drshoe

VIX Term Roll Oscillator

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

http://seekingalpha.com/article/1439801-...
https://vixcontango.wordpress.com/2015/0...

Hope it helps!

Daniel
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Comments

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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