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Steve,
^VIX D-ratio is indeed very low.
Note that good "buy" signals of the past occurred when this curve
crossed 48 or near this level.
It means we need some time to go there [more than 20 bars]
See also
http://groups.yahoo.com/group/amibroker/message/35750
CSCO D-ratio should also cross 37 and the recent values are below 15.
Both curves were very good for the last 3 years. Signals are few but
they match to the main [sustainable] N100 trends.
The complete formula I use is
H=Foreign("^VIX","H");L=Foreign("^VIX","L");
R=1000*(H-L)/(H+L);
Z=Optimize("Z",48,47,52,1);
RRR=DEMA(R,Z);
D1=Optimize("D1",32,27,32,1);
D2=Optimize("D2",48,45,55,1);
F1=RRR>=D2;F2=RRR<=D1;
Sell=F2;Buy=F1;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=Sell;Cover=Buy;
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
Plot(RRR,"",1,1);
Plot(d1,"",8,1);Plot(d2,"",8,1);
Plot(Buy*RRR,"Buy",5,2);
Plot(Sell*RRR,"Sell",4,2);
Plot(LastValue(Highest(rrr)),"",11,1);Plot(LastValue(Lowest
(rrr)),"",11,1);
Title="^VIX D-ratio";
GraphXSpace=2;
for both IB and AA.
[I posted an explanatory gif but it seems lost...]
DT
--- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <steve_almond@xxxx>
wrote:
> Here it is using the Yahoo! symbol ^VIX.
>
> /*The use of ^VIX D-ratio for Nasdaq100 Market, by Dimitris
Tsokakis,
> Dec 2002*/
> H=Foreign("^VIX","H");L=Foreign("^VIX","L");
> R=1000*(H-L)/(H+L);
> Z=48;//Optimize("Z",49,47,52,1);
> RRR=DEMA(R,Z);
> Plot(RRR,"VIX RRR",1,1);
>
>
> Steve
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Alan Nouray" <alann@xxxx> wrote:
> > What is VIX D-Ratio?
> >
> > Alan
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "steve_almond"
<steve_almond@xxxx>
> > wrote:
> > > Looking at Dimitris' ^VIX D-ratio, it seems like a strong sell
> signal
> > > was given on 7/11/2002 and has recently reached a very low
value
> > > (lowest value since September 2000).
> > > Any comment on this?
> > >
> > > Steve
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