vix spx 同时下跌的历史统计

zzhappy

one condition is spx drop more than 0.5%.
有趣的是， 历史上（从1990)共发生125次加上今天的一次。 第二天spx 共有61次下跌， 64次上涨。

当然这只是很粗的统计，随便看看。

Ticker	Date/Time	SPXChange	VIXChange	SPXNextday	SPXNextWeek	SPXNextMonth
^GSPC	7/18/2002	-2.78	-0.94	-3.99	-5.06	5.52
^GSPC	12/19/2000	-1.31	-1.95	-3.23	1.84	2.83
^GSPC	2/12/1993	-0.69	-2.5	-2.46	-2.15	1.54
^GSPC	5/18/2000	-0.74	-0.08	-2.15	-3.96	1.9
^GSPC	11/8/2002	-0.88	-2.89	-2.12	1.72	-0.31
^GSPC	8/2/1990	-1.15	-5.92	-1.92	-3.35	-9.32
^GSPC	8/7/1997	-0.96	-1.42	-1.89	-2.83	-2.33
^GSPC	11/6/1990	-0.95	-2.54	-1.83	1.98	5.87
^GSPC	5/21/1999	-0.64	-0.25	-1.81	-2.18	1.41
^GSPC	3/28/2003	-0.58	-0.76	-1.81	1.81	5.95
^GSPC	7/20/1990	-1.03	-18.75	-1.77	-2.3	-9.34
^GSPC	9/19/1990	-0.63	-3.37	-1.64	-3.7	-5.63
^GSPC	9/18/2001	-0.58	-7.44	-1.64	-2.01	6.27
^GSPC	12/7/2001	-0.76	-0.94	-1.61	-3.09	0.21
^GSPC	3/7/2008	-0.85	-0.22	-1.57	-0.41	2.5
^GSPC	12/13/2000	-0.82	-5.29	-1.42	-7.1	-3.05
^GSPC	4/24/2003	-0.83	-2.31	-1.4	0.54	2.24
^GSPC	7/9/2003	-0.56	-2.91	-1.37	-0.82	-3.51
^GSPC	9/26/1990	-1.05	-2.2	-1.36	2.11	2.47
^GSPC	2/8/2001	-0.63	-0.98	-1.35	-0.45	-7.44
^GSPC	2/11/2003	-0.82	-0.92	-1.28	1.95	-3.02
^GSPC	8/3/2001	-0.53	-1.01	-1.16	-2.02	-6.65
^GSPC	2/16/1996	-0.52	-4.94	-1.14	0.39	0.72
^GSPC	3/30/1999	-0.72	-3.56	-1.12	2.03	3.86
^GSPC	1/18/2008	-0.61	-4.71	-1.12	2.2	1.78
^GSPC	7/2/1993	-0.71	-1.59	-1	0.71	0.97
^GSPC	4/19/1990	-0.78	-0.94	-0.89	-1.54	4.84
^GSPC	11/7/2002	-2.34	-0.17	-0.88	0.18	1.06
^GSPC	4/19/1991	-1.11	-3.7	-0.85	-1.36	-3.07
^GSPC	7/19/1996	-0.76	-3.88	-0.78	-0.45	4.15
^GSPC	5/17/2000	-1.26	-1.5	-0.74	-3.39	2.14
^GSPC	2/14/1996	-0.75	-9.81	-0.65	0.5	-2.24
^GSPC	2/7/2001	-0.85	-1.43	-0.63	-1.87	-5.68
^GSPC	6/4/1993	-0.54	-5.29	-0.53	-0.63	-0.94
^GSPC	11/20/2001	-0.74	-1.41	-0.5	-1.24	0.6
^GSPC	2/22/1990	-0.6	-5.99	-0.48	2.17	3.07
^GSPC	11/1/1999	-0.65	-0.5	-0.47	1.7	2.57
^GSPC	10/4/1991	-0.84	-9.02	-0.46	0.05	2.64
^GSPC	10/20/1995	-0.54	-0.67	-0.41	-1.33	2.15
^GSPC	6/17/1991	-0.57	-3.1	-0.41	-2.43	0.37
^GSPC	7/12/2002	-0.65	-2.76	-0.38	-8.02	-1.38
^GSPC	1/4/2005	-1.18	-0.72	-0.36	-0.43	0.43
^GSPC	9/8/2000	-0.54	-5.2	-0.35	-1.93	-5.72
^GSPC	11/16/2000	-1.27	-4.39	-0.34	-2.23	-4.38
^GSPC	4/20/1993	-0.53	-1.01	-0.33	-1.6	-1.07
^GSPC	6/8/2000	-0.66	-2	-0.32	1.17	1.18
^GSPC	4/12/1994	-0.51	-1.16	-0.29	-1.13	-1.36
^GSPC	8/5/2005	-0.77	-0.32	-0.27	0.32	-0.68
^GSPC	10/24/1991	-0.75	-4.1	-0.23	1.92	-1.3
^GSPC	2/13/2001	-0.87	-2.57	-0.22	-4.83	-11.53
^GSPC	6/22/1999	-0.98	-0.51	-0.21	1.17	3.25
^GSPC	7/23/1991	-0.91	-1.93	-0.21	1.92	0
^GSPC	8/6/1999	-1.03	-1.54	-0.19	2.11	4.38
^GSPC	1/10/1992	-0.6	-2.76	-0.18	0.91	-0.97
^GSPC	6/27/2003	-0.98	-1.25	-0.18	2.89	2.08
^GSPC	2/26/1999	-0.54	-0.47	-0.18	3	3.59
^GSPC	3/26/2003	-0.55	-1.84	-0.16	1.26	4.77
^GSPC	3/13/2002	-1	-0.67	-0.09	-0.19	-4.37
^GSPC	12/31/1992	-0.71	-0.24	-0.08	-1.53	0.7
^GSPC	6/25/1990	-0.89	-13.48	-0.07	2.05	0.99
^GSPC	10/16/1990	-1.44	-0.6	-0.05	4.5	6.27
^GSPC	3/27/2008	-1.17	-0.77	0	0	0
^GSPC	10/22/1991	-0.56	-0.66	0.03	0.94	-2.17
^GSPC	11/15/1990	-1.07	-1.42	0.03	-0.61	3.09
^GSPC	12/17/2004	-0.75	-2.68	0.04	0.9	0.15
^GSPC	2/3/2006	-0.54	-2.08	0.08	0.23	1.13
^GSPC	1/23/1992	-0.76	-1.76	0.13	-0.8	-0.85
^GSPC	1/31/1992	-0.69	-0.52	0.18	0.56	0.9
^GSPC	8/9/1991	-0.57	-3.43	0.23	-0.4	0.37
^GSPC	6/19/1998	-0.52	-2.22	0.23	2.95	7.58
^GSPC	1/17/1990	-0.99	-0.08	0.23	-2.11	-1.6
^GSPC	11/20/1990	-1.28	-4.28	0.23	0.84	4.72
^GSPC	5/11/2001	-0.76	-1.95	0.26	3.71	0.7
^GSPC	11/4/1992	-0.67	-6.45	0.29	1.22	3.07
^GSPC	5/7/1991	-0.73	-2.63	0.31	-1.51	2.06
^GSPC	1/29/1992	-1.13	-0.28	0.31	0.85	0.86
^GSPC	6/21/2002	-1.73	-0.92	0.36	0.07	-17.11
^GSPC	1/11/2005	-0.61	-0.3	0.4	0.14	0.76
^GSPC	10/18/2001	-0.79	-0.37	0.45	2.93	6.89
^GSPC	9/23/1991	-0.52	-4.27	0.46	0.5	1.06
^GSPC	10/8/2003	-0.53	-1.2	0.48	1.25	1.74
^GSPC	1/31/2001	-0.57	-2.5	0.54	-1.83	-9.13
^GSPC	11/16/2004	-0.71	-1.29	0.55	0.13	2.58
^GSPC	6/9/1995	-0.84	-10.66	0.55	2.24	5.54
^GSPC	11/20/1995	-0.54	-0.97	0.56	1.6	2.53
^GSPC	3/2/2001	-0.57	-2.37	0.58	-0.06	-5.98
^GSPC	7/22/1993	-0.6	-2.4	0.58	1.28	2.68
^GSPC	8/26/2005	-0.6	-0.07	0.59	1.07	0.87
^GSPC	3/21/2006	-0.61	-1.46	0.6	-0.31	0.98
^GSPC	1/12/2001	-0.63	-5.01	0.61	1.84	0.89
^GSPC	6/26/1996	-0.62	-1.31	0.62	1.2	-5
^GSPC	4/8/1994	-0.85	-0.35	0.62	-0.2	-1.07
^GSPC	4/9/2003	-1.42	-0.07	0.64	1.6	6.27
^GSPC	5/15/2002	-0.57	-0.83	0.65	-0.46	-7.47
^GSPC	2/7/1992	-0.66	-1.51	0.65	0.34	-1.43
^GSPC	5/15/1992	-0.74	-4.52	0.66	0.95	0.05
^GSPC	11/18/1997	-0.85	-0.1	0.67	1.33	2.91
^GSPC	12/20/1995	-0.99	-7.87	0.75	1.34	0.97
^GSPC	4/8/1998	-0.72	-2.11	0.81	0.59	-0.59
^GSPC	6/29/2000	-0.86	-2.99	0.84	2.51	-1.56
^GSPC	11/13/1990	-0.57	-4.15	0.85	-0.74	3.94
^GSPC	4/5/1991	-1.17	-2.16	0.87	1.33	1.45
^GSPC	7/19/2000	-0.79	-0.51	0.91	-1.98	-0.14
^GSPC	2/12/1991	-0.84	-1.35	0.95	-0.1	2.48
^GSPC	9/26/2003	-0.64	-0.13	0.97	3.28	3.22
^GSPC	9/5/2003	-0.64	-2.97	0.99	-0.27	0.83
^GSPC	4/9/2002	-0.67	-0.72	1.12	0.94	-6.11
^GSPC	1/15/1998	-0.76	-1.28	1.12	0.71	7.3
^GSPC	9/26/2001	-0.52	-1.56	1.14	6.4	7.76
^GSPC	3/12/1991	-0.79	-10.95	1.21	-0.92	0.84
^GSPC	2/20/2003	-0.96	-0.48	1.31	0.02	4.61
^GSPC	2/26/1991	-1.23	-12.17	1.34	3.78	3.72
^GSPC	3/4/1997	-0.55	-1.31	1.38	2.54	-5.16
^GSPC	3/5/2002	-0.67	-0.99	1.43	1.67	-1.81
^GSPC	6/16/2000	-0.97	-0.88	1.45	-1.55	3.14
^GSPC	4/16/2003	-1.24	-0.18	1.53	3.53	7.59
^GSPC	7/25/2002	-0.57	-1.5	1.66	5.39	14.79
^GSPC	5/25/1990	-1.08	-2.19	1.68	3.55	-0.64
^GSPC	10/31/2002	-0.56	-0.29	1.69	1.87	5.71
^GSPC	7/24/2003	-0.71	-0.22	1.71	0.87	2.21
^GSPC	5/23/2000	-1.96	-0.5	1.8	3.34	7.66
^GSPC	3/26/1999	-0.56	-1.21	2.09	2.92	6.02
^GSPC	1/30/1998	-0.53	-0.84	2.1	3.21	6.88
^GSPC	10/9/2001	-0.54	-0.83	2.24	3.77	5.88
^GSPC	9/21/2001	-1.94	-2.53	3.75	7.49	11.15
^GSPC	8/13/2002	-2.22	-3.43	3.85	5.79	2.85

badcompany

what if adding the condition that VIX 》２５？

ppteam

thanks!! "61次下跌， 64次上涨" :(13): :(13): :(13): :(13):

zzhappy

原帖由 badcompany 于 2008-3-27 20:29 发表 what if adding the condition that VIX 》２５？

19 down vs 13 up

Ticker	Date/Time	SPXChange	VIXChange	SPXNextday	SPXNextWeek	SPXNextMonth
^GSPC	7/18/2002	-2.78	-0.94	-3.99	-5.06	5.52
^GSPC	12/19/2000	-1.31	-1.95	-3.23	1.84	2.83
^GSPC	11/8/2002	-0.88	-2.89	-2.12	1.72	-0.31
^GSPC	11/6/1990	-0.95	-2.54	-1.83	1.98	5.87
^GSPC	3/28/2003	-0.58	-0.76	-1.81	1.81	5.95
^GSPC	9/18/2001	-0.58	-7.44	-1.64	-2.01	6.27
^GSPC	9/19/1990	-0.63	-3.37	-1.64	-3.7	-5.63
^GSPC	3/7/2008	-0.85	-0.22	-1.57	-0.41	2.5
^GSPC	9/26/1990	-1.05	-2.2	-1.36	2.11	2.47
^GSPC	2/11/2003	-0.82	-0.92	-1.28	1.95	-3.02
^GSPC	1/18/2008	-0.61	-4.71	-1.12	2.2	1.78
^GSPC	11/7/2002	-2.34	-0.17	-0.88	0.18	1.06
^GSPC	7/12/2002	-0.65	-2.76	-0.38	-8.02	-1.38
^GSPC	11/16/2000	-1.27	-4.39	-0.34	-2.23	-4.38
^GSPC	8/6/1999	-1.03	-1.54	-0.19	2.11	4.38
^GSPC	2/26/1999	-0.54	-0.47	-0.18	3	3.59
^GSPC	3/26/2003	-0.55	-1.84	-0.16	1.26	4.77
^GSPC	10/16/1990	-1.44	-0.6	-0.05	4.5	6.27
^GSPC	3/27/2008	-1.17	-0.77	0	0	0
^GSPC	6/21/2002	-1.73	-0.92	0.36	0.07	-17.11
^GSPC	10/18/2001	-0.79	-0.37	0.45	2.93	6.89
^GSPC	3/2/2001	-0.57	-2.37	0.58	-0.06	-5.98
^GSPC	4/9/2003	-1.42	-0.07	0.64	1.6	6.27
^GSPC	11/18/1997	-0.85	-0.1	0.67	1.33	2.91
^GSPC	9/26/2001	-0.52	-1.56	1.14	6.4	7.76
^GSPC	2/20/2003	-0.96	-0.48	1.31	0.02	4.61
^GSPC	7/25/2002	-0.57	-1.5	1.66	5.39	14.79
^GSPC	10/31/2002	-0.56	-0.29	1.69	1.87	5.71
^GSPC	5/23/2000	-1.96	-0.5	1.8	3.34	7.66
^GSPC	10/9/2001	-0.54	-0.83	2.24	3.77	5.88
^GSPC	9/21/2001	-1.94	-2.53	3.75	7.49	11.15
^GSPC	8/13/2002	-2.22	-3.43	3.85	5.79	2.85

Cobra

应该是SPX drop more than 1.0。看看怎么样。你动作很快啊，这engine那弄得？自己整的？

badcompany

但是下个星期是7个跌25个涨

原帖由 zzhappy 于 2008-3-28 00:34 发表 19 down vs 13 up Ticker Date/Time SPXChange VIXChange SPXNextday SPXNextWeek SPXNextMonth ^GSPC 7/18/2002 -2.78 -0.94 -3.99 -5.06 ...

小炒妹

chongtian

自从去年没有year end rally之后，我就不看这种统计规律了！

xiaobailong

顶上来看看

Cobra

原帖由 xiaobailong 于 2008-3-28 16:27 发表 顶上来看看

 

瞧俺的，要顶就得往天上顶。

zzhappy

原帖由 Cobra 于 2008-3-27 20:38 发表 应该是SPX drop more than 1.0。看看怎么样。你动作很快啊，这engine那弄得？自己整的？

不好意思，昨天发完就睡觉去了，一直到现在才有空坐下来。我就是用的最简单的amibroker.
如果是spx drop more than 1.0, and vix > 25,  7 drops vs 5 up.

Ticker	Date/Time	SPXChange	VIXChange	SPXNextday	SPXNextWeek	SPXNextMonth
^GSPC	7/18/2002	-2.78	-0.94	-3.99	-5.06	5.52
^GSPC	12/19/2000	-1.31	-1.95	-3.23	1.84	2.83
^GSPC	9/26/1990	-1.05	-2.2	-1.36	2.11	2.47
^GSPC	11/7/2002	-2.34	-0.17	-0.88	0.18	1.06
^GSPC	3/27/2008	-1.17	-0.77
^GSPC	11/16/2000	-1.27	-4.39	-0.34	-2.23	-4.38
^GSPC	8/6/1999	-1.03	-1.54	-0.19	2.11	4.38
^GSPC	10/16/1990	-1.44	-0.6	-0.05	4.5	6.27
^GSPC	6/21/2002	-1.73	-0.92	0.36	0.07	-17.11
^GSPC	4/9/2003	-1.42	-0.07	0.64	1.6	6.27
^GSPC	5/23/2000	-1.96	-0.5	1.8	3.34	7.66
^GSPC	9/21/2001	-1.94	-2.53	3.75	7.49	11.15
^GSPC	8/13/2002	-2.22	-3.43	3.85	5.79	2.85

天真的冷酷

太棒了！！！

天真的冷酷

是不是从这里出来：http://finance.yahoo.com/q/ta?s= ... &q=l&p=&a=&c=%5EVIX？

xiaobailong

原帖由 天真的冷酷 于 2008-12-18 17:53 发表 太棒了！！！

好像没有什么统计规律加以利用啊？

biorjin

He downloaded the data from Yahoo finance.

原帖由 天真的冷酷 于 2008-12-18 17:58 发表 是不是从这里出来：http://finance.yahoo.com/q/ta?s=%5EGSPC&t=my&l=on&z=m&q=l&p=&a=&c=%5EVIX？

\

天真的冷酷

让我先看一下。。。

biorjin

---------------If you looked at next week and next month, it is not bad 11up 2 down for both of them

 

不好意思，昨天发完就睡觉去了，一直到现在才有空坐下来。我就是用的最简单的amibroker.
如果是spx drop more than 1.0, and vix > 25,  7 drops vs 5 up.

Ticker	Date/Time	SPXChange	VIXChange	SPXNextday	SPXNextWeek	SPXNextMonth
^GSPC	7/18/2002	-2.78	-0.94	-3.99	-5.06	5.52
^GSPC	12/19/2000	-1.31	-1.95	-3.23	1.84	2.83
^GSPC	9/26/1990	-1.05	-2.2	-1.36	2.11	2.47
^GSPC	11/7/2002	-2.34	-0.17	-0.88	0.18	1.06
^GSPC	3/27/2008	-1.17	-0.77
^GSPC	11/16/2000	-1.27	-4.39	-0.34	-2.23	-4.38
^GSPC	8/6/1999	-1.03	-1.54	-0.19	2.11	4.38
^GSPC	10/16/1990	-1.44	-0.6	-0.05	4.5	6.27
^GSPC	6/21/2002	-1.73	-0.92	0.36	0.07	-17.11
^GSPC	4/9/2003	-1.42	-0.07	0.64	1.6	6.27
^GSPC	5/23/2000	-1.96	-0.5	1.8	3.34	7.66
^GSPC	9/21/2001	-1.94	-2.53	3.75	7.49	11.15
^GSPC	8/13/2002	-2.22	-3.43	3.85	5.79	2.85

[ 本帖最后由 biorjin 于 2008-12-18 18:06 编辑 ]

stone

三月分到12月份的资料怎么样?

firefly8

宝马眼尖! 也谢 zzhappy的数据！！ 送 giant begonia： [ 本帖最后由 firefly8 于 2008-12-18 18:32 编辑 ]

天真的冷酷

问一个问题：SPXChange是指 the difference between open and close in the same day?