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I know what VIX
means, but what is VIX D-ratio?
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Lionel
<FONT face=Tahoma
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
[mailto:TSOKAKIS@xxxxxxxxx] Sent: Tuesday, March 25, 2003 4:54
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
^VIX D-ratio SignalSteve,^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<A
href="">http://groups.yahoo.com/group/amibroker/message/35750CSCO
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
isH=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?> > >
> > > SteveSend
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