Blog Archive

Wednesday, October 7, 2009

$VIX:$VXV

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.

1 comment:

  1. Thanks very nice post. you test that only 2008. Nice sentiment indicator.
    Big trades for you.

    ReplyDelete

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