Abstract

http://ssrn.com/abstract=1930018
 


 



Using VIX Data to Enhance Technical Trading Signals


James Kozyra


Lakehead University

Camillo Lento


Lakehead University

September 18, 2011


Abstract:     
The purpose of this paper is to provide new insights into the relationship between technical analysis and implied market volatility (VIX) by calculating technical trading rules with the VIX price data, as opposed to the stock prices. Three trending trading rule signals are calculated on the prices of three major U.S. indices and the VIX prices. The results reveal that the trading signals calculated with the VIX level provides large, statistically significant profits that are in excess of the profits from the traditional computation. Sub-period analysis reveals that technical trading rules were most (least) profitable during the period with the highest (lowest) volatility levels.

Number of Pages in PDF File: 6

Keywords: Technical analysis, volatility, VIX

JEL Classification: C4, C22, G14, G19

working papers series


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Date posted: September 19, 2011  

Suggested Citation

Kozyra, James and Lento, Camillo, Using VIX Data to Enhance Technical Trading Signals (September 18, 2011). Available at SSRN: http://ssrn.com/abstract=1930018 or http://dx.doi.org/10.2139/ssrn.1930018

Contact Information

James Kozyra
Lakehead University ( email )
955 Oliver Road
Thunder Bay, Ontario P7B 5E1
Canada
Camillo Lento (Contact Author)
Lakehead University ( email )
955 Oliver Road
Thunder Bay, Ontario P7B 5E1
Canada
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