StockFetcher Forums · Filter Exchange · Need Help plotting VIX/true<< >>Post Follow-up
1 posts
msg #108234
Ignore EricSimpson1
10/1/2012 4:23:12 PM

I'm trying to make a filter that plots the VIX divided by the true volatility of the S&P 500, and average this over a 20-day window.

It is based on this writing by Jeff Augen:

He claims that large spikes in the VIX/true ratio (usually >2) can signal the start of large declines in the stock market, and when this ratio falls below 1, that usually means the correction is over. I want to test to see if this holds up but I'm new to stockfetcher filters. Any help would be appreciated.

353 posts
msg #108237
Ignore BarTune1
10/1/2012 5:06:16 PM

I can't help you with the filter but I have read Augen's books before and tried to trade off them. Its cost me alot of money. He is an academic whose theories sound good ... but I suspect he isn't a real trader ... else he would have given up his day job teaching. I think he probably makes more off his books than he does trading.

642 posts
msg #108238
Ignore mahkoh
10/1/2012 5:21:32 PM

Don't think this is exactly what you're heading for, but it's a start.


add column vix
add column historical volatility(20)

set{ratio,vix/historical volatility(20)}
draw ratio

draw ratioma

chartlength 52 weeks

StockFetcher Forums · Filter Exchange · Need Help plotting VIX/true<< >>Post Follow-up

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