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August 2022: Trading the Fear Index
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MS Support  
#1 Posted : Thursday, November 10, 2022 7:56:04 PM(UTC)
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Note: .VIX is not available with DataLink. You can replace any .VIX references in the formulas below with VXc1 as needed.

Markos Katsanos’ article, “Trading the Fear Index,” provided systems for trading VIX based instruments. The MetaStock version of those systems are below.  The formulas can be placed in an expert advisor, exploration, or system test.  The suggested optimization values for a system test are in comments on the first four lines.

VIX ETF System:

A VIX ETF daily long-short trading system to be appled to daily charts.

Suggested instruments: VXX, VIXY, UVXY, VIXM, VXZ, SVOL

Buy Order:

Code:
VUpMax:= 50; {min 40/max 60/step 5}
Vbars:= 6;  {min 5/max 10/step 1}
StBarsSlow:= 25; {min 25/max 30/step 5}
StBarsFast:= 10; {min 10/max 15/step 5}
vix:= Security("ONLINE:.VIX", C);
vixh:= Security("ONLINE:.VIX", H);
vixl:= Security("ONLINE:.VIX", L);
spy:= Security("ONLINE:SPY", C);
spyh:= Security("ONLINE:SPY", H);
spyl:= Security("ONLINE:SPY", L);
StVixF:= Mov((vix-LLV(vixl,StBarsFast))/(HHV(vixh, StBarsFast)-LLV(vixl, StBarsFast)+.0001)*100, 3, S);
StSpyF:= Mov((spy-LLV(spyl,StBarsFast))/(HHV(spyh, StBarsFast)-LLV(spyl, StBarsFast)+.0001)*100, 3, S);
StVixS:= Mov((vix-LLV(vixl,StBarsSlow))/(HHV(vixh, StBarsSlow)-LLV(vixl, StBarsSlow)+.0001)*100, 3, S);
StSpyS:= Mov((spy-LLV(spyl,StBarsSlow))/(HHV(spyh, StBarsSlow)-LLV(spyl, StBarsSlow)+.0001)*100, 3, S);
VixDn:= (vix/Ref(HHV(vix,vbars),-1)-1)*100; 
VixUp:= (vixh/Ref(LLV(vixl,vbars),-1)-1)*100;
RC:= Correl( vix, Cum(1), vbars-1, 0 );
Buy:= StvixS > StspyS AND StvixF > StspyF AND StvixF > Ref(StvixF, -1) AND VixUp > VUpMax AND RC > .8 AND RC>Ref(RC, -1);
sell:= StspyF > StvixF OR StvixF < Ref(StvixF,-1);
ltrade:= If(buy, 1, If(sell, 0, PREV));
ltrade = 1 AND Ref(ltrade=0, -1)

Sell Order:

Code:
VUpMax:= 50; {min 40/max 60/step 5}
Vbars:= 6;  {min 5/max 10/step 1}
StBarsSlow:= 25; {min 25/max 30/step 5}
StBarsFast:= 10; {min 10/max 15/step 5}
vix:= Security("ONLINE:.VIX", C);
vixh:= Security("ONLINE:.VIX", H);
vixl:= Security("ONLINE:.VIX", L);
spy:= Security("ONLINE:SPY", C);
spyh:= Security("ONLINE:SPY", H);
spyl:= Security("ONLINE:SPY", L);
StVixF:= Mov((vix-LLV(vixl,StBarsFast))/(HHV(vixh, StBarsFast)-LLV(vixl, StBarsFast)+.0001)*100, 3, S);
StSpyF:= Mov((spy-LLV(spyl,StBarsFast))/(HHV(spyh, StBarsFast)-LLV(spyl, StBarsFast)+.0001)*100, 3, S);
StVixS:= Mov((vix-LLV(vixl,StBarsSlow))/(HHV(vixh, StBarsSlow)-LLV(vixl, StBarsSlow)+.0001)*100, 3, S);
StSpyS:= Mov((spy-LLV(spyl,StBarsSlow))/(HHV(spyh, StBarsSlow)-LLV(spyl, StBarsSlow)+.0001)*100, 3, S);
VixDn:= (vix/Ref(HHV(vix,vbars),-1)-1)*100; 
VixUp:= (vixh/Ref(LLV(vixl,vbars),-1)-1)*100;
RC:= Correl( vix, Cum(1), vbars-1, 0 );
Buy:= StvixS > StspyS AND StvixF > StspyF AND StvixF > Ref(StvixF, -1) AND VixUp > VUpMax AND RC > .8 AND RC>Ref(RC, -1);
sell:= StspyF > StvixF OR StvixF < Ref(StvixF,-1);
ltrade:= If(buy, 1, If(sell, 0, PREV));
ltrade = 0 AND Ref(ltrade=1, -1)

Sell Short Order:

Code:
VUpMax:= 50; {min 40/max 60/step 5}
Vbars:= 6;  {min 5/max 10/step 1}
StBarsSlow:= 25; {min 25/max 30/step 5}
StBarsFast:= 10; {min 10/max 15/step 5}
vix:= Security("ONLINE:.VIX", C);
vixh:= Security("ONLINE:.VIX", H);
vixl:= Security("ONLINE:.VIX", L);
spy:= Security("ONLINE:SPY", C);
spyh:= Security("ONLINE:SPY", H);
spyl:= Security("ONLINE:SPY", L);
StVixF:= Mov((vix-LLV(vixl,StBarsFast))/(HHV(vixh, StBarsFast)-LLV(vixl, StBarsFast)+.0001)*100, 3, S);
StSpyF:= Mov((spy-LLV(spyl,StBarsFast))/(HHV(spyh, StBarsFast)-LLV(spyl, StBarsFast)+.0001)*100, 3, S);
StVixS:= Mov((vix-LLV(vixl,StBarsSlow))/(HHV(vixh, StBarsSlow)-LLV(vixl, StBarsSlow)+.0001)*100, 3, S);
StSpyS:= Mov((spy-LLV(spyl,StBarsSlow))/(HHV(spyh, StBarsSlow)-LLV(spyl, StBarsSlow)+.0001)*100, 3, S);
VixDn:= (vix/Ref(HHV(vix,vbars),-1)-1)*100; 
VixUp:= (vixh/Ref(LLV(vixl,vbars),-1)-1)*100;
RC:= Correl( vix, Cum(1), vbars-1, 0 );
short:= vix<= LLV(vix,3) AND VixUp < VUpMax AND VixDn< -20 AND Vix > 15 AND StspyF>StvixF AND StspyF>Ref(StspyF, -1);
cover:= VixUp > VUpMax AND StvixF > Ref(StvixF, -1) AND RC>.8;
strade:= If(short, 1, If(cover, 0, PREV));
strade = 1 AND Ref(strade=0, -1)

Buy to Cover Order:

Code:
VUpMax:= 50; {min 40/max 60/step 5}
Vbars:= 6;  {min 5/max 10/step 1}
StBarsSlow:= 25; {min 25/max 30/step 5}
StBarsFast:= 10; {min 10/max 15/step 5}
vix:= Security("ONLINE:.VIX", C);
vixh:= Security("ONLINE:.VIX", H);
vixl:= Security("ONLINE:.VIX", L);
spy:= Security("ONLINE:SPY", C);
spyh:= Security("ONLINE:SPY", H);
spyl:= Security("ONLINE:SPY", L);
StVixF:= Mov((vix-LLV(vixl,StBarsFast))/(HHV(vixh, StBarsFast)-LLV(vixl, StBarsFast)+.0001)*100, 3, S);
StSpyF:= Mov((spy-LLV(spyl,StBarsFast))/(HHV(spyh, StBarsFast)-LLV(spyl, StBarsFast)+.0001)*100, 3, S);
StVixS:= Mov((vix-LLV(vixl,StBarsSlow))/(HHV(vixh, StBarsSlow)-LLV(vixl, StBarsSlow)+.0001)*100, 3, S);
StSpyS:= Mov((spy-LLV(spyl,StBarsSlow))/(HHV(spyh, StBarsSlow)-LLV(spyl, StBarsSlow)+.0001)*100, 3, S);
VixDn:= (vix/Ref(HHV(vix,vbars),-1)-1)*100; 
VixUp:= (vixh/Ref(LLV(vixl,vbars),-1)-1)*100;
RC:= Correl( vix, Cum(1), vbars-1, 0 );
short:= vix<= LLV(vix,3) AND VixUp < VUpMax AND VixDn< -20 AND Vix > 15 AND StspyF>StvixF AND StspyF>Ref(StspyF, -1);
cover:= VixUp > VUpMax AND StvixF > Ref(StvixF, -1) AND RC>.8;
strade:= If(short, 1, If(cover, 0, PREV));
strade = 0 AND Ref(strade=1, -1)

Short VIX(SVXY) System:

​​​​​​​ A SVXY Inverse VIX ETF daily long-short trading system for daily charts.

Suggested instrument: SVXY

Buy Order:

Code:
VUpMax:= 50; {min 40/max 60/step 5}
Vbars:= 6;  {min 5/max 10/step 1}
StBarsSlow:= 25; {min 25/max 30/step 5}
StBarsFast:= 10; {min 10/max 15/step 5}
vix:= Security("ONLINE:.VIX", C);
vixh:= Security("ONLINE:.VIX", H);
vixl:= Security("ONLINE:.VIX", L);
spy:= Security("ONLINE:SPY", C);
spyh:= Security("ONLINE:SPY", H);
spyl:= Security("ONLINE:SPY", L);
StVixF:= Mov((vix-LLV(vixl,StBarsFast))/(HHV(vixh, StBarsFast)-LLV(vixl, StBarsFast)+.0001)*100, 3, S);
StSpyF:= Mov((spy-LLV(spyl,StBarsFast))/(HHV(spyh, StBarsFast)-LLV(spyl, StBarsFast)+.0001)*100, 3, S);
StVixS:= Mov((vix-LLV(vixl,StBarsSlow))/(HHV(vixh, StBarsSlow)-LLV(vixl, StBarsSlow)+.0001)*100, 3, S);
StSpyS:= Mov((spy-LLV(spyl,StBarsSlow))/(HHV(spyh, StBarsSlow)-LLV(spyl, StBarsSlow)+.0001)*100, 3, S);
VixDn:= (vix/Ref(HHV(vix,vbars),-1)-1)*100; 
VixUp:= (vixh/Ref(LLV(vixl,vbars),-1)-1)*100;
RC:= Correl( vix, Cum(1), vbars-1, 0 );
Buy:= vix<= LLV(vix,3) AND VixUp < VUpMax AND VixDn< -20 AND Vix > 15 AND StspyF>StvixF AND StspyF>Ref(StspyF, -1);
sell:= VixUp > VUpMax AND StvixF > Ref(StvixF, -1) AND RC>.8;
ltrade:= If(buy, 1, If(sell, 0, PREV));
ltrade = 1 AND Ref(ltrade=0, -1)

Sell Order:

Code:
VUpMax:= 50; {min 40/max 60/step 5}
Vbars:= 6;  {min 5/max 10/step 1}
StBarsSlow:= 25; {min 25/max 30/step 5}
StBarsFast:= 10; {min 10/max 15/step 5}
vix:= Security("ONLINE:.VIX", C);
vixh:= Security("ONLINE:.VIX", H);
vixl:= Security("ONLINE:.VIX", L);
spy:= Security("ONLINE:SPY", C);
spyh:= Security("ONLINE:SPY", H);
spyl:= Security("ONLINE:SPY", L);
StVixF:= Mov((vix-LLV(vixl,StBarsFast))/(HHV(vixh, StBarsFast)-LLV(vixl, StBarsFast)+.0001)*100, 3, S);
StSpyF:= Mov((spy-LLV(spyl,StBarsFast))/(HHV(spyh, StBarsFast)-LLV(spyl, StBarsFast)+.0001)*100, 3, S);
StVixS:= Mov((vix-LLV(vixl,StBarsSlow))/(HHV(vixh, StBarsSlow)-LLV(vixl, StBarsSlow)+.0001)*100, 3, S);
StSpyS:= Mov((spy-LLV(spyl,StBarsSlow))/(HHV(spyh, StBarsSlow)-LLV(spyl, StBarsSlow)+.0001)*100, 3, S);
VixDn:= (vix/Ref(HHV(vix,vbars),-1)-1)*100; 
VixUp:= (vixh/Ref(LLV(vixl,vbars),-1)-1)*100;
RC:= Correl( vix, Cum(1), vbars-1, 0 );
Buy:= vix<= LLV(vix,3) AND VixUp < VUpMax AND VixDn< -20 AND Vix > 15 AND StspyF>StvixF AND StspyF>Ref(StspyF, -1);
sell:= VixUp > VUpMax AND StvixF > Ref(StvixF, -1) AND RC>.8;
ltrade:= If(buy, 1, If(sell, 0, PREV));
ltrade = 0 AND Ref(ltrade=1, -1)

Sell Short Order:

Code:
VUpMax:= 50; {min 40/max 60/step 5}
Vbars:= 6;  {min 5/max 10/step 1}
StBarsSlow:= 25; {min 25/max 30/step 5}
StBarsFast:= 10; {min 10/max 15/step 5}
vix:= Security("ONLINE:.VIX", C);
vixh:= Security("ONLINE:.VIX", H);
vixl:= Security("ONLINE:.VIX", L);
spy:= Security("ONLINE:SPY", C);
spyh:= Security("ONLINE:SPY", H);
spyl:= Security("ONLINE:SPY", L);
StVixF:= Mov((vix-LLV(vixl,StBarsFast))/(HHV(vixh, StBarsFast)-LLV(vixl, StBarsFast)+.0001)*100, 3, S);
StSpyF:= Mov((spy-LLV(spyl,StBarsFast))/(HHV(spyh, StBarsFast)-LLV(spyl, StBarsFast)+.0001)*100, 3, S);
StVixS:= Mov((vix-LLV(vixl,StBarsSlow))/(HHV(vixh, StBarsSlow)-LLV(vixl, StBarsSlow)+.0001)*100, 3, S);
StSpyS:= Mov((spy-LLV(spyl,StBarsSlow))/(HHV(spyh, StBarsSlow)-LLV(spyl, StBarsSlow)+.0001)*100, 3, S);
VixDn:= (vix/Ref(HHV(vix,vbars),-1)-1)*100; 
VixUp:= (vixh/Ref(LLV(vixl,vbars),-1)-1)*100;
RC:= Correl( vix, Cum(1), vbars-1, 0 );
short:= StvixS > StspyS AND StvixF > StspyF AND StvixF > Ref(StvixF, -1) AND VixUp > VUpMax AND RC > .8 AND RC>Ref(RC, -1);
cover:= StspyF > StvixF OR StvixF < Ref(StvixF,-1);
strade:= If(short, 1, If(cover, 0, PREV));
strade = 1 AND Ref(strade=0, -1)

Buy to Cover Order:

Code:
VUpMax:= 50; {min 40/max 60/step 5}
Vbars:= 6;  {min 5/max 10/step 1}
StBarsSlow:= 25; {min 25/max 30/step 5}
StBarsFast:= 10; {min 10/max 15/step 5}
vix:= Security("ONLINE:.VIX", C);
vixh:= Security("ONLINE:.VIX", H);
vixl:= Security("ONLINE:.VIX", L);
spy:= Security("ONLINE:SPY", C);
spyh:= Security("ONLINE:SPY", H);
spyl:= Security("ONLINE:SPY", L);
StVixF:= Mov((vix-LLV(vixl,StBarsFast))/(HHV(vixh, StBarsFast)-LLV(vixl, StBarsFast)+.0001)*100, 3, S);
StSpyF:= Mov((spy-LLV(spyl,StBarsFast))/(HHV(spyh, StBarsFast)-LLV(spyl, StBarsFast)+.0001)*100, 3, S);
StVixS:= Mov((vix-LLV(vixl,StBarsSlow))/(HHV(vixh, StBarsSlow)-LLV(vixl, StBarsSlow)+.0001)*100, 3, S);
StSpyS:= Mov((spy-LLV(spyl,StBarsSlow))/(HHV(spyh, StBarsSlow)-LLV(spyl, StBarsSlow)+.0001)*100, 3, S);
VixDn:= (vix/Ref(HHV(vix,vbars),-1)-1)*100; 
VixUp:= (vixh/Ref(LLV(vixl,vbars),-1)-1)*100;
RC:= Correl( vix, Cum(1), vbars-1, 0 );
short:= StvixS > StspyS AND StvixF > StspyF AND StvixF > Ref(StvixF, -1) AND VixUp > VUpMax AND RC > .8 AND RC>Ref(RC, -1);
cover:= StspyF > StvixF OR StvixF < Ref(StvixF,-1);
strade:= If(short, 1, If(cover, 0, PREV));
strade = 0 AND Ref(strade=1, -1)

Edited by user Thursday, November 10, 2022 7:57:29 PM(UTC)  | Reason: Not specified
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