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thinkorswim VIX Stretch 01/22/10

Indicates when the VIX has stretched to 5% or greater from its 10 period moving average.

  1. Eric Purdy
    I’ve been reading the book Short Term Trading Strategies That Work by Larry Connors and Cesar Alvarez this weekend. Several of the strategies in the book call for the use of a “VIX Stretch” when the VIX has stretched to 5% or greater from its 10 period moving average. The indicator below plots the VIX stretch. The stretch line has been reversed so that a positive vix stretch is plotted on the negative axis to agree with the normal convention for an indicator. The signal dots you see are an indication of three or more consecutive days outside the 5% stretch envelope with the indicated trade direction in agreement with the 200 period moving average of the underlying. The details of the strategy are described fully in the book which I found to be a nice addition to my bookshelf. Thanks to reader Bill M for providing me with a copy. VixStretch.png