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Fred,
thank you for your comments.
I have no reason to go pre-2000. This period does not exist in my
mind at all. I have NO signal for something similar, the situation
the last 3 years is TOTALLY different.
As for the described system, it was just a realistic example for
Foreign("^VIX","C") use, nothing more.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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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