[tech-spec] VIX Bollinger Bands Study

  • From: Andrew Moe <moebot@xxxxxxxxxxx>
  • To: tech-spec@xxxxxxxxxxxxx
  • Date: Tue, 5 Oct 2004 11:36:18 -0700 (PDT)

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

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.

Andrew Moe

Data sets available for both vix & sp.

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