Combining Volatility-Ratio Z-Scores with Bollinger Position for Trades

Summary

This strategy combines standardized readings from volatility-related ratios with the underlying instrument's position within Bollinger Bands. It calculates rolling Z-scores for MOVE relative to inverse VIX, VIX relative to VVIX, and oil price relative to inverse oil volatility. The script can use all three measures or selected subsets. Its directional rules generally favor long exposure when the chosen Z-scores are negative and the Bollinger position is above the midpoint, and short exposure when readings are positive and price is below the midpoint. An optional exponential moving average condition further filters some short entries.

The script includes adjustable lookback and threshold inputs, plotting controls, and a date range for strategy simulation. It displays the indicator readings and defines several combinations for entries and position closures. However, the supplied text contains no reported backtest results, performance comparison, or discussion of robustness. The signals combine different markets' volatility measures with price-band location, so their behavior depends on data availability, instrument choice, and the selected inputs; the code alone does not establish that the approach predicts returns reliably.

Key ideas

• The strategy forms rolling Z-scores from ratios involving VIX, VVIX, MOVE, oil, and oil volatility.
• It combines those readings with the underlying price's location within Bollinger Bands to define directional signals.
• An optional exponential moving average filters some short entries, and indicator subsets can be selected.
• The document provides rules and adjustable simulation inputs but reports no evidence about performance or robustness.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.