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“Slow” $VIX Spike Peak Buy Signals (Preview)

By Lawrence G. McMillan

The $VIX “spike peak” buy signal that is in place took four trading days to confirm.  That is, $VIX spiked up to an intraday high of 17.95 on October 13th, but it did not complete the signal (by closing below 14.95) until October 19th – four trading days later. We are used to seeing $VIX spike up and right back down again, giving these buy signals on the same day that the intraday high was reached, or perhaps the next day. 

Does this make a difference?  It seems like a “slow” signal might be less profitable than a “quick” signal, but the only way to tell is to analyze the data.

Since the inception of the $VIX “spike peak” buy system, which we have defined and refined since first coming up with the idea in 2004, there have been 188 buy signals.  Only ten of them took as long as four trading days to come to fruition – and that includes the current one.  So, as a track record, we only have nine trades to look at in this regard.

Table 4 shows a summary of the nine trades.  For each trade, the date that the trade was actually established is listed (Date In), along with the date that the trade was exited (Date Out).  “Days Lag” is the number of trading days from the intraday peak to Date In – the actual buy signal.  Finally “$SPX Points” is the result of the trade in $SPX points...

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