StockFetcher Forums · Filter Exchange · Interesting - VXX:SPY ratio accurately calls recent tops and bottoms<< 1 2 3 4 5 ... 12 >>Post Follow-up
Kevin_in_GA
4,552 posts
msg #92678
Ignore Kevin_in_GA
modified
5/14/2010 11:10:42 AM

VXX:SPY chart from Stockcharts.com


Look at the correlation between the VXX:SPY ratio crossing its MA(12) and turns in the market.

Pretty simple system here - go long when the ratio is below the MA(12), and go short when it crosses above.

Enjoy this one - I will.

Kevin

johnpaulca
11,312 posts
msg #92723
Ignore johnpaulca
5/14/2010 1:00:51 PM

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johnpaulca
11,312 posts
msg #92727
Ignore johnpaulca
5/14/2010 1:16:07 PM

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Kevin_in_GA
4,552 posts
msg #92736
Ignore Kevin_in_GA
5/14/2010 3:56:37 PM

Here is a quick filter to identify when the VXX:SPY ratio crosses above its MA(13) - Note that I have added 1 day to the moving average as it gave fewer whipsaws and still kept good entries and exits.

Fetcher[

SET{SPY, IND(SPY,CLOSE)}
SET{VXX, IND(VXX,CLOSE)}
SET{RATIO, VXX / SPY}
SET{RATIOMA13, CMA(RATIO,13)}
SET{VXX_LONG, COUNT(RATIO ABOVE RATIOMA13,1)}
SET{SP500_LONG, COUNT(RATIO BELOW RATIOMA13,1)}
SET{TRIGGER,0}

DRAW RATIO ON PLOT RATIOMA13

DRAW VXX_LONG ON PLOT TRIGGER
DRAW SP500_LONG ON PLOT TRIGGER

SYMLIST(SPY,VXX)

ADD COLUMN SP500_LONG
ADD COLUMN VXX_LONG

]



This filter told you to go long VXX on 4/27 - from that day's close at $20.50, VXX is now at $26.86(as of 3:56 PM today, for a gain of 31%).

Kevin

Eman93
4,659 posts
msg #92741
Ignore Eman93
5/14/2010 5:21:45 PM

VXX is a mother moves very fast.........VXZ is the mid term options

Kevin_in_GA
4,552 posts
msg #92744
Ignore Kevin_in_GA
5/14/2010 7:00:56 PM

Agreed, but the ratio seems to be fairly consistent in its predictive ability.

Another approach is to look at the ratio of VXX to VXZ - it generates a similar signal.

interesting play if it is possible is to go long VXX and short VXZ when the ratio crosses above the MA(13), and reverse otherwise. I think it is hard to short either of these, though.

Eman93
4,659 posts
msg #92819
Ignore Eman93
5/16/2010 2:32:23 PM

Very nice Kevin.....

Kevin_in_GA
4,552 posts
msg #92853
Ignore Kevin_in_GA
5/17/2010 1:01:12 PM

This is still working, folks. The ratio is up another 8+% today, staying above the MA(13).

This looks to be an excellent stock to hedge a portfolio - playing increased volatility rather than shorting the market seems to be giving a better return than even the 3x bears from Direxion.

duke56468
683 posts
msg #92864
Ignore duke56468
5/17/2010 9:44:36 PM

Is there a way for SF to backtest this?

hmsb4494
62 posts
msg #92866
Ignore hmsb4494
5/17/2010 10:12:25 PM

*KEVIN'S PURELY BASED ON PRICE FILTER*/


ALSO ISSUED A BUY SIGNAL ON 4/27 !!!!!!!!!!

StockFetcher Forums · Filter Exchange · Interesting - VXX:SPY ratio accurately calls recent tops and bottoms<< 1 2 3 4 5 ... 12 >>Post Follow-up

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