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Fri, Apr 13, 2012, 2:21 AM EDST  
new Charts 26,27,28 Table 18 May 30 

Table 1 and Chart 1 show %VXX positive Runs — A positive Run is 1 or more consecutive days of %VXX (+).

The fact that there were 6 positive %VXX 5-day runs stands out compared with only two 4-day runs and one 6-day run.

We are unable to explain why this unusually high occurrence of 5-day positive runs compared to 4 and 6-day runs. Can you?

Table 1 Positive %VXX Run Days, and Total Run Days with Average %VXX per day and Standard Deviation, Jan 3, 2011 - April 10, 2012



Total
Avg
Run
Run
%VXX
Days # Runs Days %VXX per day StDevP






1 34 34 123.92 3.64 4.00
2 23 46 152.59 3.32 3.18
3 4 12 47.37 3.95 3.51
4 2 8 30.85 3.86 2.32
5 6 30 135.73 4.52 5.20
6 1 6 21.22 3.54 4.03







70 136 511.69 3.76 3.96


Chart 1 %VXX Run Days, and Total Run Days, Jan 3, 2011 - April 10, 2012

201204113 VXX runs crop


Chart 2 and Table 2 show data for the six positive 5-day Runs.


Chart 2  6 %VXX 5-day Runs (+), Jan 3, 2011 - Apr 10, 2012e

201204113 VXX runs3c 8 positive crop

Table 2  6 %VXX 5-day Runs (+), Jan 3, 2011 - Apr 10, 2012, Data for Chart 2




Run
Date
%VXX %VXX Run
2012-04-10 1 7.84

2012-04-09 2 6.32

2012-04-05 3 2.35

2012-04-04 4 2.11

2012-04-03 5 1.73 20.34 6
2011-09-06 150 2.99

2011-09-02 151 5.04

2011-09-01 152 1.36

2011-08-31 153 0.15

2011-08-30 154 1.04 10.58 5
2011-08-22 160 3.08

2011-08-19 161 5.14

2011-08-18 162 20.70

2011-08-17 163 2.01

2011-08-16 164 2.14 33.07 4
2011-08-08 170 14.75

2011-08-05 171 4.92

2011-08-04 172 19.98

2011-08-03 173 0.46

2011-08-02 174 6.96 47.06 3
2011-07-14 187 3.59

2011-07-13 188 0.00

2011-07-12 189 2.50

2011-07-11 190 8.21

2011-07-08 191 1.19 15.49 2
2011-05-05 235 2.84

2011-05-04 236 1.15

2011-05-03 237 2.05

2011-05-02 238 3.11

2011-04-29 239 0.04 9.19 1






Sum 135.73 135.73

Count 30 6

Average 4.52 22.62

StDevP 5.20 13.46

Max 20.70 47.06

Min 0.00 9.19





Fri, Apr 13, 2012, 6:01 AM EDST 

Table 3 and Chart 3 show %VXX negative Runs — A negative Run is 1 or more consecutive days of %VXX negative.

The fact that there were 8 negative %VXX 5 day-runs stands out compared with all other runs.

We are also unable to explain why this unusually high occurrence of negative 5-day runs compared to other runs — even more pronounced than in the positive %VXX runs in Tables and Charts 1,2. Can you help explain why?

Table 3  Negative %VXX Run Days, and Total Run Days with Average %VXX per day and Standard Deviation, Jan 3, 2011 - Apr 10, 2012



Total
Average
Run
Run
%VXX
Days # Runs Days %VXX per day StDevP






1 29 29 -80.91 -2.79 2.33
2 11 22 -81.60 -3.71 2.37
3 11 33 -92.32 -2.80 2.50
4 5 20 -62.03 -3.10 1.96
5 8 40 -132.24 -3.31 2.05
6 2 12 -30.80 -2.57 1.42
7 4 28 -60.79 -2.17 1.70







70 184 -540.69 -2.942.18


Chart 3 %VXX negative Run Days, and Total Run Days, Jan 3, 2011 - Apr 10, 2012


201204113 VXX runs3 negative crop


Chart 4 %VXX negative 5 Day Runs, and Total Run Days, Jan 3, 2011- Mar 21 , 2012

201204113 VXX runs3b 8 negative crop


Table 4  8 %VXX 5-day negative Runs, Jan 3, 2011 - Mar 21, 2012
    Data for Chart 4




Run
Date X-axis %VXX %VXX Run





2012-03-21 1 -4.97

2012-03-20 2 -4.45

2012-03-19 3 -6.21

2012-03-16 4 -0.09

2012-03-15 5 -1.68 -17.41 8
2012-03-13 7 -4.71

2012-03-12 8 -4.54

2012-03-09 9 -1.97

2012-03-08 10 -3.84

2012-03-07 11 -4.95 -20.02 7
2012-02-23 20 -6.51

2012-02-22 21 -2.82

2012-02-21 22 -0.19

2012-02-17 23 -1.22

2012-02-16 24 -3.85 -14.60 6
2012-01-23 42 -2.46

2012-01-20 43 -3.04

2012-01-19 44 -2.79

2012-01-18 45 -3.43

2012-01-17 46 -0.86 -12.57 5
2011-12-21 62 -6.79

2011-12-20 63 -6.14

2011-12-19 64 -1.05

2011-12-16 65 -0.36

2011-12-15 66 -4.00 -18.34 4
2011-10-14 109 -5.64

2011-10-13 110 -0.21

2011-10-12 111 -6.67

2011-10-11 112 -1.22

2011-10-10 113 -7.19 -20.93 3
2011-07-01 182 -4.02

2011-06-30 183 -4.04

2011-06-29 184 -5.00

2011-06-28 185 -4.05

2011-06-27 186 -1.47 -18.59 2
2011-05-31 205 -2.96

2011-05-27 206 -1.57

2011-05-26 207 -2.24

2011-05-25 208 -2.85

2011-05-24 209 -0.17 -9.79 1






Sum -132.24 -132.24

Count 40 8

Average -3.31 -16.53

StDevP 2.05 3.62

Max -0.09 -9.79

Min -7.19 -20.93

7:30 PM

Chart 5 showing that most 2-Day negative VXX Runs 
occurred in high volatility period late 2011

201204113 VXX runs4 trigger 2 +- crop


Table 5 Data for Chart 5



2-Day Runs
Date X-axis %VXX


(+) (-)
2012-03-28 9 0.70
2012-03-27 10 9.83
2012-03-26 11
-9.37
2012-03-23 12
-6.94
2012-02-27 31 0.92
2012-02-24 32 3.94
2012-02-15 38 5.66
2012-02-14 39 2.95
2012-01-31 49 0.00
2012-01-30 50 3.03
2011-12-23 73 2.54
2011-12-22 74 0.21
2011-12-08 84 4.65
2011-12-07 85 2.94
2011-12-06 86
-0.37
2011-12-05 87
-0.32
2011-11-25 93 1.23
2011-11-23 94 4.70
2011-11-17 98 4.64
2011-11-16 99 4.89
2011-11-11 102
-4.27
2011-11-10 103
-6.27
2011-11-08 105
-4.67
2011-11-07 106
-0.99
2011-11-03 108
-4.92
2011-11-02 109
-3.09
2011-11-01 110 14.49
2011-10-29 111 10.62
2011-10-24 116
-5.98
2011-10-21 117
-5.46
2011-10-20 118 0.98
2011-10-19 119 6.67
2011-10-03 131 6.50
2011-09-30 132 7.04
2011-09-27 135
-1.98
2011-09-26 136
-3.46
2011-08-29 155
-6.26
2011-08-26 156
-1.58
2011-08-24 158
-2.08
2011-08-23 159
-4.77
2011-08-01 175
-4.27
2011-07-29 176
-1.80
2011-07-06 193 1.57
2011-07-05 194 0.34
2011-06-16 206 5.36
2011-06-15 207 8.48
2011-06-13 209 1.66
2011-06-10 210 3.39
2011-06-06 214 1.70
2011-06-03 215 0.09
2011-05-23 223 3.30
2011-05-20 224 0.98
2011-05-16 228 2.29
2011-05-13 229 1.29
2011-04-08 253 1.90
2011-04-07 254 0.71
2011-03-10 274 5.18
2011-03-09 275 1.38
2011-03-07 277 2.62
2011-03-04 278 2.53
2011-03-02 280 0.25
2011-03-01 281 7.52
2011-02-14 291
-1.03
2011-02-11 292
-1.72
2011-02-10 293 0.00
2011-02-09 294 0.32
2011-01-07 316 0.33
2011-01-06 317 0.28





sum 152.59 -81.60

count 46 22

avg 3.32 -3.71

StDevP 3.18 2.37

max 14.49 -0.32

min 0.00 -81.60



Sat, Apr 14, 2012, 5:30 AM EDST

Table 1 Positive %VXX Run Days


Total
Avg
Run
Run
%VXX
Days# RunsDays%VXXper dayStDevP
13434123.923.644.00
22346152.593.323.18
341247.373.953.51
42830.853.862.32
5630135.734.525.20
61621.223.544.03

70136511.693.763.96
Table 3  Negative %VXX Run Days
12929-80.91-2.792.33
21122-81.60-3.712.37
31133-92.32-2.802.50
4520-62.03-3.101.96
5840-132.24-3.312.05
6212-30.80-2.571.42
7428-60.79-2.171.70

70184-540.69-2.942.18

Chart 6, 1 Day 201204114c VXX 1 day
Chart 6, 2 Day 201204114c VXX 2 day crop
Chart 6, 3 Day 201204114c VXX 3 day crop
Chart 6, 4 Day 201204114c VXX 4 day crop
Chart 6, 5 Day 201204114c VXX runs4 trigger 5 day +- crop
Chart 6, 6 Day 201204114c VXX 6 day crop

Table 6 - %VXX Data for Tables and Charts above
VXX data


%VXX (-) (+)
sum -29.01 -540.69 511.69
count 320 184 136
avg -0.09 -2.94 3.76
StDevP 4.51 2.18 3.96
max 20.70 -0.04 20.70
min -13.28 -13.28 0.00


Chart 7 

Table 7 - %VXX Data for Chart 7



%VXX(-)(+)
sum-29.01-540.69511.69
count320184136
avg-0.09-2.943.76
StDevP4.512.183.96
max20.70-0.0420.70
min-13.28-13.280.00



Sun, Apr 15, 2012, 10:30 AM EDST

Chart 8 (Chart 6, 5-Day Runs, white space condensed)
201204115c VXX 5 day shrink crop

Chart 8 with data
201204115c VXX 5 day shrink_Page_1,2

Chart 6, 5 Day Runs, Jan 2011-Apr 2012
201204114c VXX runs4 trigger 5 day +- crop

Chart 9-1 year, VIX,VXX,SP500 1-year chart, Apr 2011-Apr 2012
20120415e VIX,VXX,SP500 1-year chart mirror

Chart 9-2 year, VIX,VXX,SP500 2-year chart, Apr 2010-Apr 2012



Chart 10, Chart 6, 5 Day Runs, Jan 2011-Apr 2012
+ Chart 9-1 year, VIX,VXX,SP500 1-year chart, Apr 2011-Apr 2012 + Data
Yellow is X-axis

NOTE 
  • Positive  5-Day runs — volatility increasing
  • Negative 5-Day runs — volatility decreasing
  • Unusually high occurrences of (+) and (-) 5-day runs compared to other runs 
201204115c VXX 5 day + VIX + data.png




Mon, Apr 16, 2012, 6:51 AM EDST

Tables 8 and 9 show %VXX data for (+) Runs 2-5 UP and (-) Runs 3-8 DOWN in Charts 6 and 9.

We are still unable to explain why this unusually high occurrence of 5-day Runs compared to other runs in these 2 important series. Also, (-) Runs DOWN had all 1-6 type of runs, but other 3 had only 3 types cannot be expained why either.

Chart 6, 5 Day Runs, Jan 2011-Apr 2012
201204114c VXX runs4 trigger 5 day +- crop

Chart 9-1 year, VIX,VXX,SP500 1-year chart, Apr 13, 2011-Apr 13, 2012
20120415e VIX,VXX,SP500 1-year chart mirror


TABLE 8  5-Day runs DOWN, #3 to 8
Oct 10(126), 2011 to Mar 21(14), 2012, 113 Days

Runs



#



Total Total
DOWN# runs days %VXX
runs   days %VXX
Days %VXX
1 11 11 -30.53
17 17 64.75
28 34.22
2 5 10 -36.34
9 18 75.06
28 38.72
3 3 9 -28.91




9 -28.91
4 2 8 -30.27
1 4 16.58
12 -13.69
5 6 30 -103.86




30 -103.86
6 1 6 -14.57




6 -14.57












28 74 -244.49
27 39 156.39
113 -88.10


avg -3.30

avg 4.01



TABLE 9 5-Day runs UP, #2 to 5
Jul 8(191) to Sep 6(150), 2011, 42 Days

Runs






Total Total
UP

# runs days %VXX
runs days %VXX
Days %VXX
1   4* 4 -20.73
4 4 17.65
8 -3.08
2 3 6 -20.76




6 -20.76
3










4 1 4 -12.85
1 4 14.27
8 1.42
5



4 20 106.20
  20 106.20
6





















8 14 -54.34
9 28 138.11
42 83.77


avg -3.88

avg 4.93














36 88 -298.83
36 67 294.50
155 -4.33


Table 1
 Positive %VXX Run Days


Total
Avg
Run
Run
%VXX
Days# RunsDays%VXXper dayStDevP
13434123.923.644.00
22346152.593.323.18
341247.373.953.51
42830.853.862.32
5630135.734.525.20
61621.223.544.03

70136511.693.763.96
Table 3  Negative %VXX Run Days
12929-80.91-2.792.33
21122-81.60-3.712.37
31133-92.32-2.802.50
4520-62.03-3.101.96
5840-132.24-3.312.05
6212-30.80-2.571.42
7428-60.79-2.171.70

70184-540.69-2.942.18


Wed, Apr 18, 2012, 6:03 AM EDST

Chart 11 Charts 6, 9-1-year, Tables 1,3,8,9, 
VXX run data Jan 3, 2011 to April,10, 2012

 new 4/22

VXX run





Thu, Apr 19, 2012, 6:30 AM EDST

Chart 12-6 #6 5-Day Run  new 4/21
Chart 12-5 #5 5-Day Run  new 4/19
Chart 12-4 #4 5-Day Run new 4/19
Chart 12-3 #3 5-Day Run new 4/19
Chart 12-2 #2 5-Day Run new 4/19
VXX runs 2011
Chart 12-1 #1 5-Day Run new 4/21
Chart 12-ALL, #1-6 5-Day Run new 4/21




Sat, Apr 21, 2012, 2:42 AM EDST

Chart 13-8 #8 5-Day Run (-) new 4/21
Chart 13-7 #7 5-Day Run (-) new 4/21
Chart 13-6 #6 5-Day Run (-) new 4/21
Chart 13-5 #5 5-Day Run (-) new 4/21
Chart 13-4 #4 5-Day Run (-) new 4/21
Chart 13-3 #3 5-Day Run (-) new 4/21
Chart 13-2 #2 5-Day Run (-) new 4/21
Chart 13-1 #1 5-Day Run (-) new 4/21
Chart 13-ALL#1-8  5-Day Run (-) new 4/21



Chart 14   VXX Runs Jan 3, 2011 to Apr 10, 2012
+ Chart 9-1 year VXX, VIX, S&P 500
+ Table 1 from here 
new Apr 25
20120425 VXX runs with VIX, S&P 500, 2011,2012

Chart 15-0, Chart showing Runs' zones A,B,C,D,E, 5-day run #'s, 1-year VXX, VIX, S&P500, Apr 13, 2011 to Apr 13, 2012 (See Table 11 for dates and data)
new Apr 29, corrected May 8
20120415e VIX,VXX,SP500 1-year chart with color code A,B,C,D,E
CORRECTION Zone C TOP end marker should be to right of 5-Day DOWN Run #3


Table 10   VXX change* Runs Jan 3, 2011 to Apr 10, 2012 by Zones
 new Apr 26
20120426 VXX runs up down by Zones

* VXX change = VXX close today - VXX close yesterday 
where VXX is actual VXX close, not %VXX
e.g. VXX change =  20.49 -19.00 = 1.49 for Apr 10, 2012


Table 11  Table 10 with data
 new Apr 27
20120426 VXX runs with data 2011,2012

Table 12, Comparison of VXX change and VXX change of change 
Jan 3, 2011 to April 10, 2012
 new Apr 27
Comparison of VXX change and change of change, Jan3, 2011 to April 10, 2012


Chart 15-1, VXX change* vs %S&P 500 by runs up/down zones
Jan 3, 2011 to April 10, 2012  new Apr 28
20120428 VXX raw change by zones vs %S&P 500 crop

* VXX change = VXX close today - VXX close yesterday 
where VXX is actual VXX close, not %VXX
e.g. VXX change =  20.49 -19.00 = 1.49 for Apr 10, 2012

Chart 15-2, VXX change after runs DOWN zone E vs %S&P 500
Jan 3, 2011 to April 10, 2012 new Apr 28
 VXX raw change after DOWN zone E vs %S&P 500
Chart 15-3, VXX change runs DOWN zone D vs %S&P 500
Jan 3, 2011 to April 10, 2012  
new Apr 28
20120428b VXX raw change DOWN zone D vs %S&P 500 crop
Chart 15-4, VXX change runs TOP zone C vs %S&P 500
Jan 3, 2011 to April 10, 2012  new Apr 28
20120428c VXX raw change TOP zone C vs %S&P 500 crop
Chart 15
-5, VXX change runs UP zone B vs %S&P 500
Jan 3, 2011 to April 10, 2012  new Apr 28
20120428d VXX raw change UP zone B vs %S&P 500 crop
Chart 15
-6, VXX change before runs UP zone A vs %S&P 500, 
Jan 3, 2011 to April 10, 2012  
new Apr 28
20120428e VXX raw change  before UP zone A vs %S&P 500 crop

Chart 15
-7, Charts 15-1 to 6, VXX change vs %S&P 500, 
Jan 3, 2011 to April 10, 2012  
new Apr 28
20120428f VXX raw change vs S&

Table 13
, Data for Charts 15-1 to 7, Jan 3, 2011 to Apr 10, 2012
new Apr 28
20120428f VXX, %S&P 500 data Jan 3, 2011 to Apr 10, 2012


Chart 15
-8, VXX change vs %S&P 500 correlation
Jan 3, 2011 to Apr 10, 2012
 
  
new Apr 30

VXX vs S&P correlation, Jan 3, 2011 to Apr 10, 2012


Chart 15
-9, %VXX vs VXX change correlation 
Jan 3, 2011 to Apr 10, 2012
  
new Apr 30

% VXX vs VXX raw change, Jan 3, 2011 to Apr 10, 2012

Chart 16, VXX Runs, Jan 3, 2011 to May 3, 2012, 337 days
5-Day Runs numbered
 new May 6
VXX Runs 2011,2012


Chart 17, VXX 10-Run Moving Averages, Jan 3, 2011 - Apr 10, 2012
(See Chart 18 below with VXX prices)
new May 7
VXX 10-Run Moving Averages, Jan 3, 2011 - Apr 10, 2012

Example 
daterun
2012-04-03 5
2012-03-29 -3
2012-03-27 2
2012-03-23 -2
2012-03-22 1
2012-03-15 -5
2012-03-14 1
2012-03-07 -5
2012-03-06 1
2012-03-05 -1
10RMA-0.6
10RMA = Average of 10 runs

A,B,C,D,E reference the 5 zones that were designated before 10RMA Chart 17, as shown in Chart 15-0 copied below — Interesting that 10RMA changes direction near these zones' boundaries. 


Chart 15-0, Chart showing Runs' zones A,B,C,D,E, 5-day run #'s, 1-year VXX, VIX, S&P500, Apr 13, 2011 to Apr 13, 2012 (See Table 11 for dates and data)
new May 8
20120415e VIX,VXX,SP500 1-year chart with color code A,B,C,D,E
CORRECTION Zone C TOP end marker should be to right of 5-Day DOWN Run #3



Chart 18 (Chart 17 with VXX prices / 40) VXX 10-Run Moving Averages, 10RMA, Feb 9, 2011 - Apr 10, 2012

Is there anybody who would n0t have seen 
VXX UP and DOWN coming?
 
Most important Chart
you'll see here

 (Simplified Runs chart for non-mathematicians)
new May 8
VXX 10-Run Moving Average (10RMA), Feb 9, 2011 - Apr 10, 2012

Notice how well 10RMA predicts VXX price direction
especially UP, TOP, DOWN and some peaks and valleys

  VXX data in Chart 18, See Chart 14 for other data

Count
131
Average
32.81
StDevP
9.55
Max
53.37
Min
17.10
Drop
67.96%


Table 14 
VXX 10-Run Moving Average (10RMA)

Summary Statistics for Charts 17,18, 
Sum, Count, Average, StDevP, Max, Min by Zones A,B,C,D,E 

new May 9
VXX 10-Run Moving Average (10RMA) Statistics, Sum, Count, Average, StdevP, Max, Min


Table 15, Table 14 condensed and summarized showing differences between VXX run zones A,B,C,D,E, Feb 9, 2011 to Apr 10, 2012

 new May 9



after


before

Runs(+)
down DOWN TOP UP up

A,B,C,D,E
E D C B A








Sum 131
8 39 11 28 45
Count 66
3 27 6 9 21
Average 1.98
2.67 1.44 1.83 3.11 2.14
StDevP 1.31
1.70 0.68 0.90 1.91 1.25
Max 6
5 4 3 5 6
Min 1
1 1 1 1 1









Runs(-)






A,B,C,D,E
E D C B A








Sum -163
-5 -74 -12 -14 -58
Count 65
2 28 6 8 21
Average -2.51
-2.50 -2.64 -2.00 -1.75 -2.76
StDevP 1.76
0.50 1.69 1.15 0.97 2.14
Max -1
-2 -1 -1 -1 -1
Min -7
-3 -6 -4 -4 -7


Table 16, Table 15 condensed and summarized comparing + and - runs parameters, VXX zones A,B,C,D,E, Feb 9, 2011 to Apr 10, 2012

new May 11




after






before

Total

down
DOWN
TOP
UP
up

A,B,C,D,E

E
D
C
B
A

(+) (-)
(+) (-) (+) (-) (+) (-) (+) (-) (+) (-)














Sum 131 -163
8 -5 39 -74 11 -12 28 -14 45 -58
Count 66 65
3 2 27 28 6 6 9 8 21 21
Average 2.0 -2.5
2.7 -2.5 1.4 -2.6 1.8 -2.0 3.1 -1.8 2.1 -2.8
StDevP  1.3 1.8
1.7 0.5 0.7 1.7 0.9 1.2 1.9 1.0 1.2 2.1
Max 6 -1
5 -2 4 -1 3 -1 5 -1 6 -1
Min 1 -7
1 -3 1 -6 1 -4 1 -4 1 -7

Note differences in (+) and (-) parameters in UP, TOP, DOWN VXX price trends, highlighted in yellow, can help predict VXX price trends, along with 10RMA in Chart 19 below — e.g.when VXX is in an UP price trend:
  • Averages of 10RMA + runs are 72% greater than  (-) runs 
    (3.1 vs -1.8), and

  • Standard Deviations of 10RMA + runs are 90% greater than 
    (-) runs (1.9 vs 1.0)
Inverse — 100% (1.4 vs 0.7) and 53% (-2.6 vs 1.7) when 
VXX is in a DOWN price trend.

When VXX is on TOP after an UP trend, Averages and 
Standard Deviations are about equal (+) and (-).

Additionally, UP and DOWN price trends begin when 10RMA crosses zero, as you can see in Chart 19 below. This may be our most significant observation of our research using 10RMA to predict VXX price trends.

If you are a good investor, you will know how to use these observations for a winning, VXX investing strategy.


Chart 19  shows how well VXX 10-Run Moving Averages (10RMA) predict VXX price trends UP, DOWN, TOP, BOTTOM, and some peaks and valleys. When 10RMA crosses zero, VXX price trend change from + to (-) and vice versa. Data plotted from Feb 9, 2011 to May 9, 2012.  

new May 16
Chart 1, Chart 19 from Runs, shows how well VXX 10-Run Moving Averages (10RMA) predict VXX price trends UP, DOWN, TOP, BOTTOM, and some peaks and valleys. When 10RMA crosses zero, VXX price trend change from + to (-) and vice versa. Data plotted from Feb 9, 2011 to May 9, 2012.



Chart 20, Chart 19 with data

 new May 16
Chart 2, Chart 1 with data, Chart 19 from Runs, shows how well VXX 10-Run Moving Averages (10RMA) predict VXX price trends UP, DOWN, TOP, BOTTOM, and some peaks and valleys. When 10RMA crosses zero, VXX price trend change from + to (-) and vice versa. Data plotted from Feb 9, 2011 to May 9, 2012.




Chart 21, Chart 20 with Runs data showing how  VXX 10-Run Moving Averages (10RMA) and VXX change with Runs.

 new May 17
Chart 3, Chart 21 from Runs, Chart 2 with Runs data showing how  VXX 10-Run Moving Averages (10RMA) and VXX change with Runs. Shows how well VXX 10-Run Moving Averages (10RMA) predict VXX price trends UP, DOWN, TOP, BOTTOM, and some peaks and valleys. When 10RMA crosses zero, VXX price trend change from + to (-) and vice versa. Data plotted from Feb 9, 2011 to May 9, 2012.


Chart 19a,  Chart 19 showing VXX Runs Top zone C 
for comments below
 
new May 12
 
 

VXX Runs' Top zone C END was designated as X-axis 85 C1 before our 10RMA work because X-axis 85 C1 was the first large negative run (-5-day Run) after the four 5-day positive runs. 

In hindsight, if we would have known then that 10RMA crosses zero 10RMA at X-axis 87 C2, not 85 C1, we would have designated X-axis 87 C2 as the end of Top zone C.


Chart 21 showing VXX Run Volatility (RV) in Different Run Zones,
RV = ± Avg ± 1 Standard Deviation, Jan 3, 2011 - Apr 9, 2012

 
new May 13
 
Chart 21 showing VXX Run Volatility (RV) in Different Run Zones, RV = ± Avg ± 1 Standard Deviation, Jan 3, 2011 - Apr 9, 2012




Chart 22 showing effect of (+) and (-) Runs 10RMA on VXX 10-Run Moving Averages (10RMA). 

One possible signal, a leading indicator, that the current VXX crash may be bottoming out will be when 10RMA crosses 0, (-) Runs 10RMA reaches -0.7 and (+) Runs 10RMA exceeds 0.7. See X-axis = 119 for the last time a VXX down trend bottomed out.

new May 23
Chart 4, Chart 22 from Runs, showing effect of (+) and (-) Runs 10RMA on VXX 10-Run Moving Averages (10RMA).   One possible signal, a leading indicator, that the current VXX crash may be bottoming out will be when 10RMA crosses 0, (-) Runs 10RMA reaches -0.7 and (+) Runs 10RMA exceeds 0.7. See X-axis = 119 for the last time a VXX down trend bottomed out.



Chart 23, Chart 22 above with data, showing effect of (+) and (-) Runs 10RMA on VXX 10-Run Moving Averages (10RMA)

new May 23
Chart 5, Chart 4 with data, Chart 22 from Runs, showing effect of (+) and (-) Runs 10RMA on VXX 10-Run Moving Averages (10RMA).   One possible signal, a leading indicator, that the current VXX crash may be bottoming out will be when 10RMA crosses 0, (-) Runs 10RMA reaches -0.7 and (+) Runs 10RMA exceeds 0.7. See X-axis = 119 for the last time a VXX down trend bottomed out.


Chart 24 combines Charts 19,21,22 and is updated to May 25 to show how well VXX 10-Run Moving Averages (10RMA) predict VXX price trends UP, DOWN, TOP, BOTTOM, and some peaks and valleys. When 10RMA crosses zero, VXX price trend change from + to (-) and vice versa. Data plotted from Feb 9, 2011 to May 25, 2012. 

One possible signal that the current VXX crash may be bottoming out can be seen in Chart 24 below — leading indicators may be when 10RMA crosses 0, (-) Runs 10RMA reaches -0.7 and (+) Runs 10RMA exceeds 0.7. See X-axis = 119 for the last time a VXX down trend bottomed out.

new May 28
Chart 24 combines Charts 19,21,22 updated to May 25 to show how well VXX 10-Run Moving Averages (10RMA) predict VXX price trends UP, DOWN, TOP, BOTTOM, and some peaks and valleys. When 10RMA crosses zero, VXX price trend change from + to (-) and vice versa. Data plotted from Feb 9, 2011 to May 25, 2012.   One possible signal that the current VXX crash may be bottoming out can be seen in Chart 24 below — leading indicators may be when 10RMA crosses 0, (-) Runs 10RMA reaches -0.7 and (+) Runs 10RMA exceeds 0.7. See X-axis = 119 for the last time a VXX down trend bottomed out.


Chart 24a, Chart 24 with data.

new May 28
Chart 24a, Chart 24 with data combines Charts 19,21,22 and is updated to May 25 to show how well VXX 10-Run Moving Averages (10RMA) predict VXX price trends UP, DOWN, TOP, BOTTOM, and some peaks and valleys. When 10RMA crosses zero, VXX price trend change from + to (-) and vice versa. Data plotted from Feb 9, 2011 to May 25, 2012.   One possible signal that the current VXX crash may be bottoming out can be seen in Chart 24 below — leading indicators may be when 10RMA crosses 0, (-) Runs 10RMA reaches -0.7 and (+) Runs 10RMA exceeds 0.7. See X-axis = 119 for the last time a VXX down trend bottomed out


Chart 25 showing only critical areas of Chart 24 to reduce horizontal scrolling for easier viewing. Chart 25 combines Charts 19,21,22 and is updated to May 25 to show how well VXX 10-Run Moving Averages (10RMA) predict VXX price trends UP, DOWN, TOP, BOTTOM, and some peaks and valleys. When 10RMA crosses zero, VXX price trend change from + to (-) and vice versa. Data plotted from Feb 9, 2011 to May 25, 2012. 

new May 28
Chart 25 showing only critical areas of Chart 24 to reduce horizontal scrolling for easier viewing. Chart 25 combines Charts 19,21,22 updated to May 25 to show how well VXX 10-Run Moving Averages (10RMA) predict VXX price trends UP, DOWN, TOP, BOTTOM, and some peaks and valleys. When 10RMA crosses zero, VXX price trend change from + to (-) and vice versa. Data plotted from Feb 9, 2011 to May 25, 2012.


Chart 25a, Chart 25 with data.

 new May 28
Chart 25a, Chart 25 with data showing only critical areas of Chart 24 to reduce horizontal scrolling for easier viewing. Chart 25 combines Charts 19,21,22 and is updated to May 25 to show how well VXX 10-Run Moving Averages (10RMA) predict VXX price trends UP, DOWN, TOP, BOTTOM, and some peaks and valleys. When 10RMA crosses zero, VXX price trend change from + to (-) and vice versa. Data plotted from Feb 9, 2011 to May 25, 2012.


Table 17, Data for Charts 24,25 from Feb 9, 2011 to May 25, 2012.

new May 28 
Data for Chart 24 combines Charts 19,21,22 and is updated to May 25 to show how well VXX 10-Run Moving Averages (10RMA) predict VXX price trends UP, DOWN, TOP, BOTTOM, and some peaks and valleys. When 10RMA crosses zero, VXX price trend change from + to (-) and vice versa. Data plotted from Feb 9, 2011 to May 25, 2012.   One possible signal that the current VXX crash may be bottoming out can be seen in Chart 24 below — leading indicators may be when 10RMA crosses 0, (-) Runs 10RMA reaches -0.7 and (+) Runs 10RMA exceeds 0.7. See X-axis = 119 for the last time a VXX down trend bottomed out.

Chart 26 compares 3 different VXX Run Moving Averages:
  •  6RMA  6 Run Moving Average
  • 10RMA 10 Run Moving Average
  • 20RMA 20 Run Moving Average
Standard Deviations are included with each Run Moving Average.

Data plotted from Feb 9, 2011 to May 29, 2012. May 25 annotation is first day of (-) 2-day Run as of Tue, May 29 VXX close.

new May 30
Chart 26 compares 3 different VXX Run Moving Averages:  6RMA  6 Run Moving Average 10RMA 10 Run Moving Average 20RMA 20 Run Moving Average Standard Deviations are included withe each Run Moving Average.   Data plotted from Feb 9, 2011 to May 29, 2012. May 25 annotation is first day of (-) 2-day Run as of today, May 29.

Chart 27 also compares 3 different VXX Run Moving Averages:
  •  6RMA  6 Run Moving Average
  • 10RMA 10 Run Moving Average
  • 20RMA 20 Run Moving Average
(+) and (-) Runs' nRMA are included with each Run Moving Average.

(- Runs' nRMA)  + (+ Runs' nRMA)  =  (nRMA)
n = 6,10,20

Data plotted from Feb 9, 2011 to May 29, 2012. May 25 annotation is first day of (-) 2-day Run as of Tue, May 29 VXX close.

new May 30
Chart 27 also compares 3 different VXX Run Moving Averages:  6RMA  6 Run Moving Average 10RMA 10 Run Moving Average 20RMA 20 Run Moving Average (+) and (-) Runs' xRMA are included with each Run Moving Average. Data plotted from Feb 9, 2011 to May 29, 2012. May 25 annotation is first day of (-) 2-day Run as of Tue, May 29 VXX close.


Table 18 shows data for Charts 26,27.

new May 30
201205029b run-06 data_Page_1,2,3 final


Chart 28, Charts 26,27 and Table 17 data compares different VXX Run Moving Averages:
  •  6RMA  6 Run Moving Average
  • 10RMA 10 Run Moving Average
  • 20RMA 20 Run Moving Average
Standard Deviations are included with each Run Moving Average.

(+) and (-) Runs' nRMA are also included with Run Moving Averages.
(- Runs' nRMA)  + (+ Runs' nRMA)  =  (nRMA)
n = 6,10,20

Data plotted from Feb 9, 2011 to May 29, 2012. May 25 annotation is first day of (-) 2-day Run as of Tue, May 29 VXX close.

new May 30
Chart 28, Charts 26,27 and Table 17 data compares  different VXX Run Moving Averages:  6RMA  6 Run Moving Average 10RMA 10 Run Moving Average 20RMA 20 Run Moving Average Standard Deviations are included with each Run Moving Average.  (+) and (-) Runs' nRMA are also included with Run Moving Averages. (- Runs' nRMA)  + (+ Runs' nRMA)  =  (nRMA) n = 6,10,20  Data plotted from Feb 9, 2011 to May 29, 2012. May 25 annotation is first day of (-) 2-day Run as of Tue, May 29 VXX close.




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