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Thanks, Anthony!
Paul
--- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxxx>
wrote:
> 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@xxxx>
> 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!
> >
> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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> >
> >
> >
> >
> >
>
>
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