Concurrent $VIX Spike Peak Buy Signals

By Lawrence G. McMillan

...An astute subscribers noticed that, last week, another $VIX “spike peak” buy signal was setting up. $VIX had risen more than 3.00 points, measured with closing prices, from Jan 9th to Jan 13th (two trading days later).  Moreover, $VIX then dropped sharply this past Monday, January 20th, triggering a second signal while the first one was still “open.”  

At face value, I couldn’t remember this happening before, but when I did the original studies, it was not taken into account.  In other words, I originally defined a $VIX “spike peak” buy signal as lasting until it was stopped out (by closing above the previous intraday peak) or 22 days had passed.  I did not look for another signal while one was already open.

But with this new evidence, I re-wrote the program that does the calculations for the $VIX spike peak buy system.  Now, when a signal occurs, I look forward to see how it did, but I allow for multiple signals to be concurrently open.  This produced some interesting results...

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