How to create VIX and TRIN
Author: ayc868
Creation Date: 7/22/2008 1:19 AM
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ayc868

#1

7/22/2008 1:19 AM


I have following codes
CODE:
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Eugene

#2

7/22/2008 1:58 AM

1. SetPrimarySeries = SetContext

2. SMASeries = SMA.Series

3. SubtractSeries = "-" e.g. Close - maVIX

4. DivideSeries = "/" e.g. DeltaVIX / ...

5. StdDevSeries = StdDev.Series

6. RestorePrimarySeries = RestoreContext
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Eugene

#3

7/22/2008 2:50 AM

In other words:

CODE:
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Another way to calculate VIX:

CODE:
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Eugene

#4

5/4/2019 5:42 AM

More things VIX:

1. CBOE static data provider - various Volatility indices (VIX) for WLP/D customers, no subscription required
2. Free COT data provider - VIX Futures

Trading Strategies using the VIX data:

TASC 2012-12 | Using VIX To Forecast The S&P 500 (Gardner)
ActiveTrader 2010-10 | Market-neutral VIX-based pair strategy
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