[amibroker] Fw: ^VIX D-ratio Signal

["Dimitris Tsokakis" <TSOKAKIS@xxxxxxxxx>]

----- Original Message ----- 
From: <A 
href="" title=tsokakis@xxxxxxxxx>Dimitris Tsokakis 

To: <A href="" 
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx 
Sent: Tuesday, March 25, 2003 11:32 AM
Subject: Re: ^VIX D-ratio Signal

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<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 is
 
<FONT 
size=2>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
 
Subject:  Re: ^VIX D-ratio SignalHere 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 <A 
href="">amibroker@xxxxxxxxxxxxxxx, "Alan 
Nouray" <alann@xxxx> wrote:> What 
is VIX D-Ratio? > > Alan> > --- In <A 
href="">amibroker@xxxxxxxxxxxxxxx, 
"steve_almond" <<A 
href="">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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