StockFetcher Forums · General Discussion · VIX variance vs. 10 day moving average<< 1 2 3 4 5 >>Post Follow-up
trendscanner
265 posts
msg #78700
Ignore trendscanner
9/5/2009 4:40:31 PM

This can be set up to show the variance either way - VIX going below it's 10 dayMA can be either pos or neg, depending on how the 4th line is set up.

To switch the pos and neg signs of the scan, just change the 4th line to set{var, ratio -1}

Whichever way you prefer and makes most sense to you.

BarTune - the VIX / VIX10dayMA is on line 3. Add the line "Add column ratio" to the screen and it will show you the ratio on the charts. That might be the clearest way to tell whether it's going up or down.

Eman, the $VIX numbers I saw on Stockcharts for Sep 4 were $VIX at 25.26, 10 day MA at 26. 09. You're right, VIX was above the 10 day MA on Sep 2, appears to have gone down since. And thanks for the RUT head and shoulders chart. I'm getting antsy about this long rally, more inclined to take profits, sell into strength on the next rally.

thanks
Dean


chetron
2,817 posts
msg #78702
Ignore chetron
9/5/2009 4:53:22 PM

HOW ABOUT.....


Fetcher[
set{vix, ind(^VIX, close)}

Set{vMA20,CMA(vix,20)}
set{vSD,cstddev(vix,20)}
set{vSD20,2 * vSD}
set{vBOLU,vMA20 + vSD20}
set{vBOLD,vMA20 - vSD20}


draw vix
draw vbold on plot vix
draw vbolu on plot vix
draw vma20 on plot vix


close above .1
volume above 10000
]



Kevin_in_GA
4,553 posts
msg #78703
Ignore Kevin_in_GA
9/5/2009 4:56:42 PM

Very slick, Chet!

tomm1111
198 posts
msg #78711
Ignore tomm1111
9/6/2009 12:49:30 AM

Brilliant work guys!

tomm1111
198 posts
msg #78712
Ignore tomm1111
modified
9/6/2009 1:35:00 AM

Here is chetron's filter with 10ma and 1.5sd. VIX is a measure of the near-term volatility of the s&p500. I applied a spy symlist.

READ ME


Fetcher[
symlist(spy)

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

Set{vMA10,CMA(vix,10)}
set{vSD,cstddev(vix,10)}
set{vSD10,1.5 * vSD}
set{vBOLU,vMA10 + vSD10}
set{vBOLD,vMA10 - vSD10}


draw vix
draw vbold on plot vix
draw vbolu on plot vix
draw vma10 on plot vix
]



BarTune1
406 posts
msg #78754
Ignore BarTune1
9/7/2009 1:58:20 PM

hey guys, thanks for all the comments once again ..... I use this indicator primarily to time my entries whether short or long .... and at the beginning of last week the vix was around 28 vs. a 10 day ma of around 25 ... thus there was a +10 to +12 variance .... so i added a number of postions using the 2 day RSI < 1 or 2 to select oversold stocks and efts ..... ended up making around $5,000 on short term trades, exiting at the end of day, when the stocks or ETFs crossed the 5 day moving average .... another Larry Connors rule ....

When the VIX divergence goes the other way, I tend to short stocks with RSI(2)s over 98 .....

I like Kevin's idea about applying his filters (Bollinger Band in particular) to the IBD top stocks .... I am kinding wondering if IBD publishes a list of its worst stocks, as I short just as often, or more, than i go long .....

In contrast to Kevins use of IBD stock listings, I have a Trading Markets subscription and apply my long buy filters to their Power Ratings stocks ranked 9 or 10 and to short with their stocks ranked 1 or 2 .....

For the most part, I am batting well better than 90% winning trades ....

welliott111
98 posts
msg #78909
Ignore welliott111
9/9/2009 9:13:58 PM

vix ma(10) +5% -5% on plot


Fetcher[


symlist(spy)

set{vix10dayma, cma(ind(^VIX,close),10)}
draw vix10dayma
draw ind(^vix,close) on plot vix10dayma

set{5pct,vix10dayma * .05}

set{plus5%,vix10dayma plus 5pct}
draw plus5% on plot vix10dayma

set{minus5%,vix10dayma minus 5pct}
draw minus5% on plot vix10dayma

add column plus5%
add column ind(^vix,close)
add column vix10dayma
add column minus5%
]



Kevin_in_GA
4,553 posts
msg #78912
Ignore Kevin_in_GA
modified
9/9/2009 9:35:14 PM

Very interesting correlation between RSI(2) and the VIX moving above/below is MA(10). Plot it out and see - on SPY it is like a mirror image. When the VIX is below is MA -5%, the RSI(2) is at or above 90. Converse is true as well - RSI(2) at 10 or less when the VIX is above the MA +5%.

trendscanner
265 posts
msg #78913
Ignore trendscanner
9/9/2009 9:36:49 PM

These are excellent, worth checking every trading day.

BarTune1
406 posts
msg #78919
Ignore BarTune1
9/9/2009 10:28:06 PM

As I said, this is one of my #1 indicators ..... I added short positions today in EWT, MDR, LINTA & KSU. And I bought the VXX etf. I think it is particularly "cheap" here. I will slowly add more positions if the market continues to go up.

My primary screening criteria for shorting is RSI(2) > 98, overbought stocks.

Using Larry Connors trading rules, my exit is end of day when the stocks cross the 5 day moving average.

I am batting around 90% winning trades following these rules.

StockFetcher Forums · General Discussion · VIX variance vs. 10 day moving average<< 1 2 3 4 5 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus