MindsForge

A VIX product shorting algo (quick just for a buddy)

AMEX:VXX   IPATH S&P 500 VIX SHORT TERM FUTURES TM ETN
the yellow line is the RSI ,14 of the VWAP of VXX            

The other two lines are related to: VWAP of VIX             futures price minus the VIX             spot price. So the volume weighted premium of the near term futures (I think).

Green is the long (50 day) moving average of the RSI of the above value.

Pink is this: short_ma = sma (((v_rsi - 50) * 1.5) + 50, 30) -- and to be honest I have no idea what I was thinking here, 50 is the mid line on the RSI oscillator... idk

Anyway, it shorts when the yellow line is >60 AND the green line is above the pink line
and just closes when the pink crosses back over the green and the RSI is < 50
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