StockFetcher Forums · Filter Exchange · VIX and backtesting a filter<< 1 2 >>Post Follow-up
einok
msg #91747
Ignore einok
4/28/2010 2:11:51 PM

Is it possible to add the VIX as a condition of entry on a filter for backtesting?

Such as VIX is a certain percentage above/below a specific moving average?

Thanks

Kevin_in_GA
4,553 posts
msg #91750
Ignore Kevin_in_GA
modified
4/28/2010 5:24:05 PM

Have you searched on this before posting your question? Or read the manual?

You asked this question back in January, and I thought it was answered then.

OK, one more time:

set{VIX, ind(^VIX, close)}
set{VIXMA, cma(vix,10)}
set{upperlimit, VIXMA * 1.1}
set{lowerlimit, VIXMA * 0.9}

set{BUYTRIGGER, count(VIX above upperlimit,1)}
set{SELLTRIGGER, count(VIX below lowerlimit,1)}

add column BUYTRIGGER
add column SELLTRIGGER

draw upperlimit on plot VIXMA
draw lowerlimit on plot VIXMA
draw VIX on plot VIXMA

NOTE: this general structure can be modified to use ANY stock or index, any moving average, and/or any percentage above/below as a trigger.

moby
314 posts
msg #91752
Ignore moby
modified
4/28/2010 6:05:17 PM

Fetcher[
set{VIX, ind(^VIX, close)}
set{VIXMA, cma(vix,10)}
set{upperlimit, VIXMA * 1.1}
set{lowerlimit, VIXMA * 0.9}

set{BUYTRIGGER, count(VIX above upperlimit,1)}
set{SELLTRIGGER, count(VIX below lowerlimit,1)}

and buytrigger above 0.5

add column BUYTRIGGER
add column SELLTRIGGER


set{ccDiff, close - close 1 day ago}
add column ccDiff

draw upperlimit on plot VIXMA
draw lowerlimit on plot VIXMA
draw VIX on plot VIXMA


price is between 1 and 50
volume > 300000

sort column 13 descending
]




chetron
2,817 posts
msg #91753
Ignore chetron
4/28/2010 6:24:45 PM

missing a ")"

Kevin_in_GA
4,553 posts
msg #91755
Ignore Kevin_in_GA
4/28/2010 7:29:31 PM

You're right - I just fired this one off without checking. Thanks for the catch.

einok
msg #91756
Ignore einok
4/28/2010 8:02:02 PM

Kevin,

I didn't ask anything about adding it to a filter in January. Maybe I didn't make myself clear. What I am trying to do is to add VIX when I am backtesting a filter.

For instance with price, RSI makes a move below 20 AND the VIX is some % above a moving average. At that point, buy.

Hope this makes sense.



Kevin_in_GA
4,553 posts
msg #91758
Ignore Kevin_in_GA
4/28/2010 8:49:17 PM

This coding should allow you to do this. You had posted in January on the use of VIX above a certain percentage versus above its Bollinger Bands. Either approach should work.

einok
msg #91780
Ignore einok
4/29/2010 10:56:29 AM

HI Kevin,

I added this to my filter and backtested it. The results were the same as without. What I am trying to do in my back testing is have the filter buy only when the VIX is triggering a buy signal.

Thanks

Kevin_in_GA
4,553 posts
msg #91793
Ignore Kevin_in_GA
4/29/2010 4:36:34 PM

set{BUYTRIGGER, count(VIX above upperlimit,1)}
set{SELLTRIGGER, count(VIX below lowerlimit,1)}

add the line

buytrigger above 0.5

since buytrigger is by definition either 0 or 1, adding this filter will only provide stocks when the VIX is above your preset upper limit.

moby
314 posts
msg #91804
Ignore moby
4/29/2010 11:42:53 PM

Four: I added the line you said, not sure if I added it in the right place?

StockFetcher Forums · Filter Exchange · VIX and backtesting a filter<< 1 2 >>Post Follow-up

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