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PureBytes Links
Trading Reference Links
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See
http://www.cboe.com/micro/vix/method.asp
for the details
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> One odd thing, in that article, he's talking about the Close of the
VIX
> relative to its Open. In my QuotesPlus data, the VIX dosn't have
separate
> OHLC before 9/22/03, and I thought I remembered that that's because
the VIX
> was redefined by its sponsoring organization.
>
> Is that right? Or is this just a QP artifact? If it's real, that's
not much
> of a backtest window to play with. Even besides the vailability of
OHLC
> data, how important is that redefinition to its use as a trading
indicator?
> Is it more or less comparable to the old version, or has its
behavior
> changed sigificantly? Hard to tell by eye.
>
> Dave
> An intriguing system by Larry Connors -
> http://biz.yahoo.com/tm/040204/11209_2.html - reminded me of
> something I'd like to backtest: using extremes in the VIX to trade
> SPY.
>
> How could I program a backtest of this in AmiBroker? In general,
I'd
> like to try trading SPY using overbought/oversold levels in the
VIX
> for buy/sell signals.
>
> Thanks for any help on this!
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