Vix Breaking new ground

Quote from dgabriel:

The VIX displays greater volatility (indicating greater fluctuation in sp100 or sp500 option premium) in bear markets than in bull markets. As the market has been in an uptrend since march, what the VIX presumes to measure on a derivative basis - investor nervouseness - has been at a reduced level.

The VIX level has been confirming the bull mode.

The old VIX I beleive now is VXO, and it is still being measured.

TradingMarkets writers trot the VIX out in their commentaries but that is because they are selling it in Conners' package as a tool of analysis.

No indicator is completely reliable as a standalone.
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The ^VIX D-ratio * has given excellent signals for the N100 market, crossing 30 and 48 respectively.
The last year is out of the game, no signals at all.
Since D-ratio is a measure of the daily spread, we are in a new era, the D-ratio studies and systems may stay in the drawer for future use...
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*D_ratio=1000*(H-L)/(H+L);
 

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Quote from dgabriel:

That's an interesting chart. Is it a one year?
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Sorry for the wrong crop. It was the whole period Jan2000 till now.
My AFL* code is

H=Foreign("^VIX","H");L=Foreign("^VIX","L");
D_ratio=1000*(H-L)/(H+L);
Z=49;
RRR=DEMA(D_ratio,Z);
D1=30;
D2=48;
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,"^VIX D_ratio",1,1);
Plot(D1,"D1",11*(Cum(1)%2),1);Plot(D2,"D2",11*(Cum(1)%2),1);
Plot(RRR*Buy,"",5,2);Plot(RRR*Sell,"",4,2);

In a few words, use ^VIX data to plot my
D_ratio=1000*(H-L)/(H+L);
smooth it with a 49-bar DEMA and see the crosses with 30, 48 levels.
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*AFL is Amibroker Formula Language from amibroker.com
 

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Uses a rather simplistic method of obtaining a VIX Buy/Sell signal whenver the index closes >10% above or below the 10-day MA, confirmed by an RSI in overbought or oversold territory.
 
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