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So how would you program that for an Amibroker backtest? Here are the
rules again:
1. Today, the low of the VIX must be above its 10-day moving average.
2. Today, the VIX must close at least 10% above its 10-day moving
average.
3. If rules 1 and 2 are met, buy the market on the close.
4. Exit (on the close) the day the VIX trades (intraday) below
yesterday's 10-day moving average (reversion to the man). Or exit
within two to four days.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> 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?
>
> 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?
>
> Dave
> 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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