$vix correlation to $spx plotted in purple over the
corr($spx:$NYlow) indicator window. Shows a similar fore
warning of market pull backs to new lows in the indices.
The $vix and the index new lows are completely independent
data series providing similar forewarning signals.
I have looked back at the index new low corr with the $SPX/spy
over 22 years and it generally provides fore warnings of 1%
in strong bull runs to up to 15-20% corrections.
As with all indicators is is only a tool to combine with other
signals. Not a system in itself.
the comparison charts are cool, I hadn't played around with that
before. I'm adding that to various indicators I commonly use. One
thing, the default setting they use is 20 days, however for things
that are extremely correlated such as QQQ vs QQQE, SPX vs SPXE you
might want to use a MUCH smaller value over the default such as 5 -
8.
also for the VIX the perfect correlation is -1, however you can
flip that by using $ONE:$VIX
Thanks for the values. I was trying a few different values. But
it will take a while to vusually look back a few yeras to get a
good fit. The VIX "5" is good.
$vix correlation to $spx plotted
Correlation SPX to new lows in spx, indicator window below ...
Posted by elliotw on 20th of Jan 2020 at 05:59 am
$vix correlation to $spx plotted in purple over the corr($spx:$NYlow) indicator window. Shows a similar fore warning of market pull backs to new lows in the indices.
The $vix and the index new lows are completely independent data series providing similar forewarning signals.
I have looked back at the index new low corr with the $SPX/spy over 22 years and it generally provides fore warnings of 1% in strong bull runs to up to 15-20% corrections.
As with all indicators is is only a tool to combine with other signals. Not a system in itself.
https://stockcharts.com/h-sc/ui?s=%24SPX&p=D&yr=2&mn=0&dy=0&id=p87616059562&listNum=88&a=714903954
the comparison charts are cool,
Posted by matt on 20th of Jan 2020 at 12:22 pm
the comparison charts are cool, I hadn't played around with that before. I'm adding that to various indicators I commonly use. One thing, the default setting they use is 20 days, however for things that are extremely correlated such as QQQ vs QQQE, SPX vs SPXE you might want to use a MUCH smaller value over the default such as 5 - 8.
also for the VIX the perfect correlation is -1, however you can flip that by using $ONE:$VIX
Thanks for the values. I
Posted by elliotw on 20th of Jan 2020 at 10:54 pm
Thanks for the values. I was trying a few different values. But it will take a while to vusually look back a few yeras to get a good fit. The VIX "5" is good.
Excellent!
Posted by stevieb294 on 20th of Jan 2020 at 09:38 am
Excellent!