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On Thu, 6 Nov 1997 09:45:03 -0600 "Kenneth E. Schubert"writes:
Dear Ron: I have been struck by the similarities between the Z-Score =
indicator applied to the OEX, and the Modified VIX.
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They are very similar. They both are methods for measuring changes in
price around a mean (the adaptive moving average) in terms of standard
deviations. It is like you stretched the moving average into a straight
line, what would the price changes look like?. The modified vix use the
vix as the standard deviation parameter, while the z-score measures
standard deviation from the underlying data. what I have done with the
new system is to combine the ideas in both methods and eliminate the need
for the vix as an input. I have found these concepts to be very flexible
and adaptable to variations of interpretation. I suggest you start trying
out different time periods for your analysis, you should start to get
interesting results.
Thanks
Ron McEwan
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