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When the VIX has closed greater than 10% above its 10MA, it has been a good ST buy setup. There have been 215 occurrences since 219. In 164 cases(76.28%), the S&P has closed higher within 3 days. Focusing more on recent history, the table below shows all the occurrences since June 2008. As you can see the signal has been reliable even through the recent bear market. There were 20 occurrences. In 17cases (or 85% of the time), the market closed higher within three days. In the majority of the cases, the higher close came within 1 day.
(Note: Column '3Day+' indicates the number of days it took to close higher than the trigger date.)
(Note: Column '3Day+' indicates the number of days it took to close higher than the trigger date.)
When we go one step further and look for instances where the VIX was trading more than 10% above its 10MA AND closed above its upper BB, we see that there were only 9 instances throughout since June of last year, and in every case, the market closed up within 3 days. In fact , in 8 instances, it closed higher the very next day. One note however, in most of the prior cases, the VIX had closed significantly higher than 10%.
Ticker Date/Time Close vix maVix dev 3Day+ %Chg N1 %Chg N2 %Chg N3 ^GSPC 6/6/2008 1,360.68 23.56 19.73 19.42 1.00 0.08 -0.16 -1.85 ^GSPC 7/2/2008 1,261.52 25.92 23.15 11.95 1.00 0.11 -0.73 0.97 ^GSPC 7/11/2008 1,239.49 27.49 24.90 10.41 3.00 -0.90 -1.98 0.47 ^GSPC 9/4/2008 1,236.83 24.03 20.74 15.87 1.00 0.44 2.50 -1.00 ^GSPC 9/9/2008 1,224.51 25.47 21.90 16.33 1.00 0.61 2.00 2.22 ^GSPC 9/15/2008 1,192.70 31.70 24.49 29.45 1.00 1.75 -3.04 1.16 ^GSPC 9/29/2008 1,106.42 46.72 35.07 33.21 1.00 5.42 4.94 0.71 ^GSPC 10/2/2008 1,114.28 45.26 37.56 20.51 0.00 -1.35 -5.15 -10.59 ^GSPC 10/15/2008 907.84 69.25 56.69 22.16 1.00 4.25 3.60 8.54 ^GSPC 10/22/2008 896.78 69.65 62.69 11.10 1.00 1.26 -2.23 -5.34 ^GSPC 10/24/2008 876.77 79.13 64.00 23.65 2.00 -3.18 7.27 6.08 ^GSPC 11/12/2008 852.30 66.46 58.64 13.33 1.00 6.92 2.46 -0.18 ^GSPC 11/14/2008 873.29 66.31 58.98 12.43 0.00 -2.58 -1.62 -7.64 ^GSPC 11/19/2008 806.58 74.26 64.49 15.16 3.00 -6.71 -0.81 5.61 ^GSPC 1/14/2009 842.62 49.14 42.39 15.94 1.00 0.13 0.89 -4.44 ^GSPC 1/20/2009 805.22 56.65 45.93 23.33 1.00 4.35 2.77 3.32 ^GSPC 2/17/2009 789.17 48.66 44.17 10.17 0.00 -0.10 -1.30 -2.42 ^GSPC 2/23/2009 743.33 52.62 46.51 13.13 1.00 4.01 2.90 1.28 ^GSPC 6/16/2009 911.97 32.68 29.71 10.01 2.00 -0.14 0.70 1.02 ^GSPC 7/7/2009 881.03 30.85 27.76 11.12 2.00 -0.17 0.19 -0.22 ^GSPC 8/17/2009 979.73 27.89 25.35 10.01 1.00 1.01 1.01 1.01
Finally, when the VIX has closed up more than 10% in a single day, it has often led to higher close within the next 3 days. There have been 27 occurrences since June of last year. In 22 cases (or 81.5% of the time) the S&P was trading higher within 3 days.
Ticker Date/Time Close vix maVix dev 3Day+ %Chg N1 %Chg N2 %Chg N3 ^GSPC 6/6/2008 1,360.68 23.56 19.73 19.42 1.00 0.08 -0.16 -1.85 ^GSPC 7/2/2008 1,261.52 25.92 23.15 11.95 1.00 0.11 -0.73 0.97 ^GSPC 7/11/2008 1,239.49 27.49 24.90 10.41 3.00 -0.90 -1.98 0.47 ^GSPC 9/4/2008 1,236.83 24.03 20.74 15.87 1.00 0.44 2.50 -1.00 ^GSPC 9/9/2008 1,224.51 25.47 21.90 16.33 1.00 0.61 2.00 2.22 ^GSPC 9/15/2008 1,192.70 31.70 24.49 29.45 1.00 1.75 -3.04 1.16 ^GSPC 9/29/2008 1,106.42 46.72 35.07 33.21 1.00 5.42 4.94 0.71 ^GSPC 1/20/2009 805.22 56.65 45.93 23.33 1.00 4.35 2.77 3.32 ^GSPC 2/23/2009 743.33 52.62 46.51 13.13 1.00 4.01 2.90 1.28 ^GSPC 8/17/2009 979.73 27.89 25.35 10.01 1.00 1.01 1.01 1.01
Ticker Date/Time Close vix pchg 3Day+ Chg N1 Chg N2 Chg N3 ^GSPC 6/2/2008 1,385.67 11.22 3.00 -0.58 -0.61 1.33 ^GSPC 6/6/2008 1,360.68 26.46 1.00 0.08 -0.16 -1.85 ^GSPC 6/26/2008 1,283.15 13.20 3.00 -0.37 -0.25 0.14 ^GSPC 8/25/2008 1,266.84 11.48 1.00 0.37 1.17 2.67 ^GSPC 9/4/2008 1,236.83 12.13 1.00 0.44 2.50 -1.00 ^GSPC 9/9/2008 1,224.51 12.50 1.00 0.61 2.00 2.22 ^GSPC 9/15/2008 1,192.70 23.54 1.00 1.75 -3.04 1.16 ^GSPC 9/17/2008 1,156.39 19.54 1.00 4.33 8.53 4.38 ^GSPC 9/29/2008 1,106.42 34.48 1.00 5.42 4.94 0.71 ^GSPC 10/2/2008 1,114.28 13.69 0.00 -1.35 -5.15 -10.59 ^GSPC 10/6/2008 1,056.89 15.31 0.00 -5.74 -6.81 -13.91 ^GSPC 10/9/2008 909.92 11.11 2.00 -1.18 10.27 9.68 ^GSPC 10/15/2008 907.84 25.61 1.00 4.25 3.60 8.54 ^GSPC 10/22/2008 896.78 31.14 1.00 1.26 -2.23 -5.34 ^GSPC 10/24/2008 876.77 16.71 2.00 -3.18 7.27 6.08 ^GSPC 11/5/2008 952.77 14.31 0.00 -5.03 -2.29 -3.52 ^GSPC 11/6/2008 904.88 16.72 1.00 2.89 1.58 -0.66 ^GSPC 11/14/2008 873.29 10.83 0.00 -2.58 -1.62 -7.64 ^GSPC 12/1/2008 816.21 23.93 1.00 3.99 6.68 3.55 ^GSPC 1/7/2009 906.65 12.53 1.00 0.34 -1.80 -4.01 ^GSPC 1/14/2009 842.62 13.57 1.00 0.13 0.89 -4.44 ^GSPC 1/20/2009 805.22 22.86 1.00 4.35 2.77 3.32 ^GSPC 2/17/2009 789.17 13.35 0.00 -0.10 -1.30 -2.42 ^GSPC 3/2/2009 700.82 13.59 2.00 -0.64 1.72 -2.61 ^GSPC 3/30/2009 787.53 10.96 1.00 1.31 2.99 5.95 ^GSPC 4/20/2009 832.39 15.44 1.00 2.13 1.34 2.35 ^GSPC 6/22/2009 893.04 11.36 1.00 0.23 0.88 3.05 ^GSPC 8/17/2009 979.73 14.92 0.00 0.00 0.00 0.0
3 comments:
Hi, thanks to drop by my blog. I like your info but looks like the back test may not be correct: I just picked 7/14/2009 and 7/17/2009, VIX at those times was not above MA10 10% at all. Check the chart, you'll know what I'm talking about.
ahhh...i see what you are referring to. i am using the absolute deviation, which is returning both a positive and negative 10% deviation. the results with that'error' is actually a bit suprising - as it indicates negative 10% deviation tend to be ST bullish as well. hmmm...
Thanks again Cobra! I have corrected this. Only the first table needed adjustment, since the criteria in the single table that filtered for closes above the upper BB effectively limited the results to positive VIX moves.
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