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Thread: VIX - starting point

  1. #1

    Default VIX - starting point

    I'm uploading this single chart (without a data sheet) with the VIX and SMA averages along with I fund. I think this chart shows in a glance how significant the VIX is. Data will follow once I figure out how to streamline it a bit.

    Apologies that it is in PDF format. I couldn't get the clarity it needs within the constraints of TSP Talk file upload size requirements.

    I'll work on this. I'm sure there must be a way but for now, I think you will find it worth the time it takes for Acrobat reader to load on your computer when you click on the attachment.

    More to follow.

    (Also, apologies to those who have downloaded this from another thread here on TSP talk - I've shown this before but I think it is so pertinent here that it is worth repeating.)


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  3. #2

    Default Re: VIX - starting point

    First thing I must warn is that you shouldn't believe everything you read on this forum without checking (at least you shouldn't believe what I say LOL.)

    Because I wanted to repost the chart showing Fund results if following VIX strategy, I redid the data and turns out I made an error in the Fund prices.

    I'm uploading a new chart that shows that my VIX strategy taken alone without any other strategy doesn't do better than if you would have held the I Fund for the entire year. (I've only included I fund because of size restrictions on the attachment.)

    In the data sheet attached, it shows I fund results since January at 21.6% (see bottom row) if you would have held the Ifund long except for those periods when the VIX went above it's 200 day average. I fund results holding long since January without any break, at least according to tspmoney's website at http://www.tspmoney.com/prev/index(2).php shows 23.8%

    But I think the point is still well taken about the VIX, if you look at the chart. The VIX is VERY important if you want to avoid following the market DOWN and then back up no matter what (and if you accompany this strategy with a better strategy to use the rest of the time rather than just holding long.)

    Guess that is what this forum is for, evaluating whether an indicator is worth using or not. Your choice. But for example today, because of the chart, I have a pretty good idea that the major pullback everyone is expecting will not happen tomorrow because of the lower right hand corner, too far down below the 200 day VIX for right now IMO.

    Also, still need to evaluate this for a longer time period.

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  5. #3

    Default Re: VIX - starting point

    Nice work ayla. Do you need a specific file type size to be increased?

    Tom

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  7. #4

    Join Date
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    Default Re: VIX - starting point

    Any chance of getting a charts section created on TSP talk? I am a bit "market technically challenged" and would benefit greatly from looking at charts as they come out, be it daily, weekly, monthly, and a consolidated area would make it quicker and easier to do the reasearch.

    Thanks for the VIX info, it has taken me to another level of understanding.

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  9. #5

    Default Re: VIX - starting point

    erichschutte -
    Did you mean here on the message board, or another section of the site?

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  11. #6

    Join Date
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    Default Re: VIX - starting point

    Wherever it makes most sense to post charts... I am too new to know. I see the TA TOOLS thread has just started, and perhaps a subthread there with the charts would be a logical consolidation point. JMHO

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  13. #7

    Default Re: VIX - starting point

    In case anyone is still following...

    With the 2006 chart I posted earlier, I commented that I had added a one day delay to make the results more realistic.

    (specifically: See the "if" statement for the "%results" that test whether VIX price is less than 200 day average. The "if" statement tests elements from the previous day.) This delay was intended to correspond (somewhat) to the delay we have to endure for the IFT transfer to take effect.

    Looks like this one little day makes a huge difference. Unfortunately, I still see it as needing to be included.

    Bottom line - I can only conclude that the VIX 200 crossover is a helpful trend in predicting pullbacks. I need to get my data in better shape if I ever try to make further predictions, will be working on that...

    FYI - VIX is up today by over 11% - That's a LOT.

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  15. #8

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    Question Re: VIX - starting point

    Is the fact the VIX is up 11% positive or cautionary? (Still trying to figure things out).

    Thanks - Dell

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  17. #9

    Default Re: VIX - starting point

    From what I can tell, a VIX peak may or may not mean trouble is ahead. How do you like that for being 'wishy washy"? it seems to be often followed by a drop in the TSP funds - though not always.

    But I think the main thing is that the 20 day VIX average is usually above the 50 day VIX average before any downturn occurs, that seems to be the usual pattern from what I can tell.

    I think I will "go out on a limb" and predict that this time around, any downturn will not be very serious. I would guess it will be a 50 cent drop (not "percent") or something like that in the I fund probably (translated to the other funds as well), something like that anyway.

    Reason I say that is because it looks like there are minor VIX peaks between every major VIX peak. We had a major VIX peak in June and seems to me like the next VIX peak event should be "minor" if it follows a pattern of other VIX peaks and valleys this year. (Big "IF"). That means any drop in the market immediately following the "minor peak" will likely be fairly minor.

    Still looking ..

    I'll upload some data tomorrow. Gotta check it thoroughly first...
    Last edited by ayla; 12-08-2006 at 01:08 AM.


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  19. #10

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    Default Re: VIX - starting point

    Thank you. Seems your VIX data is in concert with the "rolling corrections" Birchtree has discussed. Santa rally intact, softlanding talk again, dollar falling, FOMC next week, oil is getting squirrely... life is good.

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  21. #11

    Default Re: VIX - starting point

    Very interesting last couple of days. The VIX is definitely forming some sort of "peak". Can't guarantee that it isn't ominous but I'm thinking it is going to be a 'minor" peak like what formed on January 20, 2006. That would mean any pullback is going to be relatively minor.

    When/if the VIX crosses above the 200 day average, I'm pretty sure at that point that I will be moving my funds to the "parking lot" (i.e. the G Fund probably) until signs that the "peak" is over. What those signs are, I'm still trying to learn.

    The 20 day average (SMA) is still not above the 50 day average. That has been known to be an important milestone before the VIX data really reflects that the market may be in trouble.

    I hate to keep reminding people of how new I am at this but in case anyone new to the forum is reading this, I want them to know that I'm rather inexperienced with predicting market action (and my returns this year aren't that great but I didn't know this stuff until only recently. oh well.) And I have had some difficulty pulling this data out of all the other data I have. I'm still learning Excel as well...

    but that said, this data chart IS VERY interesting - it will be obvious to you just from glancing that something is going on - in particular, look at the spikes forming in the bottom right hand corner.

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  23. #12

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    Default Re: VIX - starting point

    just posted this in Fab's talk thread with a little more text there, from decisionpoint.com:

    "Raw VIX numbers are of limited value. The VIX indicator is most useful when used in combination with some type of overlay, and preferably one that employs channels or bands. Some technicians use Bollinger Bands for this purpose, others use a short term (3 months or so) linear regression channel or percent bands. When used in this fashion, it is the VIX position within the channel that's important, rather than the raw number reading."

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