Description
The VIX Timing strategy is a forecasting tool which uses Chicago Board Options Exchange Market Volatility Index (VIX) in order to indicate buying or selling opportunities for broad-based indexes like the S&P 500 and the Dow Jones Industrial Average. The VIX is sometimes called "the fear index"; it represents implied volatility in the stock market for the next 30 days.
According to the rules described by Trent Gardner in his article "Using VIX To Forecast The S&P 500", orders are added upon the following conditions:
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Buy order is added after the VIX has constantly been below its SMA during trend period,
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Sell order is added after the VIX has constantly been above its SMA during trend period.
Input Parameters
| Parameter | Description |
|---|---|
price
|
The price used in calculation of VIX. |
sma length
|
The number of bars used in calculation of SMA. |
trend length
|
The number of bars in the period upon which the VIX is compared to its SMA. |
Further Reading
1. "Using VIX To Forecast The S&P 500" by Trent Gardner. Technical Analysis of Stocks & Commodities, December 2012.