Assessing Market Action With Indicators And History
Tuesday, October 8, 2013
VIX Spikes To New Highs
It is notable that the VIX spiked up 16% on Monday and closed at the highest level since June. In the past when it has closed at a high level on a strong move there has been a tendency for the SPX to bounce over the next few days. This can be seen in the study below from the 5/15/12 blog. (Stats are updated.)
The numbers appear compelling. Below is a profit curve using a 2-day hold.
This study has been persistently bullish for a long time and certainly appears worth consideration.
In this blog I will be examining market action and quantifying my findings. Using sentiment, breadth, price and volume indicators - both standard and customized - I will try and uncover short-term edges which could be taken advantage of by market participants. I will frequently add opinion to these studies and may sometimes post opinions without quantifiable research behind them.
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I have traded professionally since 2001. From January 2003 through February 2007 my bi-weekly column "Rob Hanna's Putting It All Together" appeared on TradingMarkets.com. I have been conducting quantitative research and designing trading systems - mostly focused on short-term edges since 2004.