Vix Part 2

April 5, 2021 |

Michael Cook writes:

I know we tend to go into a stock market bullish period next week but I just got a Vix buy signal which generates from recent price behaviour of Vix index. Historically if it is going to work, (it doesn't always of course, what does?) it tends to start the move within a couple of bars.

Anonymous  writes

what is the green line? Also what is the time frame on each candle is it in the next day or 2 or next week or next month?

Michael Cook writes:

Daily bars, dark green signals utilize a 44 bar look back (so 2 months), light green are a 22 bar look back. 

Anoymous writes:

Ok what does the green signal line mean. Is it an indicator if so what. How are you supposed to be reading it pls.

Michael Cook writes:

This came about from [what I thought of as] a nice little bit of research by Andrew Thrasher who won the 2017 Charles Dow Award for his paper forecasting a volatility tsunami. https://cmtassociation.org/association/awards/charles-h-dow-award/

The two indicators are just two ways I mapped of looking at the dispersion of Vix.

In response to Gary's point, it isnt really that brave. It gets 1/4% to 1/2% of risk and I always have the expectation that at least half trades hit max loss or, if long options, expire at nil anyway!


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