[tech-spec] Re: VIX Bollinger Bands Study

  • From: Jonathan Mogil <jmogil@xxxxxxxxx>
  • To: tech-spec@xxxxxxxxxxxxx
  • Date: Wed, 6 Oct 2004 06:51:11 -0400

could you make that data set available???


On Tue, 5 Oct 2004 11:36:18 -0700 (PDT), Andrew Moe <moebot@xxxxxxxxxxx> wrote:
> Found something that looks far too good to be true.  Must
> have wired something wrong.  Would one of the crunchers
> please have a look.
> 
> Calculate 50 period bollinger bands for the vix at 1 std
> dev.
> 
> If today's vix > high bollinger band buy S&P at close, exit
> next close.   Done in S&P points, cash index since '94.
> Vix data is NEW method from cboe.com.  I refit the dates to
> match the s&p dates.
> 
> Record: 38-3 (93%)
> Avg Win: 11.77
> Avg Loss: -2.56
> Avg Move: 10.72
> Std Dev: 11.02
> T Stat: 6.23
> 
> The reason I checked this was from recent discussions on
> the list mentioning that it is roughly a 30 day predictor
> of volatility.  I figured that a moving average at double
> that length should give some information.
> 
> If correct, this seems to fit the theory that a sharp spike
> up in vix is highly bullish for stocks.
> 
> Best,
> Andrew Moe
> 
> Data sets available for both vix & sp.
> 
> 


-- 
Jonathan G. Mogil, CFA
jonathan@xxxxxxxxx / jmogil@xxxxxxxxx

Other related posts: