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drshoe
١١ تشرين الأول أكتوبر ٢٠١٦ ١٣:٢٦

VIX Term Roll Oscillator 

TVC:VIX
VOLATILITY S&P 500TVC

الوصف

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My implementtion of VIX term roll Oscillator according to the articles below

seekingalpha.com/article/1439801-vix-contango-oscillator-profitable-observations?page=2
vixcontango.wordpress.com/2015/04/27/introduction-to-vix-contango-oscillatorvco-and-vix-term-roll-oscillator-vro/

Hope it helps!

Daniel
VIX CBOE Volatility IndexUVXYSVXYXIVVXXTVIXVolatilitycontango
التعليقات
drshoe
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please change the line 13 to VXV = security("INDEX:VIX3M","D",close)
syracusepro
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Do you have anything such as the Yates VXX Indicator? Thanks.
zenix
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Thanks drshoe
JtotheA
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good stuff!
drshoe
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thx, this was a bit difficult to write. hope it helps
المزيد