drshoe

VIX Term Roll Oscillator

My implementtion of VIX             term roll Oscillator according to the articles below

http://seekingalpha.com/article/1439801-vix-contango-oscillator-profitable-observations?page=2
https://vixcontango.wordpress.com/2015/04/27/introduction-to-vix-contango-oscillatorvco-and-vix-term-roll-oscillator-vro/

Hope it helps!

Daniel
Remove from Favorite Scripts Add to Favorite Scripts
please change the line 13 to VXV = security("INDEX:VIX3M","D",close)
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Thanks drshoe
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Do you have anything such as the Yates VXX Indicator? Thanks.
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good stuff!
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drshoe JtotheA
thx, this was a bit difficult to write. hope it helps
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