2012 Dec: Using VIX To Forecast The S&P 500 by Trent Gardner

[eSignal]

File Name: VIX_TimingSystem.efs

Description:
Using VIX To Forecast The S&P 500 by Trent Gardner

Formula Parameters:

VIX_TimingSystem.efs
Long Position Color lime
Short Position Color red
SMA Period 50
Days Limit 11

Notes:
The related article is copyrighted material. If you are not a subscriber
of Stocks & Commodities, please visit www.traders.com.

Download File:
VIX_TimingSystem.efs

VIX_TimingSystem.efs


EFS Code:

/*********************************
Provided By:  
eSignal (Copyright c eSignal), a division of Interactive Data 
Corporation. 2012. All rights reserved. This sample eSignal 
Formula Script (EFS) is for educational purposes only and may be 
modified and saved under a new file name.  eSignal is not responsible
for the functionality once modified.  eSignal reserves the right 
to modify and overwrite this EFS file with each new release.

Description:        
Using VIX To Forecast The S&P 500 by Trent Gardner

Version:            1.00  12/10/2012

Formula Parameters:                     Default:
Long Position Color                     lime
Short Position Color                    red
SMA Period                              50
Days Limit                              11

Notes:
The related article is copyrighted material. If you are not a subscriber
of Stocks & Commodities, please visit www.traders.com.

**********************************/

var fpArray = new Array();

function preMain()
{   
    setStudyTitle("VIX_TimingSystem");
    setIntervalsBackfill(true);    
    setPriceStudy(true);

    var x=0;
    
    fpArray[x] = new FunctionParameter("gBuyColor", FunctionParameter.COLOR);
    with(fpArray[x++])
    {
        setName("Long Position Color");    
        setDefault(Color.lime);
    } 
    
    fpArray[x] = new FunctionParameter("gSellColor", FunctionParameter.COLOR);
    with(fpArray[x++])
    {
        setName("Short Position Color");    
        setDefault(Color.red);
    } 

    fpArray[x] = new FunctionParameter("gSMAPeriod", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
        setName("SMA Period");    
        setLowerLimit(1);
        setDefault(50);
    } 

    fpArray[x] = new FunctionParameter("gDaysLimit", FunctionParameter.NUMBER);
    with(fpArray[x++])
    {
        setName("Days Limit");    
        setLowerLimit(1);
        setDefault(11);
    } 
}

var bInit = false;
var bVersion = null;

var xLow = null;
var xSMA = null;
var xSMA50 = null;

function main(gBuyColor,gSellColor,gSMAPeriod,gDaysLimit)
{
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return; 
    
    if(!bInit)
    {
        xLow = low(sym("$VIX"));        
        xSMA = sma(gSMAPeriod,xLow);     
        
        xSMA50 = sma(gSMAPeriod);             
        
        bInit = true;
    }
    
    var vLow   = xLow.getValue(-gDaysLimit);
    var vSMA   = xSMA.getValue(-gDaysLimit);   
    var vSMA50 = xSMA50.getValue(-gDaysLimit);  
    
    if ((vLow == null) || (vSMA == null) || (vSMA50 == null)) 
        return;
    
    var cntUp = 0;
    var cntDown = 0;
    
    for (i=-gDaysLimit; i<0; i++)
    {
        if (xLow.getValue(i)>xSMA.getValue(i)) cntUp++;
        if (xLow.getValue(i)<xSMA.getValue(i)) cntDown++;
    }
    

    // Back Testing formulas are not for real time analysis.
    // Therefore, prevent processing and exit at bar 0.
    if (getCurrentBarIndex() != 0) 
    {       
            var bLStrategy = Strategy.isLong();            
            
            if (!bLStrategy)
            {
                if (cntDown>=gDaysLimit)
                {
                   Strategy.doLong("Enter Long", Strategy.MARKET, Strategy.THISBAR);        
                   drawTextRelative(0, BelowBar1, "Long", Color.black, gBuyColor, Text.PRESET, null, null);                                   
                }           
            }            
            else
            {
                if (cntUp>=gDaysLimit)
                {
                    Strategy.doShort("Enter Short", Strategy.MARKET, Strategy.THISBAR);  
                    drawTextRelative(0, AboveBar1, "Short", Color.black, gSellColor, Text.PRESET, null, null);       
                }        
            }     
    }
   
    return xSMA50.getValue(0);        
}

function verify() {
    var b = false;
    if (getBuildNumber() < 779) {
        drawTextAbsolute(5, 35, "This study requires version 8.0 or later.", 
        Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
        null, 13, "error");
        drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=http://www.esignal.com/download/default.asp", 
        Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
        null, 13, "upgrade");
        return b;
    } else {
        b = true;
    }
    return b;
}