hi everybody,
i ask how to build the standard deviation bands of the
modified vix indicator as shonw in the S&C article..
unfortunaltely i m not able to attach the article here so that you could
read ... anyway if someone got the article and would help me,
i would like to built in metastock the standard deviation bands
of a 252 sma as shown in fig 7 of the article.
could anyone help me?
thank you
ps this is the code of the modified vix indicator
The interpretation for the Modified Volatility Index was taken from the
article "Modifying The Volatility Index", by S.
Jack Karczewski, in the April 1995 issue of TASC. The Volatility Index
(VIX) is the implied volatility of a group of
Standard & Poors 100 index options. It is updated by the CBOE.
This formula assumes you can get the VIX information downloaded from
some data vendor, such as Dial Data,
Telescan, or DBC Signal.
The custom formula you should create is the Modified VIX:
( ( ( P - Mov( P ,15 ,E ) ) / Mov( P ,15 ,E ) ) * ( 100 * 33 * 2 ) ) * (
Sqrt( 252 ) / Sqrt( 15 ) / C )
The steps to get the actual charts are:
For the Windows versions of MetaStock:
1. Open the chart of the OEX.
2. Open the chart of the VIX.
3. Drag the plot of the OEX into the chart of the VIX.
4. Plot the formula for the Modified VIX directly on top of the OEX
plot.
You now have a plot of the Modified VIX.
