vix_ts
Function Name: vix_ts
Tags: fear index, s&p 500, vix, volatility index
Category: Volatility
Three data series are used in the system: the iPath S&P 500 VIX (VIX), SPDR S&P 500 exchange traded fund (ETF) (SPY), and the ProShares Ultra Dow 30 ETF (DDM). SPY is a proxy for the S&P 500 and DDM is a leverage version of the Dow Jones Industrial Average (DJIA). All calculations are done on the VIX series, and when a VIX buy signal is issued, equal amounts of SPY and DDM are bought the next trading day.
A time series has three values for each day: low, high, and close. For this trading system, the VIX time series is calculated based upon the low of each day. The system rules are as follows:
For buys:
1. Calculate the 50day moving average using the low price from the VIX time series.
2. Count the number of times in 11 days the VIX is below its moving average. Do this by looking back 11 days from the current bar and checking to see if the VIX is below the 50day moving average. The VIX must have 11 days below the moving average before a signal is generated.
3. If the 11day count is exactly 11, then buy the SPY and DDM.
The "sell" rules are the same as the "buy," with the exception that the VIX must be above the moving average and the count reflects the number of days the VIX is below the average.
COLORING NOTE: If past 11 days are below moving average, MA line will be colored red. If past 11 days are above MA, the line will be colored green. Otherwise, the line will be blue.
Author: Trent Gardner
Source: Stocks & Commodities, December 2012: "Using VIX To Forecast The S&P 500"
MAperiod 
moving average calculation range 

Default Value: 50  Minimum: 1  Maximum: 999 

Type: Numeric 
LBperiod 
lookback period to check if vix is above or below the MA 

Default Value: 11  Minimum: 1  Maximum: 100 

Type: Numeric 
LBtrig 
threshold number of bars in the lookup period that will trigger buy/sell signal 

Default Value: 11  Minimum: 1  Maximum: 100 

Type: Numeric 