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Maybe this can get you started:
SetForeign("^VIX");
Condition1=L > MA(L,10);
Condition2=L/MA(L,10)*100 >= 10;
ConditionSell=L < Ref(MA(L,10),-1);
RestorePriceArrays();
Buy=Condition1 AND Condition2;
Buy=ExRemSpan(Buy,5);
Sell=conditionSell OR Ref(Buy,-5);
----- Original Message -----
From: "pshread" <pshread@xxxxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, February 13, 2004 3:04 PM
Subject: [amibroker] Re: Need help trading SPY off VIX signals
> 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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>
>
>
>
>
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