I'll give that a read. I'll be trying to test several varieties of use cases for the VIX, whether they turn out good or not will be a different story. Haha
Yeah it's still useful IMO. In one of my long term trend follow systems I do check the VIX in a regime filter. From memory I think I'm checking it for a breakout rather than an absolute level. Works OK but not amazing.
If you have any suggestions, or any thing you would like to see looked at in this series, post a comment.
Regarding the use of VIX as a filter - SPX can be a better filter, and even using SPX as a filter to trade the VIX https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4808230
I'll give that a read. I'll be trying to test several varieties of use cases for the VIX, whether they turn out good or not will be a different story. Haha
Yeah it's still useful IMO. In one of my long term trend follow systems I do check the VIX in a regime filter. From memory I think I'm checking it for a breakout rather than an absolute level. Works OK but not amazing.