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Hi Dimitris,Your D_sat10 indicator looks very
interesting on the VIX daily and weekly. Looks like it's indicating a bottom
(bullishness topping out) very shortly. Have you had any trading experiences
where that indicator has lined up (at the top or bottom) in both of these
timeframes and shown any greater significance to the ensuing
move?Thanks,Steve
Steve,
Here is the main ^VIX daily watch :1. Trendlines :
The support breakdown 8 bars ago was characteristic to expect lower values.[
the trendlines code is at the AFL Library <A
href="">http://www.amibroker.com/library/detail.php?id=105
first comment titled/*Pattern Recognition graph*/]2. Recent
horizontal support levels : One year ago we came down to 19. The 27 level of
lastNov-Jan were not solid enough, we may forget them for now.[they may give
a resistance in the next ^VIX uptrend, if any...]3. The ^VIX D-ratio
: The N100 market is "Buy" at 48, we are at 30 now, we have to wait for more
than 20 bars,if the curve will keep on going upwards.
<FONT
size=2>H=Foreign("^VIX","H");L=Foreign("^VIX","L");R=1000*(H-L)/(H+L);Z=Optimize("Z",48,47,52,1);RRR=DEMA(R,Z);D1=Optimize("D1",32,27,32,1);D2=Optimize("D2",48,45,55,1);F1=RRR>=D2;F2=RRR<=D1;Sell=F2;Buy=F1;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=Sell;Cover=Buy;Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);Plot(RRR,"",1,1);Plot(d1,"",8,1);Plot(d2,"",8,1);Plot(Buy*RRR,"Buy",5,2);Plot(Sell*RRR,"Sell",4,2);Plot(LastValue(Highest(rrr)),"",11,1);Plot(LastValue(Lowest(rrr)),"",11,1);Title="^VIX
D-ratio";GraphXSpace=2;4. The ^VIX fast/slow Sqrt Stochastic :
N1=80;F1=StochD(N1)*StochD(2*N1)*StochD(3*N1/2)*StochD(5*N1/2);F1=sqrt(sqrt(F1));N2=30;F2=StochD(N2)*StochD(2*N2)*StochD(3*N2/2)*StochD(5*N2/2)/10^6;Plot(DEMA(F1,10),"FAST",1,8);Plot(DEMA(F2,10),"SLOW",5,8);
GraphXSpace=3;
It came down to 0 on March2002. The turning point Z signaled
the beginning of a strong bearish N100 cycle.5. The ^VIX D_sat is
before a probable breakup, which usually signals the N100 bearish
mood.
// The ^VIX
D_satP=30;CMO30=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));C1=DEMA(CMO30,30);D_sat10=RSIA(C1,10);D_sat5=RSIA(C1,5);Plot(D_sat10,"D_sat10",1,1);Plot(D_sat5,"D_sat5",5,1);Plot(D_sat5-D_sat10,"D_sat
difference",9,2);GraphXSpace=5;
These are the main ^VIX graphs I watch everyday.4. and 5.
say that we expect a new N100 bearish period.
3 says to wait for a great "Buy the Market" signal more than
20 bars.The results are yours. Dimitris Tsokakis
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