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Dimitris,
<<Your proposition that D-ratio is the
"R=1000*(H-L)/(H+L);
you see below....">>
seem's to me that for those Mathematicians among us. your proposition
may be clear, but for the rest of us who are less mathametically
inclined, your propositons may be a bit obscure <g>. Actually I am
complimenting you on your mathematical abilities. But with a 'tounge
in cheek' manner, I am letting you know that for some of us, it takes
some real effort to disect your propositions.
Phsst
>
> --- 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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