Post #197 by Pandrea on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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First post-port post!

Does anyone recall an old (probably from the mid-late 2000's) strategy, involving shorting SPX (via USPIX) when the normalized VIX is < 1 and the SPX's 200 day SMA is decreasing?

The means of normalizing the VIX was to divide the Opening Price by the 12-Month Average of the Closing Price, at least according to the notes I took. Reality check - Does that make sense or should it be the other way around?

Thanks in advance, P (previously known as Them)

PS - Many thanks to Manlobbi for this forum!

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I searched VIX and USPIX. See is this thread is what your are looking for..

http://datahelper.com/mi/search.phtml?thread=21135...

This is an earlier post by Drbob..

http://datahelper.com/mi/search.phtml?nofool=youBe...

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That is indeed the thread I was looking for - thank you kindly, Ironzi!
And here is the message in that thread that goes into how to normalize the VIX values:
http://datahelper.com/mi/search.phtml?nofool=youBe...

Thank you again - I didn't realize it was from as far back as 2003.

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