wkloss
231 posts
msg #113727
- Ignore wkloss |
5/27/2013 2:19:23 PM
Technical Analysis of Stocks & Commodities magazine, Dec 2012, page 17 has an article titled Using VIX To Forecast The S&P 500. As a system, it wasn't very interesting because it had a max drawdown of 39%.
The interesting part was when they used the system on bond funds. Since 2008, VAGIX & FAGIX had annual average returns of 14% with a max drawdown of 6%. The results were poor for JNK in 2008 with a 24% drawdown.
I believe this system could be a very good alternative to money markets funds.
The rules are
1. Calculate a MA(50) of the daily low of VIX
2. Buy when VIX has been below the daily low of VIX for 11 days
The sell rules made no sense so I'm emailing the author for clarification.
Stockfetcher gave me the following code but I still can't figure it out so any help would be appreciated
set{my_value, IND(^VIX,low)}
set{my_avg, CMA(my_value, 50)}
close is above 10
and draw my_avg
and draw my_value on plot my_avg
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