| StockFetcher Forums · Filter Exchange · Interesting - VXX:SPY ratio accurately calls recent tops and bottoms | << 1 2 3 4 5 ... 12 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #92678 - Ignore Kevin_in_GA modified |
5/14/2010 11:10:42 AM VXX:SPY chart from Stockcharts.com Look at the correlation between the VXX:SPY ratio crossing its MA(12) and turns in the market. Pretty simple system here - go long when the ratio is below the MA(12), and go short when it crosses above. Enjoy this one - I will. Kevin |
| johnpaulca 12,036 posts msg #92723 - Ignore johnpaulca |
5/14/2010 1:00:51 PM |
| johnpaulca 12,036 posts msg #92727 - Ignore johnpaulca |
5/14/2010 1:16:07 PM |
| Kevin_in_GA 4,599 posts msg #92736 - Ignore Kevin_in_GA |
5/14/2010 3:56:37 PM Here is a quick filter to identify when the VXX:SPY ratio crosses above its MA(13) - Note that I have added 1 day to the moving average as it gave fewer whipsaws and still kept good entries and exits. This filter told you to go long VXX on 4/27 - from that day's close at $20.50, VXX is now at $26.86(as of 3:56 PM today, for a gain of 31%). Kevin |
| Eman93 4,750 posts msg #92741 - Ignore Eman93 |
5/14/2010 5:21:45 PM VXX is a mother moves very fast.........VXZ is the mid term options |
| Kevin_in_GA 4,599 posts msg #92744 - Ignore Kevin_in_GA |
5/14/2010 7:00:56 PM Agreed, but the ratio seems to be fairly consistent in its predictive ability. Another approach is to look at the ratio of VXX to VXZ - it generates a similar signal. interesting play if it is possible is to go long VXX and short VXZ when the ratio crosses above the MA(13), and reverse otherwise. I think it is hard to short either of these, though. |
| Eman93 4,750 posts msg #92819 - Ignore Eman93 |
5/16/2010 2:32:23 PM Very nice Kevin..... |
| Kevin_in_GA 4,599 posts msg #92853 - Ignore Kevin_in_GA |
5/17/2010 1:01:12 PM This is still working, folks. The ratio is up another 8+% today, staying above the MA(13). This looks to be an excellent stock to hedge a portfolio - playing increased volatility rather than shorting the market seems to be giving a better return than even the 3x bears from Direxion. |
| duke56468 683 posts msg #92864 - Ignore duke56468 |
5/17/2010 9:44:36 PM Is there a way for SF to backtest this? |
| hmsb4494 81 posts msg #92866 - Ignore hmsb4494 |
5/17/2010 10:12:25 PM *KEVIN'S PURELY BASED ON PRICE FILTER*/ ALSO ISSUED A BUY SIGNAL ON 4/27 !!!!!!!!!! |
| StockFetcher Forums · Filter Exchange · Interesting - VXX:SPY ratio accurately calls recent tops and bottoms | << 1 2 3 4 5 ... 12 >>Post Follow-up |