get15('UVXY')
getdaily('UVXY')In this first graphic, we see the ‘extremes’ of movements for each day. It helps us answer, “What is considered a big move downwards?” and "If this trend reverses, how much can it reverse by and what are my upper and lower bounds?
sadvolatility(UVXYdaily, 'UVXY') Min. 1st Qu. Median Mean 3rd Qu. Max.
1.113 4.781 6.818 8.299 10.169 68.664
Min. 1st Qu. Median Mean 3rd Qu. Max.
0.000 1.256 2.934 4.526 5.948 55.300
Min. 1st Qu. Median Mean 3rd Qu. Max.
-50.869 -5.087 -2.864 -3.773 -1.271 0.000
[1] "UVXY goes up 42.2523633374435 % of the time"In the next one, we see the cumulative percentiles of the intraday movements. Anywhere 70 percentile or above would signify a significant move to the upside or the downside, which may either represent a ‘buy’ or a ‘sell’ signal.
sadvolatility2(UVXYdaily, 'UVXY')Next, we have projections based on linear regression with the ‘x’ based on minutes time data.
project(UVXY15, 'UVXY')Now we want to look at information more relevant to when market hours aren’t open. This would include the return between days, then the returns between weekends. These are not ‘extremes’ as only one number between each day represent the difference between the previous day’s close and the current day’s open.
showidreturns(UVXYdaily, 'UVXY')weekendonlywr(UVXYdaily, 'UVXYwkd')Warning messages:
1: Unknown or uninitialised column: `relp`.
2: Unknown or uninitialised column: `relp`.
3: Unknown or uninitialised column: `relp`.
4: Unknown or uninitialised column: `wday`.
5: Unknown or uninitialised column: `wday`. showidreturns(UVXYwkd, 'UVXY Weekend')