Saturday, November 14, 2015

2015.11.13 VIX Cycle Model Chart

2015.11.13 VIX Cycle Model Chart

















A reminder that all models are wrong but some are useful is appropriate at this time. While the model does not capture very short-term fluctuations, it has performed reasonably well in the long term, in spite of a continued bias of the phase shift into the future.  I have put the last two iterations of the model below to illustrate the mutability of the model over time, also shown on the blog here and here. Remembering that the fate of these models is they either adapt within their own "error" tolerance, or they fail to converge, or they converge but the predictive curve continues to overestimate or underestimate the price curve for a prolonged period.  The latter is what happened to the ill-fated DJIA model vs. 1.00!


2015.10.16 VIX Cycle Model Chart

















2015.07.10 VIX Cycle Model Chart