来自于两年前用户公开的一个简单的波动率策略
https://www.fmz.com/strategy/200131
无意翻到, 用PINE重写了下代码量减少了 90% 给量化的朋友们学习参考
/*backtest start: 2021-05-16 00:00:00 end: 2022-05-15 23:59:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Bitfinex","currency":"BTC_USD"}] */ N = input(50, '指数计算周期') vix = math.log(close) / math.log(close[N-1]) - 1 vix_ma = ta.sma(vix, N)
