Signal by hollow VIX ticker at bottom

silicon_beaver

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

You are on track to become a little Cobra.

quickcow

很好。理工科的吧。。。

mlif

Good!

WKN

jdad4

NYQ

henggma

silicon_beaver

"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

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

silicon_beaver

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

spo

VIX leads！

胡同儿串子

回复 contr 的帖子

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

hunting

ht2010

美眉妹

sunnysunny

cat2011