[tech-spec] vix and bonds

  • From: tim hesselsweet <tim_hess1@xxxxxxxxx>
  • To: tech-spec@xxxxxxxxxxxxx
  • Date: Mon, 28 Feb 2005 02:36:15 -0800 (PST)

i also tested an indicator based on normalized vix on
us bonds.  off-the-cuff results appear significant so
i will confirm later in the week and then determine if
there's any benefit to trading us (in addition to es)
on these signals from a diversification standpoint.  

i also thought, contrary to results i've obtained on
es, that short signals might work on us but this
wasn't so.   

finally, i will examine from an academic over-kill
bent (pdf, for sure) the relative merits of vix, vxo,
and vic, the results of which have never been posted
in more than a hand-waving fashion.  


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