Kenny posted a chart this morning that looked interesting. I could not see any particular coordination between Price and the $VIX:$VXV so I Googled it and found that it is a popular chart.Here are the basics.
Buy the market when the ratio crosses above 1.08, and exit at ratio=1.02;
Sell the market when the ratio crosses below 0.95, and exit at ratio=0.92, or after 9 days, whichever is sooner.
These limits can be adjusted. A back test in 2008 using 102 and 0.94 resulted in a 74% win ratio.
So according to this chart we got a sell signal this morning.
Analysis presented on this Blog has only informational, and educational purpose, and does not represent a proposal for buying or selling currency contracts.
Thanks very nice post. you test that only 2008. Nice sentiment indicator.
ReplyDeleteBig trades for you.