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<SPAN
class=190075214-12022004>Thanks Dimitris, I hadn't gotten around to running that
down. I didn't know that the "old" VIX was still available as VXO, which
QuotesPlus does carry. Has anyone done any actually comparisons of those two,
either mathematical correlation or effect on trading systems that use
it?
<SPAN
class=190075214-12022004>
<SPAN
class=190075214-12022004>That page doesn't mention whether full OHLC data is new
or not, but I strongly doubt it. Oddly enough, QP has OHLC for VXO going back to
9/13/90, but for VIX, only back to 9/22/03, which makes zero sense to me. Aren't
they the same prior to the recent change?
<SPAN
class=190075214-12022004>
<SPAN
class=190075214-12022004>Dave
<BLOCKQUOTE
>See<A
href="">http://www.cboe.com/micro/vix/method.aspfor
the detailsDimitris 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 -> <A
href="">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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