StockFetcher Forums · Filter Exchange · Another Look at Volatility Number 3<< >>Post Follow-up
SAFeTRADE
646 posts
msg #139491
- Ignore SAFeTRADE
modified		 11/25/2017 7:06:59 AM

^SPX and Spy pretty much are in alignment in C_RSI(30). However there are big differences between
^VIX and VXX as shown by the C_RSI. The ^VIX is faster and the range is shorter as compared to the VXX.

Fetcher[
set{c_rsi30, rsi(30) - 50}
set{vxxcrsi, ind(vxx, c_rsi30)}
set{vixcrsi, ind(^vix,c_rsi30)}
set{spxcrsi, ind(^spx,c_rsi30)}

set{buy, count(Bollinger %B(16,2.0) above .5,1) * count(vixcrsi below 0,1)}
set{sell, count(Bollinger %B(16,2.0) below .5,1) * count(vixcrsi above 0,1)}

symlist(spy,vxx,xiv)
draw c_rsi30 line at 0
draw vixcrsi line at 0
draw vixcrsi line at -2.25
draw vixcrsi line at -5
draw vxxcrsi line at -5
draw vxxcrsi line at -10


draw spxcrsi line at 0

draw buy
draw sell

draw Bollinger %B(16,2.0) line at .75
draw Bollinger %B(16,2.0) line at .5

draw ma(50)
draw ma(20)

chart-length 2 year
]
pthomas215
1,251 posts
msg #139494
- Ignore pthomas215		 11/25/2017 10:17:23 AM

SAFE, should i be looking mostly at bollinger 16,2 for entry....how are you interpreting the chart most efficiently? seems like vix spike is coming soon based upon bollinger 16,2
davesaint86
725 posts
msg #139496
- Ignore davesaint86
modified		 11/25/2017 11:12:35 AM

Fetcher[
set{c_rsi30, rsi(30) - 50}
set{vxxcrsi, ind(vxx, c_rsi30)}
set{vixcrsi, ind(^vix,c_rsi30)}
set{spxcrsi, ind(^spx,c_rsi30)}

set{buy, count(Bollinger %B(16,2.0) above .5,1) * count(vixcrsi below 0,1)}
set{sell, count(Bollinger %B(16,2.0) below .5,1) * count(vixcrsi above 0,1)}

symlist(spy,vxx,xiv,ziv,vxz)
draw c_rsi30 line at 0
draw vixcrsi line at 0
draw vixcrsi line at -2.25
draw vixcrsi line at -5
draw vxxcrsi line at -5
draw vxxcrsi line at -10


draw spxcrsi line at 0

draw buy
draw sell

draw Bollinger %B(16,2.0) line at .75
draw Bollinger %B(16,2.0) line at .5

set{RSI30, RSI(30) - 50}
set{CRSI_Bar, RSI30}
draw CRSI_Bar
PlotType{CRSI_Bar,zerobar}
set{RSI9, RSI(9) - 50}
set{RSI9_line, RSI9}
draw RSI9 on plot CRSI_Bar
set{RSI4, RSI(4) - 50}
set{RSI4_line, RSI4}
draw RSI4 on plot CRSI_Bar

set{drsilong1, count(rsi(30) above 5, 1)}
set{drsilong2, count(rsi(4) above rsi(30), 1)}
set{drsilong3, count(rsi(9) above rsi(30), 1)}
set{drsilong4, drsilong1 + drsilong2}
set{drsilong5, drsilong4 + drsilong3}
set{drsilong, count(drsilong5 equals 3, 1)}
set{drsishort, count(drsilong5 less than 3, 1)}
SET{DRSITRIGGER,0}
draw drsilong on plot trigger
draw drsishort on plot trigger

add column buy {bbbuy}
add column sell {bbsell}
add column drsilong {rsi}
add column rsi(4)
add column rsi(9)
add column rsi(30)
draw ma(50)
draw ma(20)

chart-length 120 days
]
davesaint86
725 posts
msg #139497
- Ignore davesaint86		 11/25/2017 12:56:09 PM

Fetcher[
set{c_rsi30, rsi(30) - 50}
set{vxxcrsi, ind(vxx, c_rsi30)}
set{vixcrsi, ind(^vix,c_rsi30)}
set{spxcrsi, ind(^spx,c_rsi30)}

set{buy, count(Bollinger %B(16,2.0) above .5,1) * count(vixcrsi below 0,1)}
set{sell, count(Bollinger %B(16,2.0) below .5,1) * count(vixcrsi above 0,1)}

symlist(spy,vxx,xiv,ziv,vxz)
draw c_rsi30 line at 0
draw vixcrsi line at 0
draw vixcrsi line at -2.25
draw vixcrsi line at -5
draw vxxcrsi line at -5
draw vxxcrsi line at -10


draw spxcrsi line at 0

draw buy
draw sell

draw Bollinger %B(16,2.0) line at .75
draw Bollinger %B(16,2.0) line at .5

set{RSI30, RSI(30) - 50}
set{CRSI_Bar, RSI30}
draw CRSI_Bar
PlotType{CRSI_Bar,zerobar}
set{RSI9, RSI(9) - 50}
set{RSI9_line, RSI9}
draw RSI9 on plot CRSI_Bar
set{RSI4, RSI(4) - 50}
set{RSI4_line, RSI4}
draw RSI4 on plot CRSI_Bar

set{drsilong1, count(rsi(30) above 5, 1)}
set{drsilong2, count(rsi(4) above rsi(30), 1)}
set{drsilong3, count(rsi(9) above rsi(30), 1)}
set{drsilong4, drsilong1 + drsilong2}
set{drsilong5, drsilong4 + drsilong3}
set{drsilong, count(drsilong5 equals 3, 1)}
set{drsishort, count(drsilong5 less than 3, 1)}
SET{DRSITRIGGER,0}
draw drsilong on plot trigger
draw drsishort on plot trigger
add column vixcrsi
add column vixcrsi 1 day ago {1d-ago}
add column vixcrsi 2 day ago {2d-ago}
add column vixcrsi 3 day ago {3d-ago}
add column vixcrsi 4 day ago {4d-ago}
add column vixcrsi 5 day ago {5d-ago}
add column buy {bbbuy}
add column sell {bbsell}
add column drsilong {rsi}
add column rsi(4)
add column rsi(9)
add column rsi(30)
draw ma(50)
draw ma(20)

chart-length 75 days
]
SAFeTRADE
646 posts
msg #139499
- Ignore SAFeTRADE		 11/25/2017 3:34:21 PM

A different take on the volatility numbers. It seems a lot of us are looking at XIV since Kevin has made his
system availabe. One can trade the XIV solely with the better than average returns. it does not replace
Kevin's Filter. It does however give a view inside VIX and VXX. The SPY and SPX moves in tandem,
however VIX and VXX have wide differences that the VXXval and VIXval bring to light.

Fetcher[
set{spxcls, ind(^spx,close)}
set{spycls, ind(spy,close)}
set{vxxcls, ind(vxx,close)}
set{vixcls, ind(^vix,close)}
set{xivcls, ind(xiv,close)}


set{vxxval, indposition(vxxcls,60)*100}
set{vixval, indposition(vixcls,60)*100}
set{spyval, indposition(spycls,60)*100}
set{spxval, indposition(spxcls,60)*100}
set{xivval, indposition(xivcls,60)*100}




draw spxval on plot spyval
draw xivval on plot spyval
draw spyval line at 50
draw spyval line at 75
draw Bollinger %B(16,2.0) line at .5


draw vixval on plot vxxval

draw xivval on plot spyval
draw vxxval line at 10
draw vxxval line at 25

draw vixvxx%

draw ma(5)
draw ma(20)


symlist(spy,xiv)

chart-length is 1 year
]
davesaint86
725 posts
msg #139513
- Ignore davesaint86
modified		 11/26/2017 1:43:28 PM

Thank you for creating these filters. I changed the sell to .75 and left the buy at .5 so there will be signal overlap at times.

Fetcher[set{spxcls, ind(^spx,close)}
set{spycls, ind(spy,close)}
set{vxxcls, ind(vxx,close)}
set{vixcls, ind(^vix,close)}
set{xivcls, ind(xiv,close)}


set{vxxval, indposition(vxxcls,60)*100}
set{vixval, indposition(vixcls,60)*100}
set{spyval, indposition(spycls,60)*100}
set{spxval, indposition(spxcls,60)*100}
set{xivval, indposition(xivcls,60)*100}


set{buy, count(Bollinger %B(16,2.0) above .5,1)}
set{sell, count(Bollinger %B(16,2.0) below .75,1)}

and draw Slow Stochastic(14,3) Fast %K line at 20.00 and draw Slow Stochastic(14,3) Fast %K line at 80.00
and draw Slow Stochastic(14,3) Fast %K line at 50.00
and draw Slow Stochastic(5,1) Fast %K line at 20.00 and draw Slow Stochastic(5,1) Fast %K line at 80.00 and draw Slow Stochastic(5,1) Fast %K line at 50.00
draw spxval on plot spyval
draw xivval on plot spyval
draw spyval line at 50
draw spyval line at 75
draw buy
draw sell
draw Bollinger %B(16,2.0) line at .5
draw Bollinger %B(16,2.0) line at .75
add column buy
add column sell
add column Bollinger %B(16,2.0) {BB}
add column rsi(4)
add column rsi(9)
add column rsi(30)
draw vixval on plot vxxval

draw xivval on plot spyval
draw vxxval line at 10
draw vxxval line at 25

draw vixvxx%
set{RSI30, RSI(30) - 50}
set{CRSI_Bar, RSI30}
draw CRSI_Bar
PlotType{CRSI_Bar,zerobar}
set{RSI9, RSI(9) - 50}
set{RSI9_line, RSI9}
draw RSI9 on plot CRSI_Bar
set{RSI4, RSI(4) - 50}
set{RSI4_line, RSI4}
draw RSI4 on plot CRSI_Bar

set{drsilong1, count(rsi(30) above 5, 1)}
set{drsilong2, count(rsi(4) above rsi(30), 1)}
set{drsilong3, count(rsi(9) above rsi(30), 1)}
set{drsilong4, drsilong1 + drsilong2}
set{drsilong5, drsilong4 + drsilong3}
set{drsilong, count(drsilong5 equals 3, 1)}
set{drsishort, count(drsilong5 less than 3, 1)}
SET{DRSITRIGGER,0}
draw drsilong on plot trigger
draw drsishort on plot trigger
draw ma(5)
draw ma(20)

symlist(spy,xiv,ziv,vxx,vxz)

chart-length is 60 days
]
SAFeTRADE
646 posts
msg #139518
- Ignore SAFeTRADE		 11/26/2017 7:20:55 PM

Thank you.
StockFetcher Forums · Filter Exchange · Another Look at Volatility Number 3<< >>Post Follow-up

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