[tech-spec] Re: VIX Bollinger Bands Study
- From: Andrew Moe <moebot@xxxxxxxxxxx>
- To: tech-spec@xxxxxxxxxxxxx
- Date: Tue, 5 Oct 2004 12:26:29 -0700 (PDT)
Found the mistake - error in bands calc on my part. Will
be more prudent going forward - disregard earlier.
My apologies.
Andrew Moe
--- 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.
>
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