Help with simulation buy / sell formula

Research
1

Hello,

I’m a new member and very impressed with the screening system.

I’d like some help to write a formula with these rules:
Buy: Long XIV ETF when VIX / VXV ratio is lower than 0.917 (VIX and VXV are the indexes);
Sell: Sell XIV (stay in cash) when VIX / VXV ratio is equal or higher than 0.917.

Any help would be greatly appreciated!

Thanks,

Rod

2

Rod:

Hi.  For the long entry you might try the following buy rule:

Close(0, GetSeries("$VIX"))/Close(0, GetSeries("$VXV")) < 0.917

Bill

3

Thank you, but I got an error “Cannot find VXV”. That’s an index, is there anything I have to specify? It’s available on Google, but not everywhere.

Any help would be greatly appreciated.

Rod

4

Rod,

Can’t do this right now unless they add VXV to the Getseries list. Have to do it in excel. I asked for this about 3 or months ago as a feature request. Probably based on the same underlying paper.

Best,
Tom