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If you like that then try adding the short side component i.e. Buy
above 32 short below 31, but if you don't want a shock don't go
looking pre-2000 at either this system or the long only version.
Longer term VIX and VXN are clearly better at picking bottoms then
tops as are other bottom oriented indicators like put/call ratios
etc.
A suggestion for what it's worth ... Keep in mind that just because
some particular indicator may be good at picking bottoms doesn't
necessarily mean it's good at picking tops and of course there is no
constraint on the system developer / trader to force this to be so.
There ARE other indicators that are better at picking tops and there
is no particluar reason not to couple one indicator or group of
indicators for picking bottoms and other totally different indicators
for picking tops.
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> What a great idea !!
>
> ^VIX was one of the most reliable vehicles the last 3 years.
> To use its data, simply write
> F=Foreign("^VIX","C");
> and then use this F according to your trading ideas.
> Apply To current stock [your SPY] or a whole group of stocks.
> 1. A simple example for the N100 database
>
> F=Foreign("^VIX","C");
> Buy=Cross(F,35);
> Sell=Cross(F,31);
>
> in words "Buy your stock when ^VIX crosses 35 and Sell it when ^VIX
> crosses 31"
>
> The total net profit for the N100 market since Jan2000 was +150%.
> It is more important that ONLY 4 stocks loose [SPOT -21%, SBUX -6%,
> SIAL -5%, FAST -3%]
> All the rest 97 were profitable from +1% up to +600%.
> 2. The system
>
> F=Foreign("^VIX","C");
> Buy=Cross(F,35);
> Sell=Cross(31,f);
>
> was even better : +186% for the market, ONLY 3 loosing stocks
[FAST -
> 13%, SIAL -3%, FHCC -0.3%] and
> 2 golden candidates, NTAP [12trades/12winners/0losers, +675%] and
> LLTC [12trades/12winners/0losers, +240%]
> If you condider that we speak for Long systems in a quite bearish
> period, you may agree that ^VIX data was one of the best
consultants
> for the market.
> Of course there are more sophisticated uses of ^VIX data, through
> ^VIX D_ratio or ^VIX D_sat, but,...this is another discussion.
> For an extended description of your idea see also #33503, #33527
> messages Re:The Transcendental use of Data.
> I always look at ^VIX data and some ^VIX indicators, but I made
some
> crazy money some time ago using the former TMPW data as a signal
> generator to trade 5 stocks.
> Dimitris Tsokakis
>
> --- In amibroker@xxxxxxxxxxxxxxx, "disciplinehedge"
> <NelsonChang@xxxx> wrote:
> > Wondering if I can get some help with the more experienced folks
> > here...
> >
> > Am I able to generate buy/sell signals from one symbol, like VIX,
> for
> > another symbol like SPY?
> >
> > I've been working with Amibroker for some time, and I'm a bit
> > frustrated at how little I've been able to get done.
> >
> > As the most basic example, how do I set up and test a system to
do:
> >
> > 1) Buy when VIX hits 40, sell when VIX hits 25.
> > 2) The buy/sell signals would be tested on SPY.
> >
> > TIA...
> >
> > (or is Amibroker not capable of working with 2 symbols
> > simultaneously?)
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