179.37% 45.73% 0.0125 3038 -0.0303% -92.54% 45.04% 0.0143 3038 -0.0364% -111.05% 44.30% 0.0205
DojiStar Short 1041 -0.0757%* -81.11% 46.78% 0.0189 1041 -0.0840%* -89.96% 48.83% 0.0219 1041 -0.1157% -123.94% 48.93% 0.0442
PiercingPattern Long 864 -0.0087% -7.92% 47.73% 0.0230 864 -0.0255% -23.09% 46.52% 0.0252 864 0.1436%* 129.99% 48.07% 0.0347
RainDrop Long 2397 -0.0134% -29.84% 48.23% 0.0174 2397 0.0173% 38.70% 46.94% 0.0212 2397 0.0276% 61.69% 47.43% 0.0274
RainDropDoji Long 1982 -0.0095% -17.19% 48.50% 0.0175 1982 -0.0003% -0.55% 46.73% 0.0208 1982 -0.0022% -4.00% 47.39% 0.0274
Star Short 2561 0.0166% 40.21% 45.79% 0.0144 2561 0.0023% 155% 46.43% 0.0208 2561 0.0163% 39.50% 48.68% 0.0296
ThrustingPatternNeg Short 1449 0.2024% 308.68% 44.07% 0.0228 1449 0.1603% 244.45% 46.23% 0.0292 1449 -0.1785% -272.24% 45.70% 0.0501
ThrustingPatternPos Long 1607 0.0205% 34.04% 48.08% 0.0209 1607 0.0302% 50.21% 47.54% 0.0269 1607 0.1382% 229.94% 49.40% 0.0439
Benchmark Long 7639 0.0303% 15.13% 44.08% 0.0003 7639 0.0378% 18.92% 44.11% 0.0003 7639 0.0489% 24.46% 44.23% 0.0004
Benchmark Short 7639 -0.0297% -14.86% 50.47% 0.0003 7639 -0.0418% -20.92% 51.26% 0.0003 7639 -0.0525% -26.26% 50.18% 0.0004 44 Table 8 Result of expiration day classification in five-minute K-bar by holding 30 minutes The data period is the same as the above table from 2008 to 2015. This table separates each transaction to calculate the expiration day. Among them, we use the 30 and 60 as the demarcation. Therefore, the three-component group we get : first transactions within 30 days of the expiration day; the second is expiration between 31 days to 60 day; the third is expiration between 61 days to 90 days. When the signal appears at t, we operate at the opening price of t+1 . The close the position after holding 30-min(t+7) . The trading strategy consists of buy and short. The field "Ret mean" means the average profit per trade. The field "Earning" means that if you invest 1 dollar at the beginning of the period, you can get the benefits at the end of the period. 0 to 30 expiration day 30 to 60 expiration day 61 to 90 expiration day Name TYPE N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std All Equal Long 12284 0.0214%*** 262.39% 46.20% 0.0084 14336 -0.0093% -132.81% 44.05% 0.0069 24811 -0.0137% -340.12% 43.66% 0.0069
Dragonfly Doji Long 8374 0.0159%** 133.00% 44.36% 0.0073 5668 0.0008% 4.50% 44.11% 0.0064 6014 0.0006% 3.49% 44.41% 0.0055
Gravestone Doji Long 8203 0.0232%*** 190.61% 44.72% 0.0070 7984 0.0106%* 84.26% 43.78% 0.0059 6964 -0.0031% -21.40% 43.85% 0.0052
Hanging Man Long 13951 0.0252%*** 351.57% 46.37% 0.0104 10626 0.0092%* 97.94% 44.81% 0.0075 9918 -0.0137% -135.56% 44.02% 0.0065
Doji Long 12031 0.0150%** 180.86% 45.60% 0.0093 9768 0.0048% 47.11% 46.01% 0.0068 7764 -0.0160% -124.57% 44.18% 0.0061
Inverted Hammer Black Long 12443 0.0318%*** 395.94% 46.14% 0.0106 11265 0.0174%** 196.00% 46.11% 0.0082 9518 0.0021% 20.38% 44.61% 0.0069
HOCL Long 13769 0.0162%* 223.47% 47.17% 0.0121 12635 0.0009% 11.70% 45.75% 0.0086 8625 -0.0035% -30.25% 45.93% 0.0079
GravestoneDoji Short 3941 -0.0072% -28.43% 47.50% 0.0093 3165 -0.0049% -15.46% 45.59% 0.0108 1955 -0.0011% -2.07% 44.30% 0.0079
ShootingStarBlack Short 1249 -0.0252% -31.52% 46.92% 0.0100 1511 0.0128% 19.37% 44.87% 0.0080 1756 0.0204% 35.84% 45.62% 0.0081
ShootingStarWhite Short 2134 -0.0295%* -62.94% 47.47% 0.0091 1605 -0.0204% -32.68% 43.18% 0.0107 813 -0.0052% -4.22% 44.53% 0.0077
DojiStar Short 1208 0.0386% 46.57% 48.01% 0.0163 953 -0.0263% -25.09% 45.54% 0.0104 871 0.0789% 68.75% 44.66% 0.0087
PiercingPattern Long 900 0.1040%** 93.59% 48.11% 0.0179 820 0.0391% 31.99% 47.99% 0.0148 777 0.0886%*** 68.78% 48.84% 0.0112
RainDrop Long 1625 0.0613%*** 99.54% 44.55% 0.0120 1382 0.0275% 37.96% 46.02% 0.0111 650 -0.0080% -5.23% 45.85% 0.0076
RainDropDoji Long 1216 0.0742%*** 90.28% 44.41% 0.0127 1072 0.0341% 36.59% 46.08% 0.0096 456 -0.0339% -15.45% 44.08% 0.0078
Star Short 1714 -0.0197% -33.79% 46.50% 0.0110 1267 -0.0187% -23.67% 45.97% 0.0090 639 -0.0057% -3.66% 46.17% 0.0074
ThrustingPatternNeg Short 1654 0.0379% 62.61% 47.13% 0.0175 1470 -0.0566%** -83.21% 49.56% 0.0129 1428 0.0136% 19.43% 45.38% 0.0106
ThrustingPatternPos Long 1698 0.0066% 11.26% 45.32% 0.0162 1531 0.0242% 37.03% 46.57% 0.0124 1459 0.0523%*** 76.19% 46.57% 0.0102
45 Table 9 Result of expiration day classification in five-minute K-bar by holding 40 minutes The data period is the same as the above table from 2008 to 2015. This table separates each transaction to calculate the expiration day. Among them, we use the 30 and 60 as the demarcation. Therefore, the three-component group we get : first transactions within 30 days of the expiration day; the second is expiration between 31 days to 60 day; the third is expiration between 61 days to 90 days. When the signal appears at t, we operate at the opening price of ( t+1) . The close the position after holding 40-min (t+9) . The trading strategy consists of buy and short. The field "Ret mean" means the average profit per trade. The field "Earning" means that if you invest 1 dollar at the beginning of the period, you can get the benefits at the end of the period. 0 to 30 expiration day 30 to 60 expiration day 61 to 90 expiration day Name TYPE N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std All Equal Long 12284 0.0352%*** 432.48% 49.04% 0.0103 14336 -0.0009% -12.92% 46.12% 0.0085 24811 -0.0193% -478.07% 45.06% 0.0084
Dragonfly Doji Long 8374 0.0286%*** 239.45% 46.36% 0.0088 5668 0.0037% 20.91% 45.27% 0.0074 6014 -0.0087% -52.38% 44.81% 0.0067
Gravestone Doji Long 8203 0.0360%*** 295.23% 46.75% 0.0085 7984 0.0171%*** 136.40% 45.49% 0.0071 6964 -0.0102% -71.04% 45.43% 0.0062
Hanging Man Long 13951 0.0401%*** 559.66% 48.39% 0.0123 10626 0.0133%* 140.90% 46.15% 0.0091 9918 -0.0112% -111.26% 45.83% 0.0079
Doji Long 12031 0.0242%*** 291.12% 48.00% 0.0112 9768 0.0088% 85.81% 47.69% 0.0084 7764 -0.0099% -76.83% 46.37% 0.0075
Inverted Hammer Black Long 12443 0.0369%*** 459.18% 47.94% 0.0124 11265 0.0211%*** 238.03% 47.37% 0.0096 9518 -0.0022% -21.27% 45.57% 0.0080
HOCL Long 13769 0.0142% 195.81% 48.17% 0.0145 12635 0.0014% 17.78% 47.35% 0.0103 8625 -0.0107% -91.91% 47.01% 0.0093
GravestoneDoji Short 3941 -0.0039% -15.55% 47.45% 0.0104 3165 0.0006% 1.79% 46.03% 0.0103 1955 -0.0085% -16.54% 44.96% 0.0087
ShootingStarBlack Short 1249 -0.0095% -11.89% 47.08% 0.0106 1511 -0.0351%* -53.07% 46.72% 0.0084 1756 -0.0407%*** -71.55% 47.44% 0.0076
ShootingStarWhite Short 2134 0.0078% 16.58% 44.14% 0.0102 1605 -0.0549%** -88.06% 44.92% 0.0112 813 -0.0039% -3.18% 43.30% 0.0083
DojiStar Short 1208 -0.0076% -9.23% 49.34% 0.0129 953 -0.0109% -10.36% 47.53% 0.0104 871 -0.0761% -6.29% 46.96% 0.0088
PiercingPattern Long 900 0.1003%* 90.24% 47.89% 0.0197 820 0.0015% 1.23% 48.78% 0.0158 777 0.0786%** 61.08% 48.39% 0.0119
RainDrop Long 1625 0.0644%** 104.61% 45.35% 0.0133 1382 0.0570%*** 78.79% 47.03% 0.0101 650 -0.0288% -18.69% 44.77% 0.0087
RainDropDoji Long 1216 0.0849%*** 103.22% 45.31% 0.0138 1072 0.0511%* 54.75% 47.39% 0.0102 456 -0.0464% -21.16% 44.30% 0.0088
Star Short 1714 -0.0161% -27.64% 46.73% 0.0126 1267 0.0280% 35.53% 44.51% 0.0102 639 0.0121% 7.70% 45.07% 0.0083
ThrustingPatternNeg Short 1654 0.0706% 116.66% 47.79% 0.0184 1470 -0.0006% -0.88% 48.06% 0.0126 1428 0.0282% 40.32% 45.38% 0.0110
ThrustingPatternPos Long 1698 -0.0073% -12.35% 44.78% 0.0180 1531 0.0211% 32.31% 47.06% 0.0135 1459 0.0374% 54.52% 47.16% 0.0107
46 Table 10 Result of expiration day classification in fifteen-minute K-bar by holding 90 minutes The data period is the same as the above table from 2008 to 2015. This table separates each transaction to calculate the expiration day. Among them, we use the 30 and 60 as the demarcation. Therefore, the three-component group we get : first transactions within 30 days of the expiration day; the second is expiration between 31 days to 60 day; the third is expiration between 61 days to 90 days. When the signal appears at t, we operate at the opening price of ( t+1 ). The close the position after holding 90-min(t+7) . The trading strategy consists of buy and short. The field "Ret mean" means the average profit per trade. The field "Earning" means that if you invest 1 dollar at the beginning of the period, you can get the benefits at the end of the period. 0 to 30 expiration day 30 to 60 expiration day 61 to 90 expiration day Name TYPE N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std All Equal Long 1094 0.0738% 80.77% 52.29% 0.0188 1768 -0.0026% -4.57% 47.12% 0.0108 4549 -0.0356% -161.79% 45.09% 0.0099
Dragonfly Doji Long 1435 0.0915%*** 131.37% 52.75% 0.0114 1172 -0.0450% -52.74% 44.37% 0.0095 1392 -0.0223% -149.20% 46.06% 0.0110
Gravestone Doji Long 1534 0.0635%*** 97.45% 49.61% 0.0108 1606 0.0557%*** 89.44% 48.82% 0.0115 1682 0.0032% 5.35% 45.78% 0.0081
Hanging Man Long 5322 0.0749%*** 398.73% 49.24% 0.0149 4147 -0.0084% -34.79% 46.78% 0.0116 4465 -0.0184% -82.19% 45.99% 0.0097
Doji Long 4448 0.1030%*** 458.25% 49.30% 0.0148 3792 0.0385%*** 145.77% 48.06% 0.0109 3397 0.0191% 64.92% 46.69% 0.0093
Inverted Hammer Black Long 4920 0.0889%*** 437.28% 48.89% 0.0165 4499 0.0391%*** 175.74% 48.47% 0.0119 4207 -0.0040% -16.96% 45.26% 0.0096
HOCL Long 9573 0.0484%*** 463.50% 48.97% 0.0174 8535 0.0066% 56.30% 47.06% 0.0122 8535 0.0066% 56.30% 47.06% 0.0122
GravestoneDoji Short 2016 -0.0209% -42.09% 49.13% 0.0166 1752 0.0234% 40.99% 48.80% 0.0124 1595 0.0171% 27.28% 47.65% 0.0113
ShootingStarBlack Short 175 -0.1192% -20.87% 59.43% 0.0184 242 -0.0585% -14.17% 49.17% 0.0123 505 -0.0246% -12.45% 50.10% 0.0092
ShootingStarWhite Short 1219 -0.0840%* -102.26% 46.31% 0.0180 1020 0.0201% 20.48% 50.59% 0.0129 799 -0.0133% -10.66% 43.80% 0.0115
DojiStar Short 397 -0.1338% -53.10% 50.13% 0.0169 328 0.0280% 9.17% 41.77% 0.0130 316 -0.0097% -3.07% 48.42% 0.0129
PiercingPattern Long 299 0.0179% 5.35% 50.17% 0.0293 284 -0.0685% -19.44% 45.42% 0.0186 281 -0.1767% -49.66% 41.28% 0.0186
RainDrop Long 934 0.0476% 44.38% 46.84% 0.0235 829 0.0371% 30.79% 49.22% 0.0156 634 -0.0639% -40.49% 46.69% 0.0128
RainDropDoji Long 786 0.0321% 25.18% 47.52% 0.0240 681 0.0679% 46.21% 50.37% 0.0157 515 -0.0223% -149.20% 46.06% 0.0110
Star Short 1013 -0.0362% -36.60% 47.83% 0.0194 841 0.0416% 34.94% 44.76% 0.0133 707 -0.0424% -30.00% 45.12% 0.0128
ThrustingPatternNeg Short 498 0.3503% 174.47% 45.38% 0.0259 451 0.2299% 103.68% 44.12% 0.0200 500 0.2109% 105.22% 44.69% 0.0147
ThrustingPatternPos Long 540 -0.0380% -20.49% 46.38% 0.0283 528 0.0039% 2.05% 44.89% 0.0206 539 -0.0532% -28.68% 45.83% 0.0159
47 Table 11 Result of expiration day classification in fifteen-minute K-bar by holding 120 minutes The data period is the same as the above table from 2008 to 2015. This table separates each transaction to calculate the expiration day. Among them, we use the 30 and 60 as the demarcation. Therefore, the three-component group we get : first transactions within 30 days of the expiration day; the second is expiration between 31 days to 60 day; the third is expiration between 61 days to 90 days. When the signal appears at t, we operate at the opening price of ( t+1 ). The close the position after holding an 120-min(t+9) . The trading strategy consists of buy and short. The field "Ret mean" means the average profit per trade. The field "Earning" means that if you invest 1 dollar at the beginning of the period, you can get the benefits at the end of the period. 0 to 30 expiration day 30 to 60 expiration day 61 to 90 expiration day Name TYPE N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std All Equal Long 1094 0.1003%* 109.77% 52.83% 0.0235 1768 0.0177% 31.23% 47.34% 0.0158 4549 -0.0167% -76.10% 47.79% 0.0148
Dragonfly Doji Long 1435 -0.0367% -52.70% 51.71% 0.0227 1172 -0.0753% -88.24% 47.27% 0.0159 1392 -0.0497% -69.17% 45.69% 0.0132
Gravestone Doji Long 1534 0.0515%* 78.95% 50.98% 0.0207 1606 0.0435% 69.85% 52.12% 0.0173 1682 -0.0313% -52.72% 47.74% 0.0134
Hanging Man Long 5322 0.0609%** 324.05% 50.61% 0.0264 4147 -0.0205% -85.21% 48.83% 0.0185 4465 -0.0214% -95.41% 48.14% 0.0152
Doji Long 4448 0.0267% 118.77% 50.76% 0.0272 3792 0.0449%* 170.13% 48.66% 0.0181 3397 -0.0090% -30.47% 48.43% 0.0149
Inverted Hammer Black Long 4920 0.0056% 27.43% 49.63% 0.0265 4499 0.0054% 24.49% 49.17% 0.0195 4207 -0.0137% -57.79% 47.29% 0.0151
HOCL Long 9573 0.0086% 82.23% 49.46% 0.0277 535 -0.0063% -54.00% 47.49% 0.0189 6852 -0.0251% -171.84% 46.86% 0.0160
GravestoneDoji Short 2016 0.0454% 91.62% 50.79% 0.0256 1752 0.0049% 8.65% 49.14% 0.0162 1595 -0.0063% -10.08% 49.59% 0.0162
ShootingStarBlack Short 175 -0.0808% -14.14% 48.00% 0.0214 242 -0.0589% -14.25% 50.41% 0.0147 505 0.0430% 21.72% 48.12% 0.0120
ShootingStarWhite Short 1219 -0.1268%** -154.54% 45.61% 0.0276 1020 -0.0488% -49.75% 45.00% 0.0167 799 0.0653% 52.16% 42.30% 0.0165
DojiStar Short 397 -0.1084% -43.05% 51.39% 0.0262 328 0.0292% 9.59% 42.68% 0.0198 316 -0.0075% -2.36% 51.27% 0.0165
PiercingPattern Long 299 0.1149% 34.37% 47.16% 0.0346 284 0.0831% 23.59% 44.72% 0.0232 281 -0.0956% -26.87% 44.13% 0.0204
RainDrop Long 934 0.0396% 37.02% 46.36% 0.0284 829 0.0882% 73.12% 46.32% 0.0214 634 -0.0813% -51.52% 43.22% 0.0168
RainDropDoji Long 786 -0.0277% -21.78% 46.18% 0.0285 681 0.1008%* 68.67% 46.84% 0.0210 515 -0.1303% -67.08% 42.91% 0.0167
Star Short 1013 0.0110% 11.17% 49.90% 0.0293 841 -0.0326% -27.35% 47.98% 0.0174 707 -0.0914%* -64.65% 45.97% 0.0151
ThrustingPatternNeg Short 498 0.4646% 231.38% 45.98% 0.0396 451 0.2462% 111.04% 45.45% 0.0252 500 0.1768% 88.22% 44.69% 0.0190
ThrustingPatternPos Long 1094 0.1003%* 109.77% 52.83% 0.0235 528 0.0505% 26.68% 46.59% 0.0249 539 0.0215% 11.57% 47.31% 0.0194
48 Table 12 Result of VIX index classification in five-minute K-bar by holding 30 minutes The data period is the same as the above table from 2008 to 2015. This table classify each transaction from VIX future price. Among them, we use the 15.00 and 25.00 as the demarcation. Therefore, the three-component group we get : first transactions within the VIX below 15.00; the second VIX is between 15.00 to 25.00 day; the third VIX is above 25.00. When the signal appears at t, we operate at the opening price of ( t+1 ). The close the position after holding 30-min(t+7) . The trading strategy consists of buy and short. The field "Ret mean" means the average profit per trade. The field "Earning" means that if you invest 1 dollar at the beginning of the period, you can get the benefits at the end of the period. VIX Index below 15.00 VIX Index between 15.00 to 25.00 VIX Index above 25.00 Name TYPE N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std
All Equal Long 894 -0.0009% -0.81% 41.50% 0.0067 23913 0.0119%*** 284.14% 44.71% 0.0061 26623 -0.0243% -647.52% 44.09% 0.0087
Dragonfly Doji Long 3221 0.0193%*** 62.18% 43.03% 0.0056 12383 0.0013% 15.86% 43.96% 0.0072 4450 -0.0048% -21.15% 45.19% 0.0080
Gravestone Doji Long 4092 0.0143%*** 58.38% 42.20% 0.0047 14423 0.0135%*** 194.80% 44.47% 0.0066 4634 -0.0187% -86.70% 44.50% 0.0095
Hanging Man Long 4289 0.0230%*** 98.42% 44.38% 0.0071 21798 0.0094%** 204.99% 45.05% 0.0084 8404 -0.0265% -222.55% 45.65% 0.0122
Doji Long 4512 0.0178%*** 80.34% 45.73% 0.0062 20642 -0.0053% -109.93% 45.24% 0.0088 4404 -0.0134% -59.11% 44.37% 0.0117
Inverted Hammer Black Long 4644 0.0388%*** 180.00% 44.85% 0.0066 21108 0.0146%*** 309.01% 45.74% 0.0093 7471 -0.0110% -82.08% 46.01% 0.0111
HOCL Long 4737 0.0350%*** 165.57% 46.45% 0.0068 24694 -0.0021% -51.38% 46.36% 0.0109 5582 -0.0421% -234.92% 45.61% 0.0141
GravestoneDoji Short 833 -0.0042% -3.47% 44.06% 0.0053 6418 -0.0009% -5.97% 45.76% 0.0068 2199 0.0403% 88.71% 44.29% 0.0108
ShootingStarBlack Short 600 -0.0316%* -18.93% 47.33% 0.0061 3777 -0.0210%** -79.37% 46.17% 0.0071 925 -0.1051%*** -97.25% 50.05% 0.0114
ShootingStarWhite Short 590 0.0031% 1.82% 44.75% 0.0051 3294 -0.0140% -46.12% 46.36% 0.0070 707 0.0218% 15.38% 47.10% 0.0098
DojiStar Short 485 0.0839% 40.68% 43.09% 0.0135 2103 0.0089% 18.81% 45.74% 0.0137 488 0.0588% 28.68% 47.34% 0.0127
PiercingPattern Long 257 0.1583%*** 40.67% 49.81% 0.0119 1518 0.0771%* 116.99% 49.60% 0.0222 820 0.0851% 69.76% 49.39% 0.0192
RainDrop Long 422 -0.0117% -4.94% 41.00% 0.0069 2450 0.0243% 59.54% 45.02% 0.0102 555 0.1269%*** 70.41% 47.75% 0.0124
RainDropDoji Long 323 -0.0280% -9.06% 39.32% 0.0072 1879 0.0364%* 68.43% 44.86% 0.0109 362 0.1009% 36.51% 45.03% 0.0131
Star Short 491 -0.0735%*** -36.10% 46.23% 0.0070 2394 -0.0346%** -82.83% 47.37% 0.0096 519 0.0485% 25.18% 49.52% 0.0129
ThrustingPatternNeg Short 530 -0.0397% -21.05% 48.49% 0.0101 2768 0.0834% 230.80% 46.68% 0.0224 1322 0.0038% 5.05% 48.75% 0.0158
ThrustingPatternPos Long 584 0.0405% 23.65% 39.38% 0.0111 2882 -0.0102% -29.40% 46.32% 0.0160 1393 0.0443% 61.69% 47.59% 0.0175
49 Table 13 Result of VIX index classification in five-minute K-bar by holding 40 minutes The data period is the same as the above table from 2008 to 2015. This table classify each transaction from VIX future price. Among them, we use the 15.00 and 25.00 as the demarcation. Therefore, the three-component group we get : first transactions within the VIX below 15.00; the second VIX is between 15.00 to 25.00 ; the third VIX is above 25.00. When the signal appears at t, we operate at the opening price of ( t+1 ). The close the position after holding 40-min(t+9) . The trading strategy consists of buy and short. The field "Ret mean" means the average profit per trade. The field "Earning" means that if you invest 1 dollar at the beginning of the period, you can get the benefits at the end of the period. VIX Index below 15.00 VIX Index between 15.00 to 25.00 VIX Index above 25.00 Name TYPE N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std
All Equal Long 894 -0.0122% -10.88% 41.61% 0.0073 23913 0.0235%*** 561.26% 47.25% 0.0073 26623 -0.0352% -937.86% 45.49% 0.0111
Dragonfly Doji Long 3221 0.0377%*** 121.54% 45.27% 0.0066 12383 0.0013% 15.53% 45.59% 0.0086 4450 -0.0133% -59.24% 45.28% 0.0095
Gravestone Doji Long 4092 0.0230%*** 94.14% 44.55% 0.0056 14423 0.0192%*** 276.95% 46.22% 0.0082 4634 -0.0331% -153.47% 45.90% 0.0116
Hanging Man Long 4289 0.0332%*** 142.43% 48.06% 0.0083 21798 0.0149%*** 324.59% 46.89% 0.0101 8404 -0.0235% -197.77% 46.23% 0.0140
Doji Long 4512 0.0360%*** 162.26% 47.71% 0.0073 20642 -0.0012% -24.12% 47.57% 0.0109 4404 -0.0070% -30.99% 45.96% 0.0132
Inverted Hammer Black Long 4644 0.0459%*** 213.11% 48.18% 0.0079 21108 0.0171%*** 361.99% 47.09% 0.0111 7471 -0.0236% -176.20% 46.17% 0.0134
HOCL Long 4737 0.0555%*** 262.73% 48.82% 0.0081 24694 -0.0122% -301.05% 47.52% 0.0133 5582 -0.0668% -372.91% 45.89% 0.0166
GravestoneDoji Short 833 -0.0187% -15.59% 48.14% 0.0059 6418 -0.0072% -46.23% 46.29% 0.0077 2199 0.0652% 143.35% 43.38% 0.0121
ShootingStarBlack Short 600 0.0129% 7.73% 40.33% 0.0067 3777 0.0153% 57.90% 44.80% 0.0074 925 -0.1784%*** -165.02% 53.62% 0.0122
ShootingStarWhite Short 590 0.0204% 12.04% 36.78% 0.0058 3294 -0.0063% -20.82% 43.17% 0.0077 707 -0.0027% -1.92% 48.37% 0.0108
DojiStar Short 485 -0.0076% -3.68% 45.36% 0.0083 2103 -0.0051% -10.70% 47.79% 0.0136 488 0.0660% 32.20% 45.29% 0.0128
PiercingPattern Long 257 0.0158% 4.05% 38.13% 0.0128 1518 0.0527% 79.97% 49.54% 0.0235 820 0.1294%*** 106.10% 50.00% 0.0189
RainDrop Long 422 -0.0053% -2.24% 39.57% 0.0076 2450 0.0376%* 92.10% 45.31% 0.0115 555 0.1292%*** 71.72% 48.11% 0.0137
RainDropDoji Long 323 -0.0017% -0.55% 40.87% 0.0079 1879 0.0460%* 86.46% 45.77% 0.0122 362 0.1382%** 50.02% 46.96% 0.0138
Star Short 491 -0.0511%* -25.11% 47.25% 0.0079 2394 0.0134% 31.97% 45.61% 0.0104 519 0.0578% 29.99% 45.28% 0.0158
ThrustingPatternNeg Short 530 -0.0161% -8.52% 48.87% 0.0109 2768 0.0658% 182.01% 46.10% 0.0184 1322 0.0655% 86.49% 47.77% 0.0162
ThrustingPatternPos Long 584 0.0217% 12.67% 38.18% 0.0114 2882 -0.0136% -39.30% 46.25% 0.0176 1393 0.0386% 53.68% 48.06% 0.0175
50 Table 14 Result of VIX index classification in fifteen-minute K-bar by holding 90 minutes The data period is the same as the above table from 2008 to 2015. This table classify each transaction from VIX future price. Among them, we use the 15.00 and 25.00 as the demarcation. Therefore, the three-component group we get : first transactions within the VIX below 15.00; the second VIX is between 15.00 to 25.00; the third VIX is above 25.00. When the signal appears at t, we operate at the opening price of ( t+1 ). The close the position after holding 90-min(t+7) . The trading strategy consists of buy and short. The field "Ret mean" means the average profit per trade. The field "Earning" means that if you invest 1 dollar at the beginning of the period, you can get the benefits at the end of the period.
VIX Index below 15.00 VIX Index between 15.00 to 25.00 VIX Index above 25.00 Name TYPE N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std
All Equal Long 295 -0.0593% -17.51% 43.73% 0.0121 3150 0.0152% 47.98% 48.44% 0.0112 3966 -0.0291% -115.57% 45.64% 0.0108
Dragonfly Doji Long 569 0.0994%*** 56.54% 51.49% 0.0087 2197 0.0156% 34.38% 48.38% 0.0108 1232 -0.0745% -91.78% 43.26% 0.0100
Gravestone Doji Long 839 -0.0048% -4.04% 44.21% 0.0073 2732 0.0419%*** 114.57% 49.74% 0.0097 1251 -0.0242% -30.22% 45.56% 0.0118
Hanging Man Long 1349 0.1168%*** 157.54% 47.59% 0.0108 8103 -0.0060% -48.36% 47.45% 0.0135 4479 -0.0274% -122.67% 46.67% 0.0168
Doji Long 1622 0.1385%*** 224.45% 51.14% 0.0098 7713 0.0393%*** 303.38% 47.83% 0.0133 2302 0.0048% 11.09% 46.39% 0.0165
Inverted Hammer Black Long 1698 0.0788%*** 133.36% 49.03% 0.0104 8026 0.0557%*** 447.04% 48.17% 0.0137 3902 -0.0520% -202.76% 45.81% 0.0155
HOCL Long 2957 0.0870%*** 256.99% 49.58% 0.0102 16905 0.0035% 58.39% 47.06% 0.0154 5091 -0.1199% -609.83% 45.74% 0.0340
GravestoneDoji Short 328 -0.0716%* -23.48% 48.78% 0.0098 2875 -0.0176% -50.71% 48.57% 0.0113 2324 0.0287% 66.77% 46.43% 0.0145
ShootingStarBlack Short 111 -0.0072% -0.80% 36.04% 0.0129 614 0.0121% 7.41% 48.05% 0.0096 196 -0.0598% -11.71% 50.00% 0.0142
ShootingStarWhite Short 241 0.0819% 19.74% 36.10% 0.0084 1820 -0.0241% -43.79% 43.21% 0.0118 992 -0.1167%*** -115.73% 48.99% 0.0178
DojiStar Short 163 -0.0450% -7.34% 41.72% 0.0192 722 -0.1434%* -103.50% 46.12% 0.0265 209 0.0586% 12.25% 48.33% 0.0176
PiercingPattern Long 76 -0.3666% -27.86% 46.05% 0.0189 540 0.1502%* 81.08% 52.04% 0.0278 277 0.2569%** 71.15% 53.43% 0.0242
RainDrop Long 195 -0.0637% -12.42% 42.56% 0.0147 1351 -0.0268% -36.27% 46.56% 0.0152 698 0.0559% 38.99% 50.72% 0.0213
RainDropDoji Long 173 -0.0813% -14.06% 41.62% 0.0149 1147 -0.0341% -39.06% 47.25% 0.0145 522 0.0751% 39.21% 50.38% 0.0222
Star Short 269 -0.0309% -8.32% 44.61% 0.0097 1568 -0.0306% -47.94% 47.32% 0.0151 676 0.1116% 75.41% 43.20% 0.0152
ThrustingPatternNeg Short 131 -0.0142% -1.87% 49.62% 0.0137 918 0.1790% 164.12% 44.82% 0.0252 432 -0.1151% -49.74% 50.69% 0.0214
ThrustingPatternPos Long 167 0.2177%** 36.36% 47.90% 0.0160 1004 -0.1380% -138.54% 44.12% 0.0245 477 0.1432% 68.17% 51.68% 0.0253
51 Table 15 Result of VIX index classification in fifteen-minute K-bar by holding 120 minutes The data period is the same as the above table from 2008 to 2015. This table classify each transaction from VIX future price. Among them, we use the 15.00 and 25.00 as the demarcation. Therefore, the three-component group we get : first transactions within the VIX below 15.00; the second VIX is between 15.00 to 25.00; the third VIX is above 25.00. When the signal appears at t, we operate at the opening price of ( t+1 ). The close the position after holding 120-min(t+9) . The trading strategy consists of buy and short. The field "Ret mean" means the average profit per trade. The field "Earning" means that if you invest 1 dollar at the beginning of the period, you can get the benefits at the end of the period. VIX Index below 15.00 VIX Index between 15.00 to 25.00 VIX Index above 25.00 Name TYPE N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std N Ret mean Ret sum Win rate Std
All Equal Long 295 -0.0245% -7.24% 43.73% 0.0128 3150 0.0402% 126.62% 50.51% 0.0165 3966 -0.0069% -27.17% 47.33% 0.0173
Dragonfly Doji Long 569 -0.0183% -10.43% 48.86% 0.0167 2197 -0.0644% -141.39% 48.70% 0.0230 1232 -0.1123% -138.35% 47.32% 0.0189
Gravestone Doji Long 839 0.0034% 2.87% 50.84% 0.0131 2732 0.0469% 128.19% 51.76% 0.0192 1251 -0.0253% -31.59% 48.76% 0.0242
Hanging Man Long 1349 0.0538% 72.53% 49.74% 0.0192 8103 -0.0364% -294.52% 49.68% 0.0261 4479 -0.0085% -37.94% 48.17% 0.0288
Doji Long 1622 0.1218%*** 197.38% 51.70% 0.0159 7713 -0.0526% -405.49% 49.42% 0.0296 2302 0.0212% 48.83% 47.74% 0.0260
Inverted Hammer Black Long 1698 0.0728%*** 123.31% 49.82% 0.0145 8026 0.0413%** 331.17% 49.89% 0.0217 3902 -0.0641% -249.97% 47.05% 0.0284
HOCL Long 2957 -0.0083% -24.46% 48.22% 0.0167 16905 0.0179% 301.85% 48.64% 0.0241 5091 -0.1206% -613.59% 45.56% 0.0429
GravestoneDoji Short 328 -0.0536% -17.57% 51.52% 0.0133 2875 -0.0477%* -137.26% 50.61% 0.0156 2324 -0.0078% -18.20% 48.62% 0.0196
ShootingStarBlack Short 111 -0.1601% -17.77% 41.44% 0.0220 614 0.0503% 30.87% 46.74% 0.0120 196 0.0352% 6.89% 55.10% 0.0183
ShootingStarWhite Short 241 0.0716% 17.25% 36.93% 0.0129 1820 0.0186% 33.89% 42.69% 0.0168 992 -0.0146% -14.49% 45.87% 0.0240
DojiStar Short 163 0.0265% 4.32% 50.92% 0.0231 722 0.0475% 34.27% 47.37% 0.0325 209 -0.0815% -17.03% 47.85% 0.0253
PiercingPattern Long 76 0.2231% 16.96% 42.11% 0.0215 540 -0.0469% -25.30% 45.37% 0.0317 277 0.2225%* 61.63% 50.18% 0.0302
RainDrop Long 195 -0.1644% -32.05% 43.08% 0.0161 1351 0.0576% 77.87% 45.60% 0.0201 698 -0.0320% -22.31% 46.85% 0.0287
RainDropDoji Long 173 -0.2007% -34.71% 42.20% 0.0162 1147 0.0301% 34.48% 45.86% 0.0195 522 -0.1005% -52.46% 46.36% 0.0289
Star Short 269 -0.0060% -1.62% 43.87% 0.0118 1568 -0.0007% -1.07% 48.98% 0.0257 676 0.0079% 5.31% 46.45% 0.0254
ThrustingPatternNeg Short 131 0.1443% 18.90% 49.62% 0.0212 918 0.2249% 206.28% 46.24% 0.0409 432 -0.2120% -91.58% 47.22% 0.0451
ThrustingPatternPos Long 167 0.3589%*** 59.94% 46.71% 0.0237 1004 0.0691% 69.41% 46.31% 0.0374 477 0.1369% 65.16% 49.58% 0.0336
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