StockFetcher Forums · General Discussion · Interesting - VXX:SPY ratio works on any time-frame<< 1 2 3 >>Post Follow-up
guspenskiy13
976 posts
msg #119911
Ignore guspenskiy13
5/16/2014 8:30:50 PM

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I like having MAE since you can adjust the width and look for that specific PCT divergence from MA that Bartune1 described first on SF.

Add this to the ratio code for MAE:

input lengthMAE = 10;
input pctAbove = 10.0;
input pctBelow = 10.0;
plot UpperBandMAE = Average(Relation, lengthMAE) * (1 + pctAbove / 100);
UpperBand.SetDefaultColor(GetColor(0));
plot LowerBandMAE = Average(Relation, lengthMAE) * (1 - pctBelow / 100);
lowerBand.SetDefaultColor(GetColor(0));


guspenskiy13
976 posts
msg #119915
Ignore guspenskiy13
5/16/2014 10:14:28 PM

MAE width of 1 seems quite reasonable in calling extreme unsustainable moves (reversals)

guspenskiy13
976 posts
msg #119919
Ignore guspenskiy13
modified
5/17/2014 1:57:37 PM

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For those who don't want to bother with any "ashis" and "heikins"....

Does it give you different entrys and exits from the VXX/SPY? Sometimes.

Does it make it easier to keep a position when the ratio is oscillating from BB's to MA and back? Yes.

Is it effective? You be the judge.




guspenskiy13
976 posts
msg #119925
Ignore guspenskiy13
5/18/2014 4:13:42 PM

New thead by me....:

http://stockfetcher.com/forums/Filter-Exchange/holygrail-s-the-worlds-best-intraday-setup/119923

manumoneya
41 posts
msg #119947
Ignore manumoneya
5/19/2014 1:33:48 PM

Add this to the ratio code for MAE:

input lengthMAE = 10;
input pctAbove = 10.0;
input pctBelow = 10.0;
plot UpperBandMAE = Average(Relation, lengthMAE) * (1 + pctAbove / 100);
UpperBand.SetDefaultColor(GetColor(0));
plot LowerBandMAE = Average(Relation, lengthMAE) * (1 - pctBelow / 100);
lowerBand.SetDefaultColor(GetColor(0));

###########################################

Hi,

First of all thanks for sharing all this information .... i have one request can you please provide the full TOS code , actually i was trying to add the above code in your's TOS provide on first page it is showing me the error.

Thanks

guspenskiy13
976 posts
msg #119951
Ignore guspenskiy13
5/19/2014 1:56:21 PM

Thanks for reading, if you got somewhat interested - you should really check out this thread, new concept - very effective:

http://stockfetcher.com/forums/Filter-Exchange/holygrail-s-the-worlds-best-intraday-setup/119923

current set-up with SMA:

declare lower;
input price = FundamentalType.CLOSE;
input SPY = "SPY";
input VXX = "VXX";
input length = 9;
input displace = 0;
input crossingType = {default above, below};
def price1 = Fundamental(price, SPY);
def price2 = Fundamental(price, VXX);
plot Relation = if price2 == 0 then Double.NaN else price2 / price1;
Relation.SetDefaultColor(GetColor(1));
plot Avg = Average(Relation[-displace], length);
Avg.SetDefaultColor(GetColor(5));
input symbol = {default "VXX/SPY"} ;
input lengthBB = 20;
input Num_Dev_Dn = -2.0;
input Num_Dev_up = 2.0;
def sDev = StDev(data = Relation, length = lengthBB);
plot MidLine = Average(data = Relation, length = lengthBB);
plot LowerBand = MidLine + Num_Dev_Dn * sDev;
plot UpperBand = MidLine + Num_Dev_up * sDev;
LowerBand.SetDefaultColor(GetColor(0));
MidLine.SetDefaultColor(GetColor(1));
UpperBand.SetDefaultColor(GetColor(5));
input lengthMAE = 10;
input pctAbove = 10.0;
input pctBelow = 10.0;
plot UpperBandMAE = Average(Relation, lengthMAE) * (1 + pctAbove / 100);
UpperBand.SetDefaultColor(GetColor(0));
plot LowerBandMAE = Average(Relation, lengthMAE) * (1 - pctBelow / 100);
lowerBand.SetDefaultColor(GetColor(0));

with EMA as average:

declare lower;
input price = FundamentalType.CLOSE;
input SPY = "SPY";
input VXX = "VXX";
input length = 9;
input displace = 0;
input crossingType = {default above, below};
def price1 = Fundamental(price, SPY);
def price2 = Fundamental(price, VXX);
plot Relation = if price2 == 0 then Double.NaN else price2 / price1;
Relation.SetDefaultColor(GetColor(1));
plot AvgExp = ExpAverage(Relation[-displace], length);
AvgExp.SetDefaultColor(GetColor(5));
input symbol = {default "VXX/SPY"} ;
input lengthBB = 20;
input Num_Dev_Dn = -2.0;
input Num_Dev_up = 2.0;
def sDev = StDev(data = Relation, length = lengthBB);
plot MidLine = Average(data = Relation, length = lengthBB);
plot LowerBand = MidLine + Num_Dev_Dn * sDev;
plot UpperBand = MidLine + Num_Dev_up * sDev;
LowerBand.SetDefaultColor(GetColor(0));
MidLine.SetDefaultColor(GetColor(1));
UpperBand.SetDefaultColor(GetColor(5));
input lengthMAE = 10;
input pctAbove = 10.0;
input pctBelow = 10.0;
plot UpperBandMAE = Average(Relation, lengthMAE) * (1 + pctAbove / 100);
UpperBand.SetDefaultColor(GetColor(0));
plot LowerBandMAE = Average(Relation, lengthMAE) * (1 - pctBelow / 100);
lowerBand.SetDefaultColor(GetColor(0));






guspenskiy13
976 posts
msg #119957
Ignore guspenskiy13
5/19/2014 6:10:38 PM

An example of review for next day using VXX/SPY and VIX in this thread:

http://stockfetcher.com/forums/Stock-Picks/Market-Sentiment/119080/20

Eman93
4,659 posts
msg #119960
Ignore Eman93
5/20/2014 5:46:29 AM

NIce work!

guspenskiy13
976 posts
msg #119961
Ignore guspenskiy13
5/20/2014 8:52:39 AM

Thanks Eman.

guspenskiy13
976 posts
msg #120000
Ignore guspenskiy13
5/23/2014 12:09:05 AM

And here's something new, nice and I believe very effective, will test live tomorrow.

I've been working on this for a bit....but today...I mean...VXX/SPY cross with its moving average is a great tool...

But it 1) lags; 2) gives fakeouts; 3) can jump all over the place intra-day, not calm and steady...

Look at this...this is FRUSTRATING!

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I have tried to use 1 minute chart for the ratio....so there would be 1 minute lag....I've got ridiculous amount of fake-outs and it was not tradable....

But I love 1 minute charts; I love to see every single detail of the market, I absolutely love CCI(100) on them....

So changing the time-frame wasn't really an option to me....so what should I do...? Change the RATIO of VXX/SPY!

What if I change the ratio from being choppy to being nice and calm? I could get clearer signals and use them on 1 minute time-frame...

So I decided to use the triple average crossover method on the VXX/SPY. I don't use the ratio itself. I use three moving averages of it.

Yes, I know that moving averages lag...but guess what... Previously I've used 4-minute time-frame on VXX/SPY... that gave me lag of 4 minutes...

If I use triple ema instead of the ratio on 1 minute chart...I believe I could decrease the lag at least TWICE!

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VXX today. Nice and calm. Use CCI(100) for more aggressive timing. I would look for double cross for the safer entry: short ema with other two and medium with long. Exit could be when short crosses medium, or could be managed with another technique.

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SPY today, changed the style for ema for a better see, but I like dotted with lines much better - it's easier to see the cross/positioning of the averages.

If managed well you could breakeven on false (short) signals and gain more than 0.5% on good ones...

Note: no MAE's because no swings - but notice the bb's squeezes. You have to watch for breakout in any direction - and if the cross has happened before/during the squeeze - that usually becomes a killer signal for a breakout.

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15-min SPY. You can and should use it on longer time-frames. As a possible rule : you can only trade signals which are given in the direction of the longer time-frame.

Notice the BB's crazy squeeze and the cross into the close....VIX is at 12.03....

It's 12:03 AM 5/23/2014 at the moment of this writing and.... THE MARKET WILL DROP TODAY 100%.

Well, honestly I do believe this is better than the simple VXX/SPY ratio cross with its moving average... but I didn't test it yet.

Parameters I found that make sense so far:

1 min:

EMA: 8, 32, 64

15 min:

EMA: 4, 8 ,16

declare lower;

input price = FundamentalType.CLOSE;
input SPY = "SPY";
input VXX = "VXX";
input length = 9;
input length2 = 9;
input length3 = 9;
input displace = 0;
input crossingType = {default above, below};

def price1 = Fundamental(price, SPY);
def price2 = Fundamental(price, VXX);

plot Relation = if price2 == 0 then Double.NaN else price2 / price1;
Relation.SetDefaultColor(GetColor(1));

plot AvgExp = ExpAverage(Relation[-displace], length);
AvgExp.SetDefaultColor(GetColor(5));

plot AvgExp2 = ExpAverage(Relation[-displace], length2);
AvgExp.SetDefaultColor(GetColor(5));

plot AvgExp3 = ExpAverage(Relation[-displace], length3);
AvgExp.SetDefaultColor(GetColor(5));


input symbol = {default "VXX/SPY"} ;
input lengthBB = 20;
input Num_Dev_Dn = -2.0;
input Num_Dev_up = 2.0;

def sDev = StDev(data = Relation, length = lengthBB);

plot MidLine = Average(data = Relation, length = lengthBB);
plot LowerBand = MidLine + Num_Dev_Dn * sDev;
plot UpperBand = MidLine + Num_Dev_up * sDev;

LowerBand.SetDefaultColor(GetColor(0));
MidLine.SetDefaultColor(GetColor(1));
UpperBand.SetDefaultColor(GetColor(5));



note:

the script does display the ratio but I make it dark blue so I don't see it. bad scripting...i know.

ENJOY!

StockFetcher Forums · General Discussion · Interesting - VXX:SPY ratio works on any time-frame<< 1 2 3 >>Post Follow-up

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