Continuing our TLT analysis here’s Project Z’s log ratio approach to define TLT’s correlation with the VIX…this time using weekly bars and looking back to 2004. A 14 period Detrend oscillator is also displayed as it has proven to be a reliable confirmation signal. Expanding the chart will reveal pivot high (red) and pivot low (blue) dot markers, another indicator uncorrelated with Project Z or the Detrend, but delivering consistent signals. Cutting to the bottom line…note the current roll over of the Detrend, the Project Z sell signal (obviously premature ) and the pivot high signal 4 weeks ago. The fixed bar exit for the Project Z TLT / VIX system is 11 bars and we are now only one week away from that event.
