Simple Nifty Trading System Using VIX Trading Strategy


How Can We Begin VIX Trading?
Earlier I read a piece of writing on VIX trading within the December 2012 issue of Traders Magazine. Can the volatility index (INDIAVIX) be used to foretell the Nifty future? New concepts on vix trading have arisen in technical literature that recommend that combining technical analysis with the INDIAVIX may end up in a predictive adaptation so one can beat the buy & hold of the Nifty future. James Kozyra and Camillo Lento examined 9 trading ideas in S&P 500 and located that eight of the 9 produced sure outcomes.

The INDIAVIX is incessantly known as the benchmark index for National Stock Exchange. It represents the implied volatility within the stock market for the following 30 days. The INDIAVIX is calculated in actual time by way of the NSE and is a weighted mix of price for the Nifty. The formulation that calculates the index takes present market prices for all out-of-the-money options for the primary and 2d nearest months.

The usage of the INDIAVIX to forecast
The perfect trading rule in vix trading is a straightforward fifty day moving average crossover of the INDIAVIX for vix trading. Although no longer examined in Indian situation completely it was once ready to provide 12.7% annual returns over the length from January 1999 via July 2009 in S&P 500. These performances exceed the buy & hold means with the aid of 12.49%, top them to conclude that the VIX can predict the S&P 500. For the length, buy & hold yielded a complete of 2.28% or an annualized yield of simply 0.21%.

The find out about in vix trading, then again, wants work to complete it in a trading system for the overall investor, most particularly, the learn about goes lengthy and brief, in response to whether or not the INDIAVIX is above its 50 day shifting average. As well as, brokerage will not be incorporated within the learn about. After operating the numbers thru a simulation, we concluded that shifting average whipsaws should be diminished and fee accounted for in revenue calculations. We didn’t embody quick gross sales as a part of the brand new powerful system. Neatly, you want knowledge from InvestBulls who provide the information of INDIAVIX.

vix trading

Right here come the Amibroker afl code for VIX trading:

function ComeDown( series )
IsDown = series < MA( series, 50 ); return Ref( Sum( IsDown , 11 ), -1 ); } function ComeUp( series ) { IsAbove = series > MA( series, 50 );
return Ref( Sum( IsAbove , 11 ), -1 );

series = Foreign(“INDIAVIX”, “C” );

Plot( series, “VIX”, colorRed );
Plot( MA( series, 50 ), “MA50”, colorBlue );

Buy = ComeDown( series ) > 10;
Sell = ComeUp( series ) > 10;

SetPositionSize( 50, spsPercentOfEquity );

Author: Indrajit Mukherjee

Indrajit is a professional blogger and trading system developer. Amibroker expert, Wordpress expert, SEO expert and stock market analyst.Trading since 2002, he has started the journey of on 2008. He follows Indian and world stock markets closely.

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