An Adaptive Moving Average Using VIX, 01/02/09
An Adaptive Moving Average using VIX
VIX can be used to create an adaptive moving average that can be used as an indicator or as the basis for a trading system or model.
ma = Average(close, VIX), orThe problem w/ moving average systems is how to exit a bad trade since the core entry conditions won't have changed and will still be in place after the adverse move.
xma = Exponential Average(close, VIX), or even
macd - MACD(12, VIX, 9)
Test a moving average indicator by converting it to a trading system and calculating it's z score. If the z score is significant, the indicator's signals should be significant, too.