StockFetcher Forums · Filter Exchange · VIX and backtesting a filter<< 1 2 >>Post Follow-up
chetron
2,817 posts
msg #91809
Ignore chetron
4/30/2010 6:34:49 AM

ouch, you don't even remember who i am. fine. it is in the right place anyways. = )

Kevin_in_GA
4,548 posts
msg #91810
Ignore Kevin_in_GA
4/30/2010 7:04:45 AM

Notice that no stocks are returned today - reason is that the VIX is no longer above the upper limit.

einok
msg #91832
Ignore einok
modified
4/30/2010 11:22:08 AM

Kevin,

I added the following to my backtesting, but it doesn't work. I scanned from 7/2009 to present day:

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)}

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


buytrigger above 0.5

It doesn't work, so what am I not doing right?

Thanks

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

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