Group Mentoring: Volatility Term Structure Filtering

Download the Tradestation workspace here

{6 total data series, SPX, V9, V30, V3M, V6M, V1Y}
 Inputs:
 Model(1);
 Vars:
 V9D(0),
 V1(0),
 V3(0),
 V6(0),
 V12(0);
 V9D = c data2;
 V1 = c data3;
 V3 = c data4;
 V6 = c data5;
 V12 = c data6;
 If Model = 0 then Begin
 If V9D < V1 then buy (100000/c + EquityCurve) shares next bar market;  if date = 1210504 then sell next bar market;
 end;
 If Model = 1 then Begin
 If V9D < V1 then buy (100000+ EquityCurve) /c shares next bar market;  if V9D > V1 then sell next bar market;
 end;
 If Model = 2 then Begin
 If V1 < V3 then buy (100000+ EquityCurve) /c shares next bar market;  if V1 > V3 then sell next bar market;
 end;
 If Model = 3 then Begin
 If V3 < V6 then buy (100000/c + EquityCurve) shares next bar market;  if V3 > V6 then sell next bar market;
 end;
 If Model = 4 then Begin
 If V6 < V12 then buy 100000/c shares next bar market;  if V6 > V12 then sell next bar market;
 end;