Comments on: Using Fear to Time the Market

By: Jeff Swanson

Jeff Swanson — Sat, 20 Apr 2013 16:49:41 +0000

In reply to Srinivasan. Thanks for sharing! Please do post your results.

By: Srinivasan

Srinivasan — Sat, 20 Apr 2013 16:38:58 +0000

There’s another VIX strategy in Dec’12 Stocks and commodities magazine. I’ve been playing with it quite a bit and seem to like it.
Basically the equity buy only rules are:
– VIX closes below the 50 period moving average 11 consecutive days
Exit rule
– VIX closes above the 50 period moving average 11 consecutive days
Very simple just like a simple moving average filter on price and some amazing results too. I will share my results across different ETFs (core, sector, leveraged), Mutual funds, Equities later when I have more time.

By: Red

Red — Tue, 16 Apr 2013 03:43:54 +0000

Hey Sean,

Did you forget something in the code that you posted?

sellcond = VixH < avgval[1] and vixc ?? VIXO;

Did you mean to have < for ??

Thanx for the post,

Red

By: John Santos

John Santos — Mon, 12 Dec 2011 12:08:40 +0000

I don’t know any programming, but I have followed Jeff’s work for over two years. I do daytrading only on short tf. However, I’d like to expand to swing trading. I’d like to share with you all this model and receive feedback for what you think it is worth, or whether it is rubbish: http://www.marketgene.com/indicators.aspx. It is seems correlated to Jeff’s look on markets long-term overbought/oversold, beginning and end of trends, as well as strength of a trend.

By: Jeff

Jeff — Wed, 13 Jul 2011 23:10:23 +0000

In reply to Sean. No, I've not coded the TPS strategies. Might be worth looking into for a future blog post. Thanks for posting the above code!

By: Sean

Sean — Wed, 13 Jul 2011 14:05:46 +0000

Here is the Connors VIX reversal strategy code. It is another great mean reversion tool. It only occurs a few times a year when the VIX is above its ten day MA and the open is above the close (e.g. the reversion has begun):

vars: vixH(0),vixL(0),vixo(0),VixC(0),avgval(0),buycond(false),sellcond(false),catlong(0);

vixH = high of data2;
vixL = Low of data2;
vixC = Close of data2;
vIXo = open of data2;

avgval = average(vixC,10);

buycond = VixL > avgval[1] and vixC >= (avgval[1] + (.10*avgval[1])) AND VIXC < VIXO;
sellcond = VixH < avgval[1] and vixc VIXO;

If buycond then buy on close;
if sellcond then sell on close;

if Vixl = avgval[1] then exitshort this bar on close;

Have you coded any of the TPS strategies?

By: Jeff

Jeff — Wed, 13 Jul 2011 11:31:47 +0000

Hello Sean. Thanks for the corrections. Would love to see the CVRIII code. Feel free to email it to me via the form on the site or post it here in the comments. Thanks much!

Jeff

By: Sean

Sean — Wed, 13 Jul 2011 02:52:11 +0000

I could be wrong, I often am, however I think the entry should be “buy this bar at close”

e.g.

If Condition1 And Condition2 Then buy(“LE”) Cntracts contracts this bar at close;

from Connors’ book:
1. The SPY is above its 200-day moving average (you can use the
SPX also).
2. The VIX is stretched 5% or more above its 10-day MAfor 3 or
more days. If this occurs, we’ll buy the market on the close.
3. Exitwhen the SPYcloses above a 2-period RSI reading of 65 ormore

Thanks for coding this. I have CVRIII coded if you want it.

Also on your TRIN indicator it should say put TRIN in Data2 not VIX.

All the best,
SG

By: Windsurfer

Windsurfer — Mon, 07 Mar 2011 13:36:19 +0000

Very interesting. Thank you!

The main problem is it doesn’t trade enough. Just for fun, I made the following changes: Stretch decreased from .05 to .03; threshold increased from 65 to 75; # days above 10 day decreased from 3 to 2.

This doubled the # of trades.

Bruce