VIX On The S&P 500 (Amibroker And Tradestation Code)
The strategy in plain English:
Buy the S&P 500 (SPY) at the close if the VIX breaks above its 10-day upper band two standard deviations away from its moving average.
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Amibroker code:
TheVix = Foreign(“^VIX”,”close”,fixup=1);
Buy= TheVix > BBandTop(TheVix,10,2);
BuyPrice = Close;
Sell = C > Ref(H,-1) ;
sellPrice = Close;
Tradestation code:
If c data2 > BollingerBand(Close data2,10,2)
then buy this bar at close;
If close > high[1] then sell this bar at close;
Second VIX strategy:
The strategy in plain English:
Go long the S&P 500 at the close when the VIX breaks out on a new 20-day high and at the same time has a five-day RSI value of at least 65.
Click here to see the original article.
Amibroker code:
TheVix = Foreign(“^VIX”,”close”,fixup=1);
Buy = TheVix > Ref(HHV(TheVix,20),-1) AND RSIa(TheVix,5)>70;
BuyPrice = Close;
Sell = C > Ref(H,-1) ;
sellPrice = Close;