[tech-spec] from Tom Ryan re VIX; posted manually
- From: Steve Wisdom <swisdom@xxxxxxxxx>
- To: tech-spec@xxxxxxxxxxxxx
- Date: Mon, 4 Oct 2004 12:33:48 -0400
from Tom Ryan re VIX; posted manually
[Tom: possibly you sent to <tech-spec-bounce@xxxxxxxxxxxxx> rather
than <tech-spec-@xxxxxxxxxxxxx>?]
Subject: VIX if up Friday-Friday cls
Dow 01/01/1990 - 09/17/2004
VIX 01/01/1990 - 09/17/2004
Calc dVIX Friday-Friday cls as % (VIX,2 - VIX,1)/VIX,1
Calc dDOW Friday-Friday cls as % (DOW,2 - DOW,1)/DOW,1
If dVIX>0 dDOW next week; 353 mean=0.43% stdev 2.3%
If dVIX<0 dDOW next week; 387 mean=0.05% stdev 2.1%
Ok If dVIX>0 create a table of values with time stamp
Calculate 3 day sum add to table
Now If last 3_day_sum is above or below a value, calculate mean
expectation stdev, number trades
set number mean sdev
all 353 0.0043 0.023
>.05 46 0.0087 0.021
>.04 78 0.0063 0.021
>.03 115 0.0058 0.019
>.02 158 0.0046 0.019
>.01 200 0.0044 0.020
>0.00 247 0.0045 0.020
<0.00 106 0.0037 0.031
<-.01 78 0.0022 0.034
<-.02 58 0.0021 0.037
<-.03 42 0.0000 0.042
<-.04 30 0.0075 0.037
<-.05 24 0.0140 0.037
all weeks 741 0.0016 0.022
1990-
Q:What the hell am I doing. A:For years have tortured VIX data. Have
noticed that expectations for (changes in VIX) have cycles. Trying to
understand the cycles. Hence, take all weeks where VIX was up. The
Dow in general has performed better the next week than random and
better than when VIX was down. Of those weeks when VIX was up one
could adjust trade size based on most recent performance (summed,
total) of the past three trade signals (when VIX was up). Notice that
if VIX is up this week, and the last three times VIX was up yielded
big losses the following week, it gets very bullish. Similarly, if VIX
is up this week, and the last three times VIX was up yielded very good
profits, the trade continued to be more profitable than the average.
When the recent three trades were not terrible, but below the
population mean, the trades were probably not worth taking on this
VIX-up signal alone.
In brooklynese, if it is working work it, if its broke go for it,
otherwise leave it alone.
Does this make any sense?
tom
Other related posts:
- » [tech-spec] from Tom Ryan re VIX; posted manually
