EricSimpson1
1 posts
msg #108234
- Ignore EricSimpson1 |
10/1/2012 4:23:12 PM
I'm trying to make a filter that plots the VIX divided by the true volatility of the S&P 500, and average this over a 20-day window.
It is based on this writing by Jeff Augen:
http://post.nyssa.org/nyssa-news/2010/12/a-new-indicator-for-predicting-market-corrections.html
He claims that large spikes in the VIX/true ratio (usually >2) can signal the start of large declines in the stock market, and when this ratio falls below 1, that usually means the correction is over. I want to test to see if this holds up but I'm new to stockfetcher filters. Any help would be appreciated.
|
BarTune1
441 posts
msg #108237
- Ignore BarTune1 |
10/1/2012 5:06:16 PM
I can't help you with the filter but I have read Augen's books before and tried to trade off them. Its cost me alot of money. He is an academic whose theories sound good ... but I suspect he isn't a real trader ... else he would have given up his day job teaching. I think he probably makes more off his books than he does trading.
|
mahkoh
1,065 posts
msg #108238
- Ignore mahkoh
modified |
10/1/2012 5:21:32 PM
Don't think this is exactly what you're heading for, but it's a start.
|