- ago
Hi VK,
Could you share the VIX filter that you mentioned. I'm not sure I understand how it was implemented.
Thanks.
Slick
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vk8
 ( 53.30% )
- ago
#1
I get back to you later.
1
- ago
#2
About time... ‘50 Cent’ VIX Trader Returns as Volatility Hedging Back in Vogue

https://www.bloomberg.com/news/articles/2023-02-15/-50-cent-vix-trader-returns-as-volatility-hedging-back-in-vogue
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vk8
 ( 53.30% )
- ago
#3
I was using the RSI(5) of the VIX. If this RSI is below 50 then one entry condition is fulfilled.
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vk8
 ( 53.30% )
- ago
#4
BTW, you can download the historical data for the VIX via the WL Extension here:
https://www.wealth-lab.com/extension/detail/DataExtensions.
It is free for WL Premium users:
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Best Answer
- ago
#5
Thank you very much VK...
Cheers
0
- ago
#6
I'm sorry, VK, but, which block does one use to employ the ^VIX filter?
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Glitch8
 ( 7.81% )
- ago
#7
It’s depicted in Post #3
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Cone8
 ( 24.56% )
- ago
#8
Yes, but that rule doesn't use the Indicator Symbol qualifier or the SymbolInd indicator.

So how did you create that rule? I want to know too!
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Glitch8
 ( 7.81% )
- ago
#9
It's using the SymbolInd Indicator to apply the RSI to the VIX symbol.
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Cone8
 ( 24.56% )
- ago
#10
Like I said, it appears that it's not using that because if it were the condition text would be SymbolInd([RSI(Close,5)],"^VIX") is less than 50.

Maybe the difference is saving, closing, and reopening the script.... let's see...

... nope
0
- ago
#11
Funny: a couple of days, when I first saw that screenshot, I spent some time breaking my head trying to arrive at that same entry condition. I know of at least 3 different ways of implementing that idea, but I could not find any that would result in the same rule as depicted. I thought it must be something so trivial, that I was even embarrassed to ask... ;-)

I see it's not the case. Maybe the screenshot was taken too long ago, when the condition was displayed in a different way than now.
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Glitch8
 ( 7.81% )
- ago
#12
SymbolInd used to produce that description, I'll check and see why it is no longer doing so.
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Glitch8
 ( 7.81% )
- ago
#13
There is some short circuit coding in the Transformers now that are preventing the assigning of the description in you BB Designer, I can tweak it so the proper descriptions are displayed again.
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vk8
 ( 53.30% )
- ago
#14
There are a few things to consider:

In WL you have at least two ways to get the VIX data.
1. One is via the CBOE data provider. The symbol here is simply "VIX".
2. When you use Yahoo, it will be ^VIX

Now you also have two ways to get the RSI of the VIX. I attach the screenshots here.

and the second:


Both do the same, there is a slight difference in the result because of how WL is running the two ways internal.

I hope this helps.
2
- ago
#15
Thank you very much vk!

Those are exactly 2 of the ways that I also found to implement that idea. Was just wondering if the implementation shown in the screenshot was an alternative way that I could not duplicate.
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vk8
 ( 53.30% )
- ago
#16
My reply was always late because I was trying to figure out how I did. Now we know it looks different because of some slight change that we made.
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