The ^VIX D-ratio * has given excellent signals for the N100 market, crossing 30 and 48 respectively. The last year is out of the game, no signals at all. Since D-ratio is a measure of the daily spread, we are in a new era, the D-ratio studies and systems may stay in the drawer for future use... _____________________________ *D_ratio=1000*(H-L)/(H+L);
Sorry for the wrong crop. It was the whole period Jan2000 till now. My AFL* code is H=Foreign("^VIX","H");L=Foreign("^VIX","L"); D_ratio=1000*(H-L)/(H+L); Z=49; RRR=DEMA(D_ratio,Z); D1=30; D2=48; F1=RRR>=D2;F2=RRR<=D1; Sell=F2;Buy=F1; Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy); Short=Sell;Cover=Buy; Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short); Plot(RRR,"^VIX D_ratio",1,1); Plot(D1,"D1",11*(Cum(1)%2),1);Plot(D2,"D2",11*(Cum(1)%2),1); Plot(RRR*Buy,"",5,2);Plot(RRR*Sell,"",4,2); In a few words, use ^VIX data to plot my D_ratio=1000*(H-L)/(H+L); smooth it with a 49-bar DEMA and see the crosses with 30, 48 levels. ___________________ *AFL is Amibroker Formula Language from amibroker.com
Uses a rather simplistic method of obtaining a VIX Buy/Sell signal whenver the index closes >10% above or below the 10-day MA, confirmed by an RSI in overbought or oversold territory.