StockFetcher Forums · Filter Exchange · S&P 500 and VIX<< >>Post Follow-up
four
5,087 posts
msg #88492
- Ignore four		 2/21/2010 4:40:06 PM

http://www.greenfaucet.com/technical-analysis/why-does-the-market-always-run-in-one-direction-when-its-options-expiration/16646

StockFetcher filter ? Anyone ?
mystiq
650 posts
msg #88941
- Ignore mystiq		 3/2/2010 4:38:00 AM

chetron
modified 2/27/2010 9:50:32 AM

just use this............


Fetcher[
/* go long */
/* ALL ENCOMPASSING VIX-O-LATER */

set{Vvix, ind(^VIX, high)}

Set{vMA10,CMA(Vvix,10)}
set{vSD,cstddev(Vvix,10)}
set{vSD10,2 * vSD}
set{vBOLU,vMA10 + vSD10}
set{vBOLD,vMA10 - vSD10}

/* TACHIKAWA 2 */

set{v1,VVIX 1 day ago}
set{vud,VVIX - v1}
set{vud1,count(vud above -0,1)}
set{vudf,vud * vud1}
set{vudema,cema(vudf,2)}

set{vdd,v1 - VVIX}
set{vdd1,count(vdd above -0,1)}
set{vddf,vdd * vdd1}
set{vddema,cema(vddf,2)}

set{myrsi1,vudema / vddema}
set{myrsi2,1 + myrsi1}
set{myrsi3,1 / myrsi2}
set{myrsi4,myrsi3 * 100}
set{VixRSI,100 - myrsi4}

VixRSI below 300
close above .1
volume above 1000000

draw VVIX
draw vbold on plot VVIX
draw vbolu on plot VVIX
draw vma10 on plot VVIX

vvix reached new 13 day high
low reached new 13 day low
close above .1
volume above 10000

]






and the reverse...



Fetcher[
/* go short */
/* ALL ENCOMPASSING VIX-O-LATER */

set{Vvix, ind(^VIX, low)}

Set{vMA10,CMA(Vvix,10)}
set{vSD,cstddev(Vvix,10)}
set{vSD10,2 * vSD}
set{vBOLU,vMA10 + vSD10}
set{vBOLD,vMA10 - vSD10}

/* TACHIKAWA 2 */

set{v1,VVIX 1 day ago}
set{vud,VVIX - v1}
set{vud1,count(vud above -0,1)}
set{vudf,vud * vud1}
set{vudema,cema(vudf,2)}

set{vdd,v1 - VVIX}
set{vdd1,count(vdd above -0,1)}
set{vddf,vdd * vdd1}
set{vddema,cema(vddf,2)}

set{myrsi1,vudema / vddema}
set{myrsi2,1 + myrsi1}
set{myrsi3,1 / myrsi2}
set{myrsi4,myrsi3 * 100}
set{VixRSI,100 - myrsi4}

VixRSI below 300
close above .1
volume above 1000000

draw VVIX
draw vbold on plot VVIX
draw vbolu on plot VVIX
draw vma10 on plot VVIX

vvix reached new 13 day low
high reached new 13 day high
close above .1
volume above 10000

]




-OR-

Fetcher[
symlist(spy)

set{vix50dayma, cma(ind(^VIX,close),50)}
draw vix50dayma
draw ind(^vix,close) on plot vix50dayma

set{5pct,vix50dayma * .05}

set{plus5%,vix50dayma plus 5pct}
draw plus5% on plot vix50dayma

set{minus5%,vix50dayma minus 5pct}
draw minus5% on plot vix50dayma

draw weekly rsi(2) on plot smoothed rsi(2,15)
do not draw rsi(2)
add column plus5%
add column ind(^vix,close)
add column vix50dayma
add column minus5%
add column RSI(2)

chart-time is 6 months
chart-display is daily





draw weekly slow stochastics(15,10) fast %k








set{up,count(close above close 1 day ago,1)}
set{down,count(close below close 1 day ago,1)}
set{pivot,pp}
set{MF, pivot * volume}
set{UPMF, MF * up}
set{PMF, sum(UPMF,60)}
set{DNMF, MF * down}
set{NMF, sum(DNMF,60)}
set{ratio, PMF / NMF}
set{MFI, 1 + ratio}
set{MFSI, 100 / MFI}
set{MFRSI, 100 - MFSI}
/* mfrsi */
set{moneyflowrsi, INDPOSITION(mfrsi, 60) * 100}
/* obv */
set{cash,average price(60) * average volume(60)}
set{cashflow, INDPOSITION(cash, 60) * 100}
draw vma(5)
draw ema(20)
draw ema(50)

draw moneyflowrsi on plot cashflow

draw weekly macd histogram(2,3,2) on plot weekly macd histogram(3,2,1)
draw ift(5,9)
draw macd histogram(2,3,2)
]
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