StockFetcher Forums · Filter Exchange · Here is a Filter using ONLY the relationship of VXV to VXX to Buy and Sell SPY or VXX<< >>Post Follow-up
SAFeTRADE
630 posts
msg #144722
Ignore SAFeTRADE
modified
9/21/2018 12:45:54 PM

/*Important Please read https://sixfigureinvesting.com/2010/12/volatility-tickers/*/

/*In February 2018 Barclays added two new funds VXXB & VXZB, to replace VXX & VXZ which will mature in January 2019 and there was one subtraction with the unexpected and dramatic termination of VelocityShares’ XIV due to the violent moves on February 5th, 2018.*/


Fetcher[symlist(spy,spxl,vxx)
set{vxxc, ind(vxx,close)}
set{vixc, ind(^vix,close)}
set{vxvc, ind(vxv,close)}
set{spyc, ind(spy,close)}
set{spxl, ind(spxl,close)}
set{vix3, ind(^VIX3M,close)}

set{vxvvix, vxvc / vixc}
set{vixavg, cema(vxvvix,5)}
set{vxvvxx, vxvc / vxxc}
set{vxxavg, cema(vxvvxx,5)}



set{riskon, count(vxvvxx > or = to vxxavg,1)}
set{riskof, count(vxvvxx < or = to vxxavg,1)}

set{risk_on, count(vxvvxx crossed above vxxavg,1)}
set{risk_of, count(vxvvxx crossed below vxxavg,1)}

draw ma(5)
draw ma(20)

draw vxvvxx on plot vxxavg
draw riskon
draw riskof
draw macd(3,6,3)
draw Bollinger %B(8,2.0) line at .5
draw Bollinger %B(8,2.0) line at .74
draw rsi(5) line at 51

add column risk_on
add column riskon{riskon=long_spy or short_vxx}
add column separator
add column risk_of
add column riskof{riskof=long_vxx or short_spy}

chart-length 6 months
]






davesaint86
725 posts
msg #144729
Ignore davesaint86
9/22/2018 10:42:39 AM

Two thumbs up!

Cheese
1,374 posts
msg #144732
Ignore Cheese
9/22/2018 1:31:38 PM

@ SAFeTRADE

Thank you for showing the use of OR in stockfetcher, and for the Vance Harwood's link.

Honest question: If the purpose is to better trade SPY, why would we want to detour
through volatility when your three chosen indicators macd, %b and rsi did an excellent
job in giving the same (or even faster) signals than the derived volatility-based signals?

SAFeTRADE
630 posts
msg #144738
Ignore SAFeTRADE
9/22/2018 4:37:36 PM

Because SPY and volatility as represented by VXX are so inextricably linked that I like to see
when volatility is at a safe level for an entry point into SPY or SPXL I did not mention a good
EXIT is when RSI(2) crosses below 40. Can add a Column for Reversersi(2,40) to see at what
price that would be.

Cheese
1,374 posts
msg #144739
Ignore Cheese
modified
9/22/2018 10:24:34 PM

@ SAFeTRADE

Thank you !

More newbie follow-up questions: How do you handle witching days, and the few days before and after witching?
For example, last Friday Sep 21 Quad Witching day, when both SPY and $VIX futures contango dropped
for their own reasons, did you still rely on the same filter, or did you look at additional ratios like $spx:$vix and spy:vxx ?

Glad to have you as a resident $VIX expert with StockFetcher forum.

SAFeTRADE
630 posts
msg #144741
Ignore SAFeTRADE
9/23/2018 7:50:04 AM

Expert, NOT. Observer, YES. I try not to over think. ANALysis Paralysis is deadly.

VenturaTrader
43 posts
msg #144745
Ignore VenturaTrader
9/23/2018 12:07:25 PM

Thank you very much! Larry Connors has a similar strategy using RSI2 on the VIX to trade the S & P 500.

I like what you have done! If you put SVXY on the chart you really have something. Caution: SVXY is about the same as XIV which as we all know blew up in early February. I will conduct some manual back-testing with SVXY in the next few days.

Mike


SAFeTRADE
630 posts
msg #144748
Ignore SAFeTRADE
9/24/2018 12:03:18 AM

Yes on RSI(2) . One can buy SPY when the VXX RSI(2) crosses below 30 and the VXX close crosses below ma(5). Exit SPY trade when SPY RSI(2) crossed below 40.

StockFetcher Forums · Filter Exchange · Here is a Filter using ONLY the relationship of VXV to VXX to Buy and Sell SPY or VXX<< >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2022 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus


This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.