Vix Breaking new ground

Discussion in 'Technical Analysis' started by jrs3, Oct 21, 2003.

  1. 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);
     
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    #11     Oct 23, 2003
  2. That's an interesting chart. Is it a one year?
     
    #12     Oct 23, 2003
  3. 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
     
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    #13     Oct 23, 2003
  4. 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.
     
    #14     Oct 23, 2003