Combining VIX, MOVE, and Oil Volatility Z-Scores
Summary
This script builds standardized measures from ratios involving the VIX and VVIX, the MOVE index and inverse VIX, and oil prices and oil volatility. Each ratio is compared with its rolling mean and standard deviation to produce a z-score. Configurable display options show the component series, while Bollinger Band position and sign-based colors provide visual context for the chart.
The excerpt includes threshold lines and signal-related visualization settings, but it ends before showing complete trade-entry or exit logic. Although it is labeled a strategy, the available material does not establish how the plotted measures translate into executed trades or provide performance results. The script also relies on external market series and historical lookbacks, so data availability, construction choices, and parameter sensitivity limit what can be concluded from the excerpt.
Key ideas
- The script standardizes ratios built from equity volatility, bond volatility, and oil price and volatility series.
- Each z-score measures deviation from a rolling average in units of rolling standard deviation.
- Bollinger Band position is used to condition background visualization.
- The excerpt does not show complete trading rules or provide backtest evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.