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Sentiment indicators still work fine, you just
cannot use them AS IS.
Remember that even simple moving averages work great on
AS IS basis when they were used by only a few brave souls
long time ago (that calculators were not common equipments) :)
Those sentiment indicators are behaving exactly the same
as before, it is the people who reacts to those indicators
have changed.
Lawrence
--- MT <mtzianos@xxxxxxxxx> wrote:
> Has anyone done any research on the changes of VIX and p/c in the
> last 2 years? They are definately behaving differently than they did for
> over a decade...
>
> This can be demonstrated with a mechanical strategy, backtested
> since 1989, of a swing system (trades about 50-60 times/year) using
> p/c and VIX (now VXO). It has stopped working since 2002.
>
> Stats (1989-2002)
>
> #Buy Put/Call Trades 290
> #Buy VIX Trades 221
> #Sell Put/Call Trades 42
> # Sell VIX Trades 148
> # Combined Trades 616
> Total Pts. Profit Combined System 3347.58
> # Losers Combined 242
> # Winners Combined 374.00
> Total Pts. Losers -4540
> Total Pts. Winners 7887
> Average Loss Pts. -18.76
> Average Winner Pts. 21.09
> % Winning Trades 60.71
>
>
> Net SP500 Points/Year
> 95 96 97 98 99 2000 2001 2002
>
> 106.074 62.568 402.472 534.382 813.28 815.246 181.512 -12.912
>
>
> PS: The SFO mag has some articles, has anyone looked at those?:
>
> <http://www.sfomag.com/issuedetail.asp?MonthNameID=January&YearID=2004>
>
> "HELP! The Volitility Indicators No Longer Work!
> Is the VIX still holding its ground? Put/call and volume ratios can be
> viable tools for options traders as well."
>
> "Options-Based Sentiment Indicators: Directional Clues for Equities
> Based off the VIX and Put/Call Ratio
> Analyze these sentiment-based indicators to see what they may be saying
> about future moves."
>
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