StockFetcher Forums · General Discussion · VIX Divergence Filter<< >>Post Follow-up
einok
msg #84111
Ignore einok
12/9/2009 8:17:20 PM

Bartune1 & others,

I was curious, what do you mean by VIX divergence filter? I saw the posting "VIX variance vs. 10 day moving average". What is it that you use, settings, timeframe, etc.


Thanks


Kevin_in_GA
4,553 posts
msg #84112
Ignore Kevin_in_GA
12/9/2009 8:58:33 PM

Please take some time to read the following threads. I think that your questions might be answered once you do.

http://forums.stockfetcher.com/sfforums/?q=view&fid=1001&tid=80473&qrid=

http://forums.stockfetcher.com/sfforums/?q=view&fid=1001&tid=82224&qrid=

http://forums.stockfetcher.com/sfforums/?q=view&fid=1001&tid=81344&qrid=

http://forums.stockfetcher.com/sfforums/?q=view&fid=1001&tid=83094&qrid=

Kevin

einok
msg #84113
Ignore einok
12/9/2009 9:34:07 PM

Thanks,

I saw these settings;
5dma
BB(9,2)
Stochastics(9,5,3)
RSI(2)

Are they all used together? If you are fully in a bear position, when would you exit, and vice versa for a bull position? How about tightening stops and scaling into new positions if you think VIX is indicating a possible trend change?

Appreciate the help

Kevin_in_GA
4,553 posts
msg #84117
Ignore Kevin_in_GA
12/9/2009 10:58:33 PM

I saw these settings;
5dma
BB(9,2)
Stochastics(9,5,3)
RSI(2)

Are they all used together? If you are fully in a bear position, when would you exit, and vice versa for a bull position? How about tightening stops and scaling into new positions if you think VIX is indicating a possible trend change?
+++++++++++++++

I look first at where the VIX has closed relative to its Bollinger Bands - either (9,2) or (10,2) work fine. If it closes outside of either band, expect a reversion to the median line over the next few sessions.

The stochastics have been pretty good at picking tops and bottoms, but the sideways action of the market over the last few weeks has reduced their efficacy in my view - they stay pinned near each other and have quick crossovers that don't correlate well to market moves.

BarTune1 uses the 5dma as his exit signal (classic Connors "reversion to the mean"). High probability of success using this signal, although you might miss out on some solid runs.

I don't use the RSI(2) on the VIX.

The remainder of your questions are no longer about the VIX, but rather about a trading method - lots of different opinions on when and how to scale in or out of a trade. I will do only one additional scale in, and only once the stock has moved against me for several days but I feel that the trade was a good call with poor timing. Others will never scale in, but will cut their losses quickly.

The key is money management - never put too much into any one trade, or it owns you rather than you owning the stock.

StockFetcher Forums · General Discussion · VIX Divergence Filter<< >>Post Follow-up

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