Here's a quick video on the VIX and bollinger bands
I'd love to write a system on this, so that I can back test it
and see the actual stats. So if someone here is bored?
would be nice to see that. Obviously doesn't give many
trades, but would be nice to see the stats
When the VIX closes outside of a the Bollinger Band and then
reverses back within the band, it represents a valid signal for the
SPX. In this case, it closed BELOW the lower BB and then
reversed back above producing a SELL SIGNAL on the SPX (at least
for the short term). The opposite is true if it closed above
and fell back within.
The SELL (for the SPX) signal DOES NOT come when you move
outside the bands since it can remain outside the bands for a few
days at times. The SELL signal came when the VIX moved back
inside the bands. Truthfully, it need to CLOSE inside the
bands for a DAILY signal.
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Here's a quick video on
VIX Daily with BB's
Posted by matt on 12th of Jan 2010 at 01:28 pm
Here's a quick video on the VIX and bollinger bands
I'd love to write a system on this, so that I can back test it and see the actual stats. So if someone here is bored? would be nice to see that. Obviously doesn't give many trades, but would be nice to see the stats
http://breakpointtrades.com/jing/2010-01-12_1226.swf
Thanks Matt. That's helpful. So, when
Posted by deberah on 12th of Jan 2010 at 01:40 pm
Thanks Matt. That's helpful.
So, when it moves back in between the bands,does that mean that a bounce is forthecoming?
Deberah - Here it is
Posted by steve on 12th of Jan 2010 at 01:46 pm
Deberah - Here it is again.
When the VIX closes outside of a the Bollinger Band and then reverses back within the band, it represents a valid signal for the SPX. In this case, it closed BELOW the lower BB and then reversed back above producing a SELL SIGNAL on the SPX (at least for the short term). The opposite is true if it closed above and fell back within.
The SELL (for the SPX) signal DOES NOT come when you move outside the bands since it can remain outside the bands for a few days at times. The SELL signal came when the VIX moved back inside the bands. Truthfully, it need to CLOSE inside the bands for a DAILY signal.