dho99
4 posts
msg #105216
- Ignore dho99 |
3/1/2012 8:59:32 PM
jsheetz I'm very interesting in your findings... I am going to look into it as well but I am no pro by any means. However, if this proves to be a consistent filter it can help portfolio wide instead of just a VXX vs SPY filter
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BarTune1
441 posts
msg #105229
- Ignore BarTune1 |
3/2/2012 9:48:02 PM
The VXX:SPY ratio has been examined and re-examined and was optimized by Kevin long ago. There were various threads on this topic and I watch the VIX ratio daily to time the market and my entries whether they be index ETFs or stocks. There are many ways it can be used.
As to the question specifically whether MA crossovers of the ratio can be used to time SPY buys and sells .... the following filter (written by Kevin) is one of the best. View this as a chart and you need only pay attention to the crossover of the RATIOMA13 which is the first oscillator at the bottom of the chart. Extend the chart to a year ... its easy to see ... buy the SPY on the crossover (watch the market jump) ... and sell the SPY when it crosses back.
/*THE FOUR HORSEMEN - OVERALL MARKET INDICATORS*/
/*SET ADVANCING - DECLINING STOCKS ON NYSE AS A VARIABLE AND CREATE A MOVING AVERAGE OSCILLATOR*/
set{var1, ind(^advn,close)}
set{var2, ind(^decn,close)}
set{var3a, var1 - var2}
set{AD_19, CEMA(var3a,19)}
set{AD_39, CEMA(var3a,39)}
set{AD_McClellan, AD_19 - AD_39}
set{summation1, sum( AD_McClellan,2)}
set{AD_summation, CEMA(summation1,20)}
set{as12, summation1 - AD_summation}
/*SET NYSE ADVANCING VOLUME / DECLINING VOLUME RATIO AS SECOND VARIABLE AND CREATE A SIMILAR OSCILLATOR*/
set{var3,ind(^nvlu,close)}
set{var4,ind(^nvld,close)}
set{advancing_volume, sum(var3,10)}
set{declining_volume, sum(var4,10)}
set{volume_oscillator, advancing_volume / declining_volume}
SET{SPY, IND(SPY,CLOSE)}
SET{VXX, IND(VXX,CLOSE)}
SET{RATIO, SPY / VXX}
SET{RATIOMA13, CMA(RATIO,13)}
SET{VXXSPY, ratio - ratioma13}
DRAW RATIO ON PLOT RATIOMA13
/*SET SPX VIX BID / ASK RATIO AS A VARIABLE AND CREATE A 10 PERIOD EMA*/
set{VIXbid,ind(^vvvb,close)}
set{VIXask,ind(^vwa,close)}
set{VIXratio, VIXbid / VIXask}
set{trigger_line, CEMA(VIXratio,10)}
/*DEFINE VIX OSCILLATOR AROUND ZERO*/
set{VIX_oscillator, VIXratio / trigger_line}
draw AD_McClellan line at 0
draw volume_oscillator line at 1
draw HLMA on plot newhighs_minus_newlows
draw VIX_oscillator line at 1
add column AD_McClellan {McClellan Oscillator}
add column volume_oscillator {up/down volume 10 day ratio}
add column VXXSPY {VXX:SPY oscillator}
add column VIX_oscillator {VIX bid-to-ask oscillator}
symlist(spy)
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Eman93
4,750 posts
msg #105233
- Ignore Eman93
modified |
3/3/2012 2:15:15 PM
Kind of my take using TZA and TNA.. as you know the RUT2000 the SOX and the Dow Transports have been selling off.
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BarTune1
441 posts
msg #105236
- Ignore BarTune1 |
3/3/2012 3:07:51 PM
Thats pretty sweet Eman .... I have added that to my main filters for measuring overall market sentiment ....
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fdb222
11 posts
msg #105513
- Ignore fdb222
modified |
3/18/2012 8:31:58 PM
Larry Conners also had a vix/vxx indicator in one of his books.
I pulled up the vxx on stockcharts.com and noticed a bearish divergence(spy) on the macd. Possibly a selloff is in the near future.
I'll take the last statement back. I just looked at the chart again and the macd is going in the same direction as the overall trend.
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deanengle
33 posts
msg #105639
- Ignore deanengle
modified |
3/24/2012 12:37:01 AM
KEVIN: http://stockcharts.com/h-sc/ui?s=ZOLL&p=D&yr=0&mn=3&dy=3&id=p58235872460
THIS IS THE BASIC CHART I UTILIZE AND HAVE FOUND GREAT PLEASURE IN UTILIZATION OF THE MACD'S WHICH DISPLAY A MIRROW IMAGE. NOTE WITH THIS CHART THAT IT HAD AN EXTENDED BROAD CHANNEL WHERE THE MACD 3,2,1 WAS ABOVE THE GENERAL AREA OF 0.01 FOR A PERIOD OF TIME. THEN THERE WAS A SUDDEN MOVE WHICH YOU MAY HAVE BEEN ABLE TO SEE 1 DAY PRIOR TO THE MOVE. MY QUESTION IS HOW CAN I CREATE A SYNTAX WHICH WILL DISPLAY THE MACD 3,2,1 ABOVE 0.1 FOR 60 DAYS. THIS COLD CREATE A GREAT WATCH LIST FOR POTENTIAL GAPS OR MAJOR MOVES. IF THIS DOES NOT IMPOSE UPON YOU I LIVE IN CALIFORNIA AND WOULD BE EXTREMELY PLEASED IF YOU COULD TAKE THE TIME TO TELEPHONE ME AT MY HOME NUMBER OF 951-780-2941
OTHER WISE ANY RESPONSE WOULD BE REATLY APPRECIATED,,THANKS DEAN ENGLE
thank you four...................
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four
5,087 posts
msg #105640
- Ignore four
modified |
3/24/2012 1:50:36 AM
10 can be changed to the number of days you wish
(the value you enter is a minimum requirement, in this case I used 10 days)
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unbias123
9 posts
msg #105663
- Ignore unbias123 |
3/25/2012 9:21:21 PM
Hi Everybody
Thanks for this wonderful system and wonderful work all of you have done here.
Can anybody help me:
Is this system can be used for
1) Nasdaq 100 i.e. QQQQ
2) Any Individual Stock
Please help me how it can be done
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jsheetz
23 posts
msg #105928
- Ignore jsheetz |
4/15/2012 11:18:01 PM
So it looks like this filter is calling a market top now. Judging by the way things are trading, I think things will continue to be choppy for April, then the old market adage "Sell in May, and go away" will probably run its course again. For the US, bad news is good news as people take any sign of slowdown as a boost in the probability of QE3. However, just as important these days, debt activity in Europe, and growth in BRIC (mainly China), are going to counteract a lot of speculation and make traders take risk off the table if bad headlines hit.
All in all, its this kind of circumstance, along with the technicals that this scan works on, that makes me a buyer of volatility (VIX, VXX, etc) on any dips in the intermediate term til things change.
Just my 2 cents.
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Eman93
4,750 posts
msg #105936
- Ignore Eman93 |
4/18/2012 12:58:11 AM
unbias123
9 posts
msg #105663
- Ignore unbias123 3/25/2012 9:21:21 PM
Hi Everybody
Thanks for this wonderful system and wonderful work all of you have done here.
Can anybody help me:
Is this system can be used for
1) Nasdaq 100 i.e. QQQQ
2) Any Individual Stock
Please help me how it can be done
=======================================
If only it were that easy... no magic bullet here... it only alerts you that a market condition exists...
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