A VIX product shorting algo (quick just for a buddy)
the yellow line is the RSI,14 of the VWAP of VXX
The other two lines are related to: VWAP of VIX futures price minus the VIX spot price. So the volume weighted premium of the near term futures (I think).
Green is the long (50 day) moving average of the RSI of the above value.
Pink is this: short_ma = sma(((v_rsi - 50) * 1.5) + 50, 30) -- and to be honest I have no idea what I was thinking here, 50 is the mid line on the RSI oscillator... idk
Anyway, it shorts when the yellow line is >60 AND the green line is above the pink line
and just closes when the pink crosses back over the green and the RSI is < 50
The other two lines are related to: VWAP of VIX futures price minus the VIX spot price. So the volume weighted premium of the near term futures (I think).
Green is the long (50 day) moving average of the RSI of the above value.
Pink is this: short_ma = sma(((v_rsi - 50) * 1.5) + 50, 30) -- and to be honest I have no idea what I was thinking here, 50 is the mid line on the RSI oscillator... idk
Anyway, it shorts when the yellow line is >60 AND the green line is above the pink line
and just closes when the pink crosses back over the green and the RSI is < 50