Signal by hollow VIX ticker at bottom

silicon_beaver · 发表于 2011-12-4 12:13 AM

本帖最后由 silicon_beaver 于 2011-12-3 21:38 编辑

A reversal is pending at 81% chance. Good for bear. Please read the statistical analysis below.

Friday (12/02/2011), VIX closed a hollow candlestick at low.
My interest:
If VIX closed a hollow ticker at bottom, what next day SPX goes? At what chance?

I calculated the historical date using yahoo finance web (VIX from Jan 02 1990).

Conclusion: SPX next day goes red with 81.25% chance, if VIX closed a hollow ticker at bottom.

Calculation result:
Total 5525 trade days since VIX introduced on Jan 02 1990.
Hollow VIX ticker at bottom happened 32 times. 6 times (18.75%), next went green; 26 times (81.25%), next day red.
Most recent two events: 11/11/2011 and 09/27/2011. Please verify the SPX next day.

My quantitative analysis series:

1. 是否 higher chance to bounce if more days in down?
2. Close of Day of VIX vs. SPX
3. 过去几年中，SPX在200天均线下面的时间。

dsp · 发表于 2011-12-4 12:16 AM

You are on track to become a little Cobra.

quickcow · 发表于 2011-12-4 01:13 AM

很好。理工科的吧。。。

mlif · 发表于 2011-12-4 01:14 AM

Good!

WKN · 发表于 2011-12-4 02:57 AM

jdad4 · 发表于 2011-12-4 04:36 AM

NYQ · 发表于 2011-12-4 08:44 AM

henggma · 发表于 2011-12-4 10:07 AM

silicon_beaver · 发表于 2011-12-4 12:34 PM

本帖最后由 silicon_beaver 于 2011-12-4 10:29 编辑

"Calculation result:
Hollow VIX ticker at bottom happened 32 times. 6 times (18.75%), next went green; 26 times (81.25%), next day red.

Further more, if consider a separate by VIX=30
If VIX >= 30, 0 up. all 5 times next day red.
If VIX < 30, 6 times, next went green; 21 times, next day red.

In reverse case, Black VIX Ticker at Top
Black VIX Ticker at Top, 86.14% chance to green next day; 13.86% chance to red.

contr · 发表于 2011-12-4 12:40 PM

silicon_beaver 发表于 2011-12-4 12:34
"Calculation result:
Hollow VIX ticker at bottom happened 32 times. 6 times (18.75%), next went gre ...

how is bottom defined? A new low?

天地 · 发表于 2011-12-4 12:50 PM

silicon_beaver · 发表于 2011-12-4 01:07 PM

contr 发表于 2011-12-4 09:40
how is bottom defined? A new low?

In my calculation, it must be a lower point between the left and right sides.
(In viewpoint of physics, it must be a "stable" point).

Ed02 · 发表于 2011-12-4 01:44 PM

spo · 发表于 2011-12-4 02:49 PM

VIX leads！

胡同儿串子 · 发表于 2011-12-4 03:21 PM

回复 contr 的帖子

I'm curious as well, and thank LZ so much for sharing

hunting · 发表于 2011-12-4 03:24 PM

ht2010 · 发表于 2011-12-4 04:41 PM

美眉妹 · 发表于 2011-12-4 05:50 PM

sunnysunny · 发表于 2011-12-4 05:51 PM

cat2011 · 发表于 2011-12-4 08:34 PM

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[数理预测] Signal by hollow VIX ticker at bottom

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