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drshoe
11 paź 2016 13:26
VIX Term Roll Oscillator
TVC:VIX
VOLATILITY S&P 500
TVC
Opis
⋅
11 paź 2016 13:26
My implementtion of VIX term roll Oscillator according to the articles below
seekingalpha.com/article/1439801-vix-contango-oscillator-profitable-observations?page=2
vixcontango.wordpress.com/2015/04/27/introduction-to-vix-contango-oscillatorvco-and-vix-term-roll-oscillator-vro/
Hope it helps!
Daniel
VIX CBOE Volatility Index
UVXY
SVXY
XIV
VXX
TVIX
Volatility
contango
Komentarze
drshoe
⋅
1 gru 2017 20:06
please change the line 13 to VXV = security("INDEX:VIX3M","D",close)
syracusepro
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22 cze 2017 14:35
Do you have anything such as the Yates VXX Indicator? Thanks.
zenix
⋅
16 lip 2017 15:08
Thanks drshoe
JtotheA
⋅
11 paź 2016 13:43
good stuff!
drshoe
⋅
11 paź 2016 18:14
thx, this was a bit difficult to write. hope it helps
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