StockFetcher Forums · General Discussion · 2 Period RSI for VIX?<< 1 2 >>Post Follow-up
drew9
171 posts
msg #83988
Ignore drew9
12/7/2009 11:44:31 PM

Another Connors strategy is to use the 2 period RSI of the VIX. I thought I had seen this before but could not find it in a search. Can this be created in SF?

chetron
2,817 posts
msg #83991
Ignore chetron
modified
12/8/2009 6:48:54 AM

YES = )


Fetcher[
/* ALL ENCOMPASSING VIX-O-LATER */

set{Vvix, ind(^VIX, close)}

Set{vMA10,CMA(Vvix,10)}
set{vSD,cstddev(Vvix,10)}
set{vSD10,2 * vSD}
set{vBOLU,vMA10 + vSD10}
set{vBOLD,vMA10 - vSD10}




/* TACHIKAWA 2 */


set{v1,VVIX 1 day ago}
set{vud,VVIX - v1}
set{vud1,count(vud above -0,1)}
set{vudf,vud * vud1}
set{vudema,cema(vudf,2)}

set{vdd,v1 - VVIX}
set{vdd1,count(vdd above -0,1)}
set{vddf,vdd * vdd1}
set{vddema,cema(vddf,2)}

set{myrsi1,vudema / vddema}
set{myrsi2,1 + myrsi1}
set{myrsi3,1 / myrsi2}
set{myrsi4,myrsi3 * 100}
set{VixRSI,100 - myrsi4}

VixRSI below 300
close above .1
volume above 1000000


draw VVIX
draw vbold on plot VVIX
draw vbolu on plot VVIX
draw vma10 on plot VVIX

close above .1
volume above 10000

]



Kevin_in_GA
4,552 posts
msg #83992
Ignore Kevin_in_GA
12/8/2009 7:51:17 AM

Nice!

SFMc01
296 posts
msg #84030
Ignore SFMc01
12/8/2009 1:13:00 PM

What does TACHIKAWA 2 mean? Other than a city in Japan?

Thanks

Kevin_in_GA
4,552 posts
msg #84032
Ignore Kevin_in_GA
12/8/2009 1:18:36 PM

That's Chet's "DNA fingerprint" that he incorporates on all of his filters. If you want to pull up all of his filters, just type that in the search forums box.

Kevin

chetron
2,817 posts
msg #84041
Ignore chetron
12/8/2009 2:06:41 PM

the 2 does signify a higher level of uniqueness

skiiiva
37 posts
msg #84051
Ignore skiiiva
12/8/2009 3:32:00 PM

wow chet that is a very interesting one. can you invert the plot of the vixrsi,? i would like to plot it on the rsi(2)

trendscanner
265 posts
msg #84055
Ignore trendscanner
12/8/2009 4:36:44 PM

that's awesome.

chetron
2,817 posts
msg #84067
Ignore chetron
12/8/2009 8:02:33 PM

inverseness.......


Fetcher[
/* INVERTED VERSION */


/* ALL ENCOMPASSING VIX-O-LATER */

set{Vvix, ind(^VIX, close)}

Set{vMA10,CMA(Vvix,10)}
set{vSD,cstddev(Vvix,10)}
set{vSD10,2 * vSD}
set{vBOLU,vMA10 + vSD10}
set{vBOLD,vMA10 - vSD10}




/* TACHIKAWA 2 */


set{v1,VVIX 1 day ago}
set{vud,VVIX - v1}
set{vud1,count(vud above -0,1)}
set{vudf,vud * vud1}
set{vudema,cema(vudf,2)}

set{vdd,v1 - VVIX}
set{vdd1,count(vdd above -0,1)}
set{vddf,vdd * vdd1}
set{vddema,cema(vddf,2)}

set{myrsi1,vudema / vddema}
set{myrsi2,1 + myrsi1}
set{myrsi3,1 / myrsi2}
set{myrsi4,myrsi3 * 100}
set{VixRSI,100 - myrsi4}
set{vme1,vixrsi * -1}
set{vme,indposition(vme1,100) * 100}
DRAW RSI(2) ON PLOT VME

vme below 300
close above .1
volume above 1000000


draw VVIX
draw vbold on plot VVIX
draw vbolu on plot VVIX
draw vma10 on plot VVIX

close above .1
volume above 10000

]



drew9
171 posts
msg #84076
Ignore drew9
12/9/2009 3:47:18 AM

Brilliant! Thanks Chet!

StockFetcher Forums · General Discussion · 2 Period RSI for VIX?<< 1 2 >>Post Follow-up

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