|
PureBytes Links
Trading Reference Links
|
I would like to offer a little bit of explanation for DT's ^VIX D-
ratio system, I believe it is in line with DT's original idea to give
out education ideas and information that have benefited us so much.
DT's ingenuous work on vix D-ratio is apparently based on FastTrack
relative strength type switching system.
He logically chooses ^VIX as the base index because he trades it
against N100
As for the D-ratio, it is a variation of the volatility expansion
type popularized by Larry Williams.
Let's re-arrange the D-ratio a little bit:
R = 1000 * (H - L) / (H + L) <--- original equation
100 * [10 * (H - L)]
--------------------
2
= ---------------------------
(H + L)
[ ------ ]
2
H - L : Daily trading range
H + L
----- : Daily average price
2
Hence, R = 5 * daily trading range / daily average price (in
%)
This 5 is used to scale the R so that it roughly stays
somewhere between 0 - 100 for normal trading days where [daily
trading range] is about +/- 10% of [daily average price].
R is optimized with double moving average to smooth out the
minor fluctuations and becomes RRR.
When RRR >= 48 we buy, it means when:
average of (daily trading range / daily average price) >=
9.6%, buy
When RRR <= 32 we sell, it means when:
average of (daily trading range / daily average price) <=
6.4%, sell
So, when the average daily trading range expands (volatility
expands), system goes long, when volatility shrinks, system goes flat.
Although FastTrack system might be more suited for bull market, both
relative switching as well as volatility expansion are market proven
ideas.
Thomas
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> I have sent numerous postings Re: ^VIX and its use.
> The same for the D-ratio indicator.
> For the combination of ^VIX and D-ratio I posted the full code [it
is
> still written even in this message].
> You may collect all previous messages from the support [Tomasz
> offerred an excellent work to the users !!!]
> Is there anything else I can do for you?
> DT
> PS. I am not a grade school teacher.
> --- In amibroker@xxxxxxxxxxxxxxx, "Lionel Issen" <lissen@xxxx>
wrote:
> > Dimitris:
> >
> > You gave me a grade school teacher's answer. It isn't very
> helpful. I
> > don't have an archive of the original postings to this thread.
> >
> > Lionel
> >
> >
> >
> > -----Original Message-----
> > From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> > Sent: Wednesday, March 26, 2003 12:34 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: ^VIX D-ratio Signal
> >
> >
> > The first step is to give the detailed code. It is tested, it
> works,
> > even if you donīt fully understand line per line.
> > The next step is to explain lines or the whole "logic".
> > For ANY questions please do not hesitate to ask.
> > DT
> > --- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> > > 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
> > > > >
> > > > >
> > > > >
> > > > > Yahoo! Groups Sponsor
> > > > >
> > > > > ADVERTISEMENT
> > > > >
> > > > >
> > > >
> >
>
<http://rd.yahoo.com/M=243066.2784921.4151384.1927555/D=egroupweb/S=17
> > > > 05
> > > > > 632198:HM/A=1377502/R=0/*http://www.verisign.com/cgi-
> bin/go.cgi?
> > > > a=b31550
> > > > > 113206004000>
> > > > >
> > > > > <http://us.adserver.yahoo.com/l?
> > > > M=243066.2784921.4151384.1927555/D=egrou
> > > > > pmail/S=:HM/A=1377502/rand=113505964>
> > > > >
> > > > > Send BUG REPORTS to bugs@xxxx
> > > > > Send SUGGESTIONS to suggest@xxxx
> > > > > -----------------------------------------
> > > > > Post AmiQuote-related messages ONLY to:
> > amiquote@xxxxxxxxxxxxxxx
> > > > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > > > --------------------------------------------
> > > > > Check group FAQ at:
> > > > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > >
> > > > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> > Service
> > > > > <http://docs.yahoo.com/info/terms/> .
> >
> >
> >
> > Yahoo! Groups Sponsor
> >
> > ADVERTISEMENT
> >
> >
>
<http://rd.yahoo.com/M=243066.2784921.4151384.1927555/D=egroupweb/S=17
> 05
> > 632198:HM/A=1377501/R=0/*http://www.verisign.com/cgi-bin/go.cgi?
> a=b30890
> > 113200616000>
> >
> > <http://us.adserver.yahoo.com/l?
> M=243066.2784921.4151384.1927555/D=egrou
> > pmail/S=:HM/A=1377501/rand=143531471>
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service
> > <http://docs.yahoo.com/info/terms/> .
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Make Money Online Auctions! Make $500.00 or We Will Give You Thirty Dollars for Trying!
http://us.click.yahoo.com/yMx78A/fNtFAA/46VHAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|