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fwiw, you can graph $vix at stockcharts dot com for the time period late 2005 thru early 2007 and it was even lower.
the level of fed intervention since the subprime crisis is unprecedented and imo, has skewed what we all took for normal.
Question-Nocona,
Hello again. From time to time I revisit intraday ideas and I remember you once worked with an hourly rsi-5. Did you end up favoring that or move on to something else?
Many thanks, Steve
Agree, like beerworld said, they are testing an ideal that we never do, lets say a steady 55 on a highway for an hour.
In the real world I drive in, half suburban-country and half highway at 70-80 I only get an average of 31
The good news is I have never had such a quick, sporty sedan and gotten anything like 31 overall average, so I'll take it.
Morning King, it is amazing to watch as the years go by how the scene changes.
The article I ready about why best buy is falling was clear, brief and to the point; kind of amazing in todays media.
A parallel technology shift was video stores to cable, games from boxes to the internet, movie kiosks losing out to your internet streamed movies.
Another one that makes me wonder is the sudden widespread advent of 40mpg cars all this year.
They are for real, I bought a focus SE, very quick and sporty but yet 32mpg overall city,country,highway.
I'll never see the 40mpg highway, I'm just not that well behaved, speed-wise LOL
facebook, bestbuy et al
Its amazing to watch how the business world and hence its stocks, are morphing powered by the internet.
I read a story yesterday about the demise of bestBuy because movies are now streamed, games are now streamed and big tv's can be had at any walmart or target store.
Just a few years back Circuit city lost out to bestbuy.
Ten years ago analysts would have said facebook could never work.
I can now gete a thumbdrive for $15.00 with more capacity than a 50,000$ data general computer in 1982-the size of a desk
Blackberry was a hot stock only a few years back, not seems to have been swept aside by Iphones.
Apple is the talk of the town now but if past history is any teacher, that too will change.
Theres a lot of factors at play Gleno and no one indicator or even combination of indicators will ever give laser accurate perfection, but all those indicators show up time and again over the 14 years data I have compiled, .......near intermediate term bottoms.
Those of you who hail from the old clearstation, there was a scamman double-deuce as of todays close.
decisionpoint fans might want to look at swenlin trading oscillators on your favorite index, then scan back to prior such levels.
Zweigs breadth thrust is at 38.5 by my calculations.
Bill Luby Fans, there have been 10% plus vix jumps the past 2 days.
We are currently nearing the end of the seasonal nasdaq dip, link below.
http://www.seasonalcharts.com/classics_nasdaq.html
The above chart is year after year overlaid upon one another in an effort to see a pattern.
Like every other indicator it is not a perfect, repeating grail but it is the 2nd most often recurring pattern I know of after the fall selloff.
I think I've seen studies years ago, maybe at clearstation, that markets can and have kept going up with a rising vix.
It goes without saying that the situation can't last forever though.
Great stuff, thanks Foot
Zweig Breadth Thrust
I googled it before posting foot but came up almost dry. I know worden brothers charts it but have never seen it anywhere else.
I had to write my own code from Marty Zweigs formula to replicate it in my program.
I was able to get the advance decline data from that unicorn site fundtimer used in his old clearstation post with dozens of links
Zweig Breadth Thrust
Fot, I'm not sure where this can be easil;y graphed but I think you would like it as another bottom indicator.
A poster named hirailman once pointed out to me that readings below .37 will usually be found on major intermediate term bottoms
http://images.search.yahoo.com/images/view;_ylt=A0PDoYC5kSpPY3YARAeJzbkF;_ylu=X3oDMTA3cnMybzJvBHNsawNpbWc-?back=http%3A%2F%2Fimages.search.yahoo.com%2Fsearch%2Fimages%3Fp%3Dzweig%2Bbreadth%2Bthrust%26n%3D30%26ei%3Dutf-8%26y%3DSearch%26fr%3Dyfp-t-701%26tab%3Dorganic%26ri%3D11&w=558&h=371&imgurl=ttthedge.com%2Fhttp%3A%2F%2Fttthedge.riverdalefarm.com%2Fwp-content%2Fuploads%2F2011%2F08%2Fimage_thumb11.png&rurl=http%3A%2F%2Fttthedge.com%2Fzweig-breadth-thrust-reversal-in-process-study%2F&size=129+KB&name=Zweig+Breadth+Thrust+Reversal+in+process.+%24Study&p=zweig+breadth+thrust&oid=e20e6096a7e5cdcdec14e730d91aaa25&fr2=&fr=yfp-t-701&tt=Zweig%2BBreadth%2BThrust%2BReversal%2Bin%2Bprocess.%2B%2524Study&b=0&ni=21&no=11&tab=organic&ts=&sigr=123mhhml8&sigb=13pinklhp&sigi=12ralraiv&.crumb=X3qWB4TZ.Ex
Thanks Gleno, thekingfool from the old days has made it here as well !
Correct sir. I don't post much anymore but always love a good indicator !
This is some nice work Foot.
I wish the powers that be had never decided to include index options in the original put call ratio. I don't think they have any place there as an indicator of the smaller players.
The cboe equity only ratio imo, is a cleaner contrarian indiator.
intrigued, I took a quick 13 year spin thru my data base and find his idea would get you into some great trades during the rare years with pronounced low vix but the hidden bogeyman is whipsawing on his idea. By that I mean his idea says be long under 20 but cash over 20.
I lost track how many whipsays I saw back and forth of positions, losing 1-2 points at a time.
I have found in the past that many times an idea like this does not factor in your whipsaw cost, and in his case it would be substantial.
Please don't get me wrong, my own work has had many bad performances and mis-fires, I am just pointing out the rocky road from article to reality.
interesting article. Though I didn't see him mention it, there are times when vix has been as low as 9 and as high as 50+ , but yet there are tradeable moves in both those areas.
If I had the time it would be great to crunch his idea into a spreadsheet and see how it played out.
There are two methods I have seen that turn theories into reality (sometimes harsh reality).
spreadsheets and/or wealth-lab type stuff to say yea or nay on an idea truend into backtest.
and collective2.com to take it into the harsh reality of a public audit.
(speaking from experience-ugh)
I think there are a ton of articles like Hurlburts which could benefit from that.
I agree with you, 80% w/l would be great.
avoiding big selloffs but missing big rallies. imo this has always been the hard part between not pursuing knife catching by waiting for indicators to turn up, but then not missing the huge moves that occur before they do.
I have made many mistakes and am always learning but my current work avoids rushing into buys when vix is way above long term average and scales into buys rather than always go full in.
There is never going to be any perfection in buys and sells, the key is to work with the least imperfection possible, concentrating on capturing as much as possible as often as possibe
vto rsi system. I roughed out a version that varied its rsi triggers accoring to relative level of vix versus long term average vix but it was no help.
on the bright side, this is why I always backtest any idea for at least ten years back.
can't tell you how many ideas I have seen that look good on a few months chart but blow out longer term.
not to mention mega issues like fed injections.
I am currently building a simple vto rsi 5 day next day open spreadsheet and then building in the relative vix idea, will distribute when its roughed out properly.
one thought from my recent work
relative level of vix plays into a lot of what happens to price movement as traded by my own system. as regards vto rsi, maybe the ideas below might increase profits.
1. for example upmoves during low vix can be more euphoric than under high vix.
2. conversely down moves can be more hard under relatively high vix.
3. how to judge that could be a couple ways, current position versus long term average vix and/or using statndard deviations like you can see in charts at index indicators.com
How might that be helpful ? my first thoughts are to demand an even lower RSI when vix is X% more than long term average and wait to sell for a high RSI when vix is % percent below its long term average.
The vto rsi concept is a thing of beauty because it is simple and effective and I think there are a variety of ways its already fine performance might be enhanced.
as with all ideas and systems, it needs to be crunched thru a spreadsheet or wealthlab etc to go beyond 'looks good' to IS good.
Nocona, Dumah & Grasshoppa
Thanks to all for the replies !
Hi Nocona, long time no talk and hope you and your family have been well.
I haven't been here in a while and was intrigued by your post about the vto method.
Could you elaborate on it or point me to a post to read ?
Regards, mrc
When it hits yep. Cape Cod is foaming with buyers at all available stores. No space to park anywhere near the stores.
If the media is right its a full blown northeaster.
2:15 and the winds are picking up slowly.
Thanks...
For some nice vix commentary try the vix and more blog by Bill Luby. he's an original thinker and not afraid to try out of the box idea.
Too funny Gleno. Hope you're well
IF you haven't seen this before, you might find it interesting.
http://www.geocities.com/nekgnow51869/index.html
Its a study of posts by scamman about index options being 'dragon tracks' of large investors.
Bill Luby did a nice piece of work with coming up with that indicator.
Nice guy, good insights. He's not trapped inside the box mentally either. To the best of my knowledge he invented the $vix:$vxv ratio.
Has his own newsletter and always documents his results good or bad.
Theres a good blog on vix called 'vix and more' and its author Bill Luby has been laying out the case for vix bottoming in this area.
But a sound strategy with adjustments will continue to provide profits year after year.
What an excellent observation. Not only is it true for trading systems but also for every other part of life we rely on from car brakes to elevators to jet engines.
While no patterns are set in stone, Bill Luby's $vix:$vxv hit a serious intraday low yesterday.
Major low points in the fairly new indicator have, in the past, coincided with IT tops.
I think you're probably right.
Thanks Marc. RSI-2 has become widely discussed in the investing blog world of late.
Here's a guy still tracking the original.
http://www.kanuti.com/temp/vtorsi5.html
18 years of history
My thoughts are that this is such an awesome base frame that with work, further judgement indicators could be added to adjust its buy-sell lgic according to prevailing volatility and/or bullish/bearishness.
Awesome, will discontinue my work right here. I think your work settles the discussion with facts quite effectively.
Thanks, Steve
Hi Marc, if my memory serves vto had a couple bad years but over time beat all major mutual funds. I've going to try and revive an old file I had and get it current, then distribute.
I had a reply from Burk and LG and (like them) want to have my facts in order with a backtest, knowing they like me, wouldn't just run with some post or opinion.