StockFetcher Forums · General Discussion · 2 Period RSI for VIX?<< 1 2 >>Post Follow-up
drew9
171 posts
msg #83988
- Ignore drew9		 12/7/2009 11:44:31 PM

Another Connors strategy is to use the 2 period RSI of the VIX. I thought I had seen this before but could not find it in a search. Can this be created in SF?
chetron
2,817 posts
msg #83991
- Ignore chetron
modified		 12/8/2009 6:48:54 AM

YES = )


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

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

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

close above .1
volume above 10000

]
Kevin_in_GA
4,599 posts
msg #83992
- Ignore Kevin_in_GA		 12/8/2009 7:51:17 AM

Nice!

SFMc01
358 posts
msg #84030
- Ignore SFMc01		 12/8/2009 1:13:00 PM

What does TACHIKAWA 2 mean? Other than a city in Japan?

Thanks
Kevin_in_GA
4,599 posts
msg #84032
- Ignore Kevin_in_GA		 12/8/2009 1:18:36 PM

That's Chet's "DNA fingerprint" that he incorporates on all of his filters. If you want to pull up all of his filters, just type that in the search forums box.

Kevin
chetron
2,817 posts
msg #84041
- Ignore chetron		 12/8/2009 2:06:41 PM

the 2 does signify a higher level of uniqueness
skiiiva
37 posts
msg #84051
- Ignore skiiiva		 12/8/2009 3:32:00 PM

wow chet that is a very interesting one. can you invert the plot of the vixrsi,? i would like to plot it on the rsi(2)
trendscanner
265 posts
msg #84055
- Ignore trendscanner		 12/8/2009 4:36:44 PM

that's awesome.
chetron
2,817 posts
msg #84067
- Ignore chetron		 12/8/2009 8:02:33 PM

inverseness.......


Fetcher[
/* INVERTED VERSION */


/* ALL ENCOMPASSING VIX-O-LATER */

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

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}
set{vme1,vixrsi * -1}
set{vme,indposition(vme1,100) * 100}
DRAW RSI(2) ON PLOT VME

vme 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

close above .1
volume above 10000

]
drew9
171 posts
msg #84076
- Ignore drew9		 12/9/2009 3:47:18 AM

Brilliant! Thanks Chet!
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