StockFetcher Forums · General Discussion · Money Market Alternative<< >>Post Follow-up
wkloss
230 posts
msg #113727
Ignore wkloss
5/27/2013 2:19:23 PM

Technical Analysis of Stocks & Commodities magazine, Dec 2012, page 17 has an article titled Using VIX To Forecast The S&P 500. As a system, it wasn't very interesting because it had a max drawdown of 39%.

The interesting part was when they used the system on bond funds. Since 2008, VAGIX & FAGIX had annual average returns of 14% with a max drawdown of 6%. The results were poor for JNK in 2008 with a 24% drawdown.

I believe this system could be a very good alternative to money markets funds.

The rules are

1. Calculate a MA(50) of the daily low of VIX

2. Buy when VIX has been below the daily low of VIX for 11 days

The sell rules made no sense so I'm emailing the author for clarification.

Stockfetcher gave me the following code but I still can't figure it out so any help would be appreciated

set{my_value, IND(^VIX,low)}

set{my_avg, CMA(my_value, 50)}

close is above 10

and draw my_avg

and draw my_value on plot my_avg




wkloss
230 posts
msg #113796
Ignore wkloss
5/30/2013 1:46:19 PM

Any help in coding this would be appreciated.

StockFetcher Forums · General Discussion · Money Market Alternative<< >>Post Follow-up

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