einok
msg #91747
- Ignore einok |
4/28/2010 2:11:51 PM
Is it possible to add the VIX as a condition of entry on a filter for backtesting?
Such as VIX is a certain percentage above/below a specific moving average?
Thanks
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Kevin_in_GA
4,599 posts
msg #91750
- Ignore Kevin_in_GA
modified |
4/28/2010 5:24:05 PM
Have you searched on this before posting your question? Or read the manual?
You asked this question back in January, and I thought it was answered then.
OK, one more time:
set{VIX, ind(^VIX, close)}
set{VIXMA, cma(vix,10)}
set{upperlimit, VIXMA * 1.1}
set{lowerlimit, VIXMA * 0.9}
set{BUYTRIGGER, count(VIX above upperlimit,1)}
set{SELLTRIGGER, count(VIX below lowerlimit,1)}
add column BUYTRIGGER
add column SELLTRIGGER
draw upperlimit on plot VIXMA
draw lowerlimit on plot VIXMA
draw VIX on plot VIXMA
NOTE: this general structure can be modified to use ANY stock or index, any moving average, and/or any percentage above/below as a trigger.
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moby
314 posts
msg #91752
- Ignore moby
modified |
4/28/2010 6:05:17 PM
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chetron
2,817 posts
msg #91753
- Ignore chetron |
4/28/2010 6:24:45 PM
missing a ")"
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Kevin_in_GA
4,599 posts
msg #91755
- Ignore Kevin_in_GA |
4/28/2010 7:29:31 PM
You're right - I just fired this one off without checking. Thanks for the catch.
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einok
msg #91756
- Ignore einok |
4/28/2010 8:02:02 PM
Kevin,
I didn't ask anything about adding it to a filter in January. Maybe I didn't make myself clear. What I am trying to do is to add VIX when I am backtesting a filter.
For instance with price, RSI makes a move below 20 AND the VIX is some % above a moving average. At that point, buy.
Hope this makes sense.
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Kevin_in_GA
4,599 posts
msg #91758
- Ignore Kevin_in_GA |
4/28/2010 8:49:17 PM
This coding should allow you to do this. You had posted in January on the use of VIX above a certain percentage versus above its Bollinger Bands. Either approach should work.
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einok
msg #91780
- Ignore einok |
4/29/2010 10:56:29 AM
HI Kevin,
I added this to my filter and backtested it. The results were the same as without. What I am trying to do in my back testing is have the filter buy only when the VIX is triggering a buy signal.
Thanks
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Kevin_in_GA
4,599 posts
msg #91793
- Ignore Kevin_in_GA |
4/29/2010 4:36:34 PM
set{BUYTRIGGER, count(VIX above upperlimit,1)}
set{SELLTRIGGER, count(VIX below lowerlimit,1)}
add the line
buytrigger above 0.5
since buytrigger is by definition either 0 or 1, adding this filter will only provide stocks when the VIX is above your preset upper limit.
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moby
314 posts
msg #91804
- Ignore moby |
4/29/2010 11:42:53 PM
Four: I added the line you said, not sure if I added it in the right place?
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