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D-ratio is the
R=1000*(H-L)/(H+L);
you see below.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Lionel Issen" <lissen@xxxx> wrote:
> I know what VIX means, but what is VIX D-ratio?
>
> Lionel
>
>
>
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: Tuesday, March 25, 2003 4:54 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] 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
> 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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