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Price
Headley does some of this vix based trading in his "Big Trends" book along with
EL code.
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<FONT face=Tahoma
size=2>-----Original Message-----From: Ray Raffurty
[mailto:r.raffurty@xxxxxxxx]Sent: Saturday, March 15, 2003 9:52
PMTo: realtraders@xxxxxxxxxxxxxxxSubject: Re: [RT]
VIX
Hi Clyde,
I'm not sure that this idea is ready for
that. I was thinking more along the lines of something simpler to
begin with and explore the VIX's value as an indicator for the QQQ's.
For example buying the QQQ's when VIX > 40 and shorting the
QQQ's when VIX < 28 (or what ever values back testing may show to
have value).
Since I don't have Trade Station, I don't know
how easy or difficult it is to create a buy/sell signal in one index
(QQQ's) based on the value of another index (VIX). If that is
possible the next step would be to explore exit strategies. Since the
VIX can be neutral for long periods, a stop and reverse strategy would
not (consistently) work. Also, since the VIX can stay above or below a
given level for days (or weeks), trailing stops might take out a position just
before it moves in the anticipated direction.
Any thoughts or comments are
welcome.
Good luck and good trading,
Ray Raffurty
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Clyde
Lee(SBCY)
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Saturday, March 15, 2003 11:34
PM
Subject: Re: [RT] VIX
Here are some pictures going back to
9/2000.
Without doing some linear trend adjusting it is
tough to get these
things so they will scale to a point for
comparison.
I believe that if anything the QQQ is leading
or concurrent with
the VIX which is EXACTLY what I would
expect.
Clyde
- - - - - - - - - - - - - - - - - - - - - - - - - - - -Clyde
Lee
Chairman/CEO (Home of
SwingMachine)SYTECH
Corporation email: <A
href="">clydelee@xxxxxxxxxxxx 7910
Westglen, Suite 105
Office: (713) 783-9540Houston, TX
77063
Fax: (713) 783-1092Details
at:
www.theswingmachine.com- -
- - - - - - - - - - - - - - - - - - - - - - - - - -
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ray
Raffurty
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Saturday, March 15, 2003 12:05
PM
Subject: Re: [RT] VIX
Hi All RT's,
I was struck by the high correlation between
the VIX and the QQQ's. I wasn't looking for it and only posted the
QQQ's as an after thought. During the last 6 months (shown) the VIX
has been a LEADING indicator of the QQQ's.. This may be because of
the popularity of the QQQ's with "amateur" traders who may be subject to
greater pressures from fear and greed.
Unfortunately I do not have software or
enough data to back test his hypothesis and was hoping someone with the
time and wherewithal would do it, to confirm or refute.
Thanks in advance,
Ray Raffurty
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ray
Raffurty
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Tuesday, March 11, 2003 1:46
AM
Subject: Re: [RT] VIX
You can get charts of VIX in various time
frames for free at <A
href="">http://bigcharts.marketwatch.com
The first chart is the VIX alone to create
is go to the web site above, enter the symbol VIX and click "Interactive
Charts". You man need to turn off some default settings to get a
clean chart.
The second chart is SPX compared to
VIX. Go to the web site above, enter the symbol SPX and click
"Interactive Charts". Turn off any defaults and enter "Compare To"
"Symbol" VIX .
The third chart is NDX compared to
VIX. Go to the web site above, enter the symbol NDX and click
"Interactive Charts". Turn off any defaults and enter "Compare To"
"Symbol" VIX.
The last, and perhaps most
interesting, chart is QQQ compared to VIX. Go to the web
site above, enter the symbol QQQ and click "Interactive
Charts". Turn off any defaults and enter "Compare To" "Symbol" VIX
.
As you may know VIX is a contraireian indicator and is mostly
neutral right now.
Hope this helps.
Good luck and good trading,
Ray Raffurty
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=groups@xxxxxxxxxxxxxxxxxx
href="">MOJO
To: <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Friday, March 14, 2003 3:01
PM
Subject: [RT] VIX
Hi,
Anyone what the VIX is saying right now
on S&P, Nasdaq ?
Are we at a top or bottom ?
Also while we on the subject what data
and software can you use to work it out ?
Are there any sites that regularly show
updates and charts on the VIX index ?
ThanksTo
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