Easylanguage Code for Testing Big VIX Divergences

On October 7, 2024, we noticed the S&P 500 was only about 1.5% off of its recent highs from September 26, 2024 while the VIX was up over 50% from its lows on September 26, 2024. This stood out as a big VIX Divergence. You would think this would be a leading indicator and the market would potentially sell off on this technical divergence. The sample size is very small and not indicative of a good sell signal.

The code to test this idea is below.

//** Copyright (c) 1998-2022 Capstone Trading Systems All rights reserved. **

//http://capstonetradingsystems.com

//On October 7, 2024, we noticed the S&P 500 was only about 1.5% off of its recent highs from //September 26,2024 while the VIX was up over 50% from its lows on September 26, 2024.

//Data1 is @ES Daily and data2 is $VIX.X Daily

Value1=High of data2;

Value2=Lowest(Low of data2,7) of data2;

If Value1 > 1.5*Value2

and Close > .985*(Highest(H,7))

Then sell short this bar on Close;

SetStopContract;

SetStopLoss(3000);

SetProfitTarget(2000);