L&S Volatility Index Refurbished█ Introduction
This is my second version of the L&S Volatility Index, hence the name "Refurbished".
The first version can be found at this link:
The reason I released a separate version is because I rewrote the source code from scratch with the aim of both improving the indicator and staying as close as possible to the original concept.
I feel that the first version was somewhat exotic and polluted in relation to the indicator originally described by the authors.
In short, the main idea remains the same, however, the way of presenting the result has been changed, reiterating what was said.
█ CONCEPTS
The L&S Volatility Index measures the volatility of price in relation to a moving average.
The indicator was originally described by Brazilian traders Alexandre Wolwacz (Stormer) and Fábio Figueiredo (Vlad) from L&S Educação Financeira.
Basically, this indicator can be used in two ways:
1. In a mean reversion strategy, when there is an unusual distance from it;
2. In a trend following strategy, when the price is in an acceptable region.
As an indicator of volatility, the greatest utility is shown in first case.
This is because it allows identifying abnormal prices, extremely stretched in relation to an average, including market crashes.
How the calculation is done:
First, the distance of the price from a given average in percentage terms is measured.
Then, the historical average volatility is obtained.
Finally the indicator is calculated through the ratio between the distance and the historical volatility.
According to the description proposed by the creators, when the L&S Volatility Index is above 30 it means that the price is "stretched".
The closer to 100 the more stretched.
When it reaches 0, it means the price is on average.
█ What to look for
Basically, you should look at non-standard prices.
How to identify it?
When the oscillator is outside the Dynamic Zone and/or the Fixed Zone (above 30), it is because the price is stretched.
Nothing on the market is guaranteed.
As with the RSI, it is not because the RSI is overbought or oversold that the price will necessarily go down or up.
It is critical to know when NOT to buy, NOT to sell or NOT to do anything.
It is always important to consider the context.
█ Improvements
The following improvements have been implemented.
It should be noted that these improvements can be disabled, thus using the indicator in the "purest" version, the same as the one conceived by the creators.
Resources:
1. Customization of limits and zones:
2. Customization of the timeframe, which can be different from the current one.
3. Repaint option (prints the indicator in real time even if the bar has not yet closed. This produces more signals).
4. Customization of price inputs. This affects the calculation.
5. Customization of the reference moving average (the moving average used to calculate the price distance).
6. Customization of the historical volatility calculation strategy.
- Accumulated ATR: calculates the historical volatility based on the accumulated ATR.
- Returns: calculates the historical volatility based on the returns of the source.
Both forms of volatility calculation have their specific utilities and applications.
Therefore, it is worthwhile to have both approaches available, and one should not necessarily replace the other.
Each method has its advantages and may be more appropriate in different contexts.
The first approach, using the accumulated ATR, can be useful when you want to take into account the implied volatility of prices over time,
reflecting broader price movements and higher impact events. It can be especially relevant in scenarios where unexpected events can drastically affect prices.
The second approach, using the standard deviation of returns, is more common and traditionally used to measure historical volatility.
It considers the variability of prices relative to their average, providing a more general measure of market volatility.
Therefore, both forms of calculation have their merits and can be useful depending on the context and specific analysis needs.
Having both options available gives users flexibility in choosing the most appropriate volatility measure for the situation at hand.
* When choosing "Accumulated ATR", if the indicator becomes difficult to see, there are 3 possibilities:
a) manually adjust the Fixed Zone value;
b) disable the Fixed Zone and use only the Dynamic Zone;
c) normalize the indicator.
7. Signal line (a moving average of the oscillator).
8. Option to normalize the indicator or not.
9. Colors to facilitate direction interpretation.
Since the L&S is a volatility indicator, it does not show whether the price is rising or falling.
This can sometimes confuse the user.
That said, the idea here is to show certain colors where the price is relative to the average, making it easier to analyze.
10. Alert messages for automations.
Volatilityindex
Average Range PercentageIt is indicator for average percent range (range from high to low of stock/index price) of N days,
This will help to find high percentage moving stock/index for intraday.
TTP VIX SpyTTP VIX Spy is an indicator that uses data from TVC:VIX to better time entries in the market.
The assumption used is that when the VIX is coming down from the top of its range then the risk on assets can move to the upside and when the VIX is is pushing higher there's a high likelihood or risk on assets going down.
This indicator observes the momentum of VIX using MACD. It offers two different signals both for longs and shorts: signal 1 and 2.
Signal 1 is activate when the begging of a new trend for the VIX is confirmed.
Signal 2 is activated when the VIX pulls back from an extreme value.
You can configure the parameters of the internal super trend and the look back for the slope applied to price and RSIs.
The indicator offers the following filter parameters:
- Price RSI slope: it filters signals that have RSI slope pointing in the opposite direction of the signal.
- Counter trend: it filters signals that are not counter trending super trend.
- Wide BBW: it filters signals that happen when there hasn't been high price volatility
- Price slope: it filters signals when the price is not pointing in the direction of the signal (buy: up, sell: down)
- VIX RSI filter: it filters VIX RSI values overextended. MACD can be in the right range, but sometimes RSI contradicts it. By default is OFF since it can cause false negatives.
- Working days only: it filters signals that occur in the weekend.
The colours below the price action show how the VIX momentum is changing. Transitions from red into pink and then green show how the fear is fading which tends to lead to lead to bullish moves, and the opposite when the transitions are from green to red.
Performance and initial thoughts.
I have tried VIX Spy on both BINANCE:BTCUSDT.P and BINANCE:ETHUSDT.P and it seems to offer a decent win ratio. As you can see I had to add many filter to remove bad entries and left toggles available to decide which ones you want to use.
I tried the signal in the 4H, 1H and 15min with mixed results. I tend to incline for the results in the 1H.
VIX signal offers a backtestable stream and alerts both for signals 1 and 2.
AggBands (v1) [qrsq]The "AggBands" indicator is a custom trading indicator designed to provide a consolidated view of the price action across multiple assets or trading pairs. It combines the price data from multiple tickers and calculates an aggregated price using user-defined weights for each ticker.
The indicator starts by defining the tickers to be included in the aggregation. You can choose from predefined configurations such as "BTC PAIRS," "CRYPTO TOTAL MARKET CAP," "TOP 5 PAIRS," "TOP 5 MEMECOINS," "SPX," "DXY," or "FANG." Each configuration includes specific tickers or indices relevant to the chosen category.
The indicator then fetches the closing, high, and low prices for each ticker and applies the user-defined weights to calculate the aggregated prices. The aggregated prices are normalized within a specified length to provide a consistent scale across different assets or pairs.
Next, the indicator calculates the midpoint, which is the average of the highest high and lowest low of the aggregated prices over a specified aggregation period.
To assess the volatility, the indicator calculates the price range and applies the Average True Range (ATR) indicator to determine the volatility value. The standard deviation is then computed using the price range and aggregation period, with an additional scaling factor applied to the volatility value.
Based on the standard deviation, the indicator generates multiple bands above and below the midpoint. By default, three standard deviation bands are calculated, but the user can choose between one and five bands. The upper and lower bands are smoothed using various moving average (MA) types, such as Simple Moving Average (SMA), Exponential Moving Average (EMA), Smoothed Moving Average (SMMA/RMA), Weighted Moving Average (WMA), Volume Weighted Moving Average (VWMA), Volume Weighted Average Price (VWAP), or Arnaud Legoux Moving Average (ALMA). The user can also adjust the length, offset, and sigma parameters for the moving averages.
The indicator can optionally smooth the midpoint, upper bands, and lower bands using a separate set of moving average parameters.
The indicator can be useful for traders and analysts who want to gain a consolidated view of price movements across multiple assets or trading pairs. It helps identify trends, volatility, and potential support and resistance levels based on the aggregated price and standard deviation bands. Traders can use this information to make informed decisions about trading strategies, risk management, and market analysis.
Daily Factor Indicator [CC]The Daily Factor Indicator was created by Andrea Unger (Stocks and Commodities Jun 2023 pgs 26-31), and this is a new volatility indicator that compares the body, which is the absolute difference between the previous open and previous close, and the range which is the difference between the previous high and previous low. The indicator is calculated by dividing the body and range to determine the volatility for the previous bar. This indicator will range between 0 and 1. Values closer to 1 mean very high volatility, and values closer to 0 mean very low volatility. I have introduced a simple moving average strategy to decide buy or sell signals and colors. Darker colors mean the indicator is above the threshold level, and lighter colors mean the indicator is below the threshold level. Colors are shades of green when the price is above the moving average and shades of red when the price is below the moving average. Feel free to try out your own threshold level and general buy and sell signals.
Let me know if there are any other indicators you would like me to publish!
Fierytrading: Volatility DepthDear Tradingview community,
I'd like to share one of my staple indicators with you. The volatility depth indicator calculates the volatility over a 7-day period and plots it on your chart.
This indicator only works for the DAILY chart on BTC/USD.
Colors
I've color coded the indicator as follows:
- Red: Extreme Volatility
- Orange: High Volatility
- Yellow: Normal Volatility
- Green: Low Volatility
Red: extreme changes in price. Often during local tops and bottoms.
Orange: higher than average moves in price. Often before or after a "red" period. Often seen in the middle of bear or bull markets.
Yellow: normal price action. Often seen during early stage bull-markets and late stage bear-markets.
Green: very low price movement. Often during times of indecision. Once this indicator becomes green, you can expect a big move in either direction. Low volatility is always followed by high volatility.
In a long-term uptrend, a green period often signals a bullish break out. In a long-term downtrend it often signals a bearish break out.
How to use
Save the indicator and apply it to your chart. You can change the length in the settings, but it's optimized for 7 days, so no need to change it.
I've build in alerts for all 4 different volatility periods. In most cases, the low volatility alert is enough.
Good luck!
Volatility Spike EstimatorPlots the Average True Range (ATR), its historical mean, the upper threshold for a volatility spike, and uses background color to show the likelihood of a volatility spike based on the current ATR value.
Green background indicates an increased likelihood of a volatility spike, while red background means a spike might have already occurred or be in progress.
Update: In this version, we added a short-term ATR calculation with an adjustable input parameter, shortTermATRLength. The likelihood of a volatility spike is now estimated based on the short-term ATR instead of the original ATR. This change makes the indicator more sensitive to recent market conditions and can help detect potential volatility spikes more quickly.
Fibonacci Volatility BandsFibonacci Volatility Bands are just an alternative that allows for more margin than regular Bollinger Bands. They are created based on an average of moving averages that use the Fibonacci sequence as lookback periods.
The use of the Fibonacci Volatility Bands is exactly the same as the Bollinger Bands.
Strategy Myth-Busting #11 - TrendMagic+SqzMom+CDV - [MYN]This is part of a new series we are calling "Strategy Myth-Busting" where we take open public manual trading strategies and automate them. The goal is to not only validate the authenticity of the claims but to provide an automated version for traders who wish to trade autonomously.
Our 11th one is an automated version of the "Magic Trading Strategy : Most Profitable Indicator : 1 Minute Scalping Strategy Crypto" strategy from "Fx MENTOR US" who doesn't make any official claims but given the indicators he was using, it looked like on the surface that this might actually work. The strategy author uses this on the 1 minute and 3 minute timeframes on mostly FOREX and Heiken Ashi candles but as the title of his strategy indicates is designed for Crypto. So who knows..
To backtest this accurately and get a better picture we resolved the Heiken Ashi bars to standard candlesticks . Even so, I was unable to sustain any consistency in my results on either the 1 or 3 min time frames and both FOREX and Crypto. 10000% Busted.
This strategy uses a combination of 3 open-source public indicators:
Trend Magic by KivancOzbilgic
Squeeze Momentum by LazyBear
Cumulative Delta Volume by LonesomeTheBlue
Trend Magic consists of two main indicators to validate momentum and volatility. It uses an ATR like a trailing Stop to determine the overarching momentum and CCI as a means to validate volatility. Together these are used as the primary indicator in this strategy. When the CCI is above 0 this is confirmation of a volatility event is occurring with affirmation based upon current momentum (ATR).
The CCI volatility indicator gets confirmation by the the Cumulative Delta Volume indicator which calculates the difference between buying and selling pressure. Volume Delta is calculated by taking the difference of the volume that traded at the offer price and the volume that traded at the bid price. The more volume that is traded at the bid price, the more likely there is momentum in the market.
And lastly the Squeeze Momentum indicator which uses a combination of Bollinger Bands, Keltner Channels and Momentum are used to again confirm momentum and volatility. During periods of low volatility, Bollinger bands narrow and trade inside Keltner channels. They can only contract so much before it can’t contain the energy it’s been building. When the Bollinger bands come back out, it explodes higher. When we see the histogram bar exploding into green above 0 that is a clear confirmation of increased momentum and volatile. The opposite (red) below 0 is true when there are low periods. This indicator is used as a means to really determine when there is premium selling plays going on leading to big directional movements again confirming the positive or negative momentum and volatility direction.
If you know of or have a strategy you want to see myth-busted or just have an idea for one, please feel free to message me.
Trading Rules
1 - 3 min candles
FOREX or Crypto
Stop loss at swing high/low | 1.5 risk/ratio
Long Condition
Trend Magic line is Blue ( CCI is above 0) and above the current close on the bar
Squeeze Momentum's histogram bar is green/lime
Cumulative Delta Volume line is green
Short Condition
Trend Magic line is Red ( CCI is below 0) and below the current close on the bar
Squeeze Momentum's histogram bar is red/maroon
Cumulative Delta Volume line is peach
Implied Volatility Suite (TG Fork)Displays the Implied Volatility, which is usually calculated from options, but here is calculated indirectly from spot price directly, either using a model or model-free using the VIXfix.
The model-free VIXfix based approach can detect times of high volatility, which usually coincides with panic and hence lowest prices. Inversely, the model-based approach can detect times of highest greed.
Forked and updated by Tartigradia to fix some issues in the calculations, convert to pinescript v5 and reverse engineered to reproduce the "Implied Volatility Rank & Model Free IVR" indicator by the same author (but closed source) and allow to plot both model-based and model-free implied volatilities simultaneously.
If you like this indicator, please show the original author SegaRKO some love:
Stochastic Vix Fix SVIX (Tartigradia)The Stochastic Vix or Stochastic VixFix (SVIX), just like the Williams VixFix, is a realized volatility indicator, and can help in finding market bottoms as well as tops without requiring bollinger bands or any other construct, as the SVIX is bounded between 0-100 which allows for an objective thresholding regardless of the past.
Mathematically, SVIX is the complement of the original Stochastic Oscillator, with such a simple transform reproducing Williams' VixFix and the VIX index signals of high volatility and hence of market bottoms quite accurately but within a bounded 0-100 range. Having a predefined range allows to find markets bottoms without needing to compare to past prices using a bollinger band (Chris Moody on TradingView) nor a moving average (Hesta 2015), as a simple threshold condition (by default above 80) is sufficient to reliably signal interesting entry points at bottoming prices.
Having a predefined range allows to find markets bottoms without needing to compare to past prices using a bollinger band (Chris Moody on TradingView) nor a moving average (Hesta 2015), as a simple threshold condition (by default above 80) is sufficient to reliably signal interesting entry points at bottoming prices.
Indeed, as Williams describes in his paper, markets tend to find the lowest prices during times of highest volatility, which usually accompany times of highest fear.
Although the VixFix originally only indicates market bottoms, the Stochastic VixFix can also indicate good times to exit, when SVIX is at a low value (default: below 20), but just like the original VixFix and VIX index, exit signals are as usual much less reliable than long entries signals, because: 1) mature markets such as SP500 tend to increase over the long term, 2) when market fall, retail traders panic and hence volatility skyrockets and bottom is more reliably signalled, but at market tops, no one is panicking, price action only loses momentum because of liquidity drying up.
Compared to Hesta 2015 strategy of using a moving average over Williams' VixFix to generate entry signals, SVIX generates much fewer false positives during ranging markets, which drastically reduce Hesta 2015 strategy profitability as this incurs quite a lot of losses.
This indicator goes further than the original SVIX, by restoring the smoothed D and second-level smoothed D2 oscillators from the original Stochastic Oscillator, and use a 14-period ZLMA instead of the original 20-period SMA, to generate smoother yet responsive signals compared to using just the raw SVIX (by default, this is disabled, as the original raw SVIX is used to produce more entry signals).
Usage:
Set the timescale to daily or weekly preferably, to reduce false positives.
When the background is highlighted in green or when the highlight disappears, it is usually a good time to enter a long position.
Red background highlighting can be enabled to signal good exit zones, but these generate a lot of false positives.
To further reduce false positives, the SVIX_MA can be used to generate signals instead of the raw SVIX.
For more information on Williams' Vix Fix, which is a strategy published under public domain:
The VIX Fix, Larry Williams, Active Trader magazine, December 2007, web.archive.org
Fixing the VIX: An Indicator to Beat Fear, Amber Hestla-Barnhart, Journal of Technical Analysis, March 13, 2015, ssrn.com
For more information on the Stochastic Vix Fix (SVIX), published under Creative Commons:
Replicating the CBOE VIX using a synthetic volatility index trading algorithm, Dayne Cary and Gary van Vuuren, Cogent Economics & Finance, Volume 7, 2019, Issue 1, doi.org
Note: strangely, in the paper, the authors failed to mention that the SVIX is the complement of the original Stochastic Oscillator, instead reproducing just the original equation. The correct equation for the SVIX was retroengineered by comparing charts they published in the paper with charts generated by this pinescript indicator.
For a more complete indicator, see:
Williams Vix Fix ultra complete indicator (Tartigradia)Williams VixFix is a realized volatility indicator developed by Larry Williams, and can help in finding market bottoms.
Indeed, as Williams describe in his paper, markets tend to find the lowest prices during times of highest volatility, which usually accompany times of highest fear. The VixFix is calculated as how much the current low price statistically deviates from the maximum within a given look-back period.
Although the VixFix originally only indicates market bottoms, its inverse may indicate market tops. As masa_crypto writes : "The inverse can be formulated by considering "how much the current high value statistically deviates from the minimum within a given look-back period." This transformation equates Vix_Fix_inverse. This indicator can be used for finding market tops, and therefore, is a good signal for a timing for taking a short position." However, in practice, the Inverse VixFix is much less reliable than the classical VixFix, but is nevertheless a good addition to get some additional context.
For more information on the Vix Fix, which is a strategy published under public domain:
* The VIX Fix, Larry Williams, Active Trader magazine, December 2007, web.archive.org
* Fixing the VIX: An Indicator to Beat Fear, Amber Hestla-Barnhart, Journal of Technical Analysis, March 13, 2015, ssrn.com
* Replicating the CBOE VIX using a synthetic volatility index trading algorithm, Dayne Cary and Gary van Vuuren, Cogent Economics & Finance, Volume 7, 2019, Issue 1, doi.org
Created By ChrisMoody on 12-26-2014...
V3 MAJOR Update on 1-05-2014
tista merged LazyBear's Black Dots filter in 2020:
Extended by Tartigradia in 10-2022:
* Can select a symbol different from current to calculate vixfix, allows to select SP:SPX to mimic the original VIX index.
* Inverse VixFix (from masa_crypto and web.archive.org)
* VixFix OHLC Bars plot
* Price / VixFix Candles plot (Pro Tip: draw trend lines to find good entry/exit points)
* Add ADX filtering, Minimaxis signals, Minimaxis filtering (from samgozman )
* Convert to pinescript v5
* Allow timeframe selection (MTF)
* Skip off days (more accurate reproduction of original VIX)
* Reorganized, cleaned up code, commented out parts, commented out or removed unused code (eg, some of the KC calculations)
* Changed default Bollinger Band settings to reduce false positives in crypto markets.
Set Index symbol to SPX, and index_current = false, and timeframe Weekly, to reproduce the original VIX as close as possible by the VIXFIX (use the Add Symbol option, because you want to plot CBOE:VIX on the same timeframe as the current chart, which may include extended session / weekends). With the Weekly timeframe, off days / extended session days should not change much, but with lower timeframes this is important, because nights and weekends can change how the graph appears and seemingly make them different because of timing misalignment when in reality they are not when properly aligned.
Expected SPX Movement by timeframeTHIS INDICATOR ONLY WORKS FOR SP:SPX CHART
This code will help you to measure the expected movement of SP:SPX in a previously selected timeframe based on the current value of VIX index
E.g. if the current value of VIX is 30 we calculate first the expected move of the next 12 months.
If you selected the Daily timeframe it will calculate the expected move of SPX in the next Day by dividing the current VIX Value by the squared root of 252
(The 252 value corresponds to the approximate amount of trading sessions of the year)
If you selected the Weekly timeframe it will calculate the expected move of SPX in the next Week by dividing the current VIX Value by the squared root of 52
(The 52 value corresponds to the amount of weeks of the year)
If you selected the Monthly timeframe it will calculate the expected move of SPX in the next Week by dividing the current VIX Value by the squared root of 12
(The 12 value corresponds to the amount of months of the year)
For lower timeframes you have to calculate the amount of ticks in each trading session of the year in order to get that specific range
Once you have that calculation it it'll provide the range expressed as percentage of the expected move for the following period.
This script will plot that information in a range of 2 lines which represents the expected move of the SPX for the next period
The red flag indicator tells if that period closed between the 2 previous values marked by the range
Volatility Percentage IndicatorThis simple indicator plot 11 lines in the chart at prices that correspond to -5%, -4%, -3%, -2%, -1%, 0%, 1%, 2%, 3%, 4%, 5%, referred to realtime price.
So the lines will move with the price.
The indicator is intended to give an at-a-glance information on price volatility by comparing the amplitude of the last candles with the percentages above.
Higher Time Frame EMAs and 1% volatility indicatorSet the "higher time frame" (HTF) from which the EMAs will be calculated in all timeframes.
Example: I chose timeframe 1D and I will see the EMAs from TF 1D also in smaller TF as 1, 5, 30, 60 minutes.
There are 4 EMAs. The default values are 5, 10, 60 and 223 periods from "Scalping the Bull" indicator.
You can change the periods of each EMA.
The indicator have also a volatility indication, showing -1% and +1% price levels.
VolatilityVolatility - The amount of price deviation in the specified time interval.
The calculation is made from the opening point to the closing point, and the maximum and minimum deviation between them is also included. Any timeframes are supported.
Available information: the start date of the calculation (according to the time zone of the exchange), the current volatility from the initial opening point or from the last closing point, the total volatility for all periods.
An indicator of useful use in everyday work.
Thanks for your attention!
Ichimoku Kinkō hyō 目均衡表█ OVERVIEW
Ichimoku is known to be an Indicator that completes itself, for its power but also for its complexity. This is why I decided to improve the work of
Goichi Hosoda in order to offer the maximum number of options for the most seasoned users but also beginners with options to simplify the
reading of Ichimoku (such as a panel directly giving you the status of each Ichimoku options or Supports/Resistances drawn automatically
according to the conditions chosen in the settings.
█ OPTIONS
Here is the complete list of options to implement :
- "Source" and "Alternative Source" (with lots of choices)
- Heikin Ashi volume.
- Weighted Moving Average Smoothing
- Minimum, Maximum and Adaptive Percentage Length adjustable for Tenkan-Sen, Kijun-Sen, Chikou Span and Senkou-Span)
- The Chikou has a Filter with modifiable Length (in Lookback Percentage)
- Advanced Filter Settings: Volume, Tenkan-Sen/Kijun-Sen Cross, Volatility, Tenkan-Sen Equal Kijun-Sen, Chikou Greater Than Price,
Chikou Momentum, Price Greater Than Kumo, Price Greater Than Tenkan-Sen, Chikou Trend Filter .
- Oscillator volume adjustable via drop-down menu with 5 types of oscillators available: "TFS Volume", "On Balance Volume",
"Klinger Volume", "Cumulative Volume", "Volume Zone".
- Relative Volume Strength Index with Length, Peak and EMA's adjustable. 3 Oscillators available: “On Balance Volume”,
“Cumulative Volume”, “Price Volume Trend”.
- Volatility adjustable with Fast and Slow Length.
- Totally customizable Support and Resistance.
- Bar Trend Color based on chosen settings.
- Fully customizable help panel.
- Alerts available for: Labels Detection, Support/Resistance Line Cross, Panel Trend Status Direction.
█ NOTES
Remember to only make a decision once you are sure of your analysis. Good trading sessions to everyone and don't forget,
risk management remains the most important!
VIX: Backwardation Vs ContangoVIX: Backwardation Vs Contango
Quickly visualize Contango vs Backwardation in the S&P 500 Volatility Index by plotting the prices of the futures contracts over the next 9 months
Note: indicator does not map to time axis in the same way as price; it simply plots the progression of contract months out into the future; left to right; so timeframe DOESN'T MATTER for this plot
TO UPDATE(every few months recommended): in REQUEST CONTRACTS section, delete old contracts (top) and add new ones (bottom). Then in PLOTTING section, Delete old contract labels (bottom); add new contract labels (top); adjust the X in 'bar_index-(X+_historical)' numbers accordingly
This is one of several similar indicators: Meats | Metals | Grains | VIX
Tips:
-Right click and reset chart if you can't see the plot; or if you have trouble with the scaling.
-Right click and pin to Scale A to plot on the same scale as price
--Added historical input: input days back in time; to see the historical shape of the Futures curve via selecting 'days back' snapshot
updated 15th June 2022
© twingall
Index Reversal Range with Volatility Index or VIXWhat is the Indicator?
• The indicator is a visualization of maximum price in which the respective index can go up to in comparison with it's Volatility Index or VIX.
Who to use?
• Intraday
• Swing
• Position
• Long term Investors
• Futures
• Options
• Portfolio Managers
• Mutual Fund Managers
• Index Traders
• Volatility based Traders
• Long term Investors and Options Traders gets the maximum benefit
What timeframe to use?
• 1 Year: Position & Investors
• 6 Months: Position & Investors
• 3 Months: Swing & Position
• 1 Month: Swing & Position
• 1 Week: Swing
• 1 Day: Swing
• 1 Hour: Intraday & Swing
What are Upper and Lower lines?
• Upper Line: If the index price reach closer to the Upper line there is a high chance of reversal to Bearish trend.
• Lower Line: If the index price reach closer to the Lower line there is a high chance of reversal to Bullish trend.
• This need to be confirmed with multiple levels like Daily, Weekly, Monthly etc.
How to use?
• If the price reach closer to that level there is a high chance of reversal from the current trend.
• To identify the reversal zone of the index.
• To identify the trend.
• Option Traders can Sell a Call or Put Option from that level.
• Long term Investors, Position or Swing traders can plan for a Long entry.
• Intraday traders can use lower timeframes to do the same.
Indicator Menu
• Input VIX: Identify the VIX Symbol of your Index and type it in the box.
• For example for NIFTY Index chart type INDIAVIX in the box.
• Choose multiple timeframes according to your convenience.
How to turn on indicator Name and Value labels?
• Right side of the screen >
• Right click on the Price scale >
• Labels > Indicators and financial name labels, Indicators and financial value labels
Further Reading:
• Various videos and reading materials are available about this method.
Volatility Trigger IndexThe script allows to assess the volatility of an asset.
It works by calculating the rate of change and the standard deviation.
The index is useful to determine the lowest volatility periods (could be useful to look strategies) and also it determine the highest volatility periods (maybe for exits or partial closes).
It has 3 iputs:
Lenght.
Low volatility value.
High volatility value.
The low and high values are set after a visual inspection. The values changes in each time frame. Usually when the timeframe is higher the value of the index is higher as well. So the low and high levels must be changed after each time frame set.
As an idea could be used in combination with any moving average to determine the market direction and the index used as a trigger.
ATR with MAOVERVIEW
The Average True Range Moving Average (ATRMA) is a technical indicator that gauges the amount of volatility currently present in the market, relative to the historical average volatility that was present before. It adds a moving average to the Average True Range (ATR) indicator.
This indicator is extremely similar to the VOXI indicator, but instead of measuring volume, it measures volatility. Volume measures the amount of shares/lots/units/contracts exchanged per unit of time. Volatility, on the other hand, measures the range of price movement per unit of time.
The purpose of this indicator is to help traders filter between non-volatile periods in the market from volatile periods in the market without introducing subjectivity. It can also help long-term investors to determine market regime using volatility without introducing subjectivity.
CONCEPTS
This indicator assumes that trends are more likely to start during periods of high volatility, and consolidation is more likely to persist during periods of low volatility. The indicator also assumes that the average true range (ATR) of the last 14 candles is reflective of the current volatility in the market. ATR is the average height of all the candles, where height = |high - low|.
Suppose the ATR of the last 14 candles is greater than a moving average of the ATR(14) of the last 20 candles (this occurs whenever the indicator's filled region is colored BLUE). In that case, we can assume that the current volatility in the market is high.
Suppose the ATR of the last 14 candles is less than the moving average of the ATR(14) of the last 20 candles (this occurs whenever the indicator's filled region is colored RED). In that case, we can assume that the current volatility in the market is low.
HOW DO I READ THIS INDICATOR?
If the ATR line is above the ATR MA line (indicated by the blue color), the current volatility is greater than the historical average volatility.
If the ATR line is above the ATR MA line (indicated by the red color), the current volatility is less than the historical average volatility.
Dynamic ADX - [The Pine Guru]Dynamic ADX by The Pine Guru
What is the Dynamic ADX?
The Dynamic ADX is an indicator created using the regular ADX, Line, and additional ADX Moving Average. This MA allows the script to calculate the ADX differently to the original ADX, providing greater input and accessibility to the user. As the ADX is a volatility indicator, it is communicates to trend strength in the markets. The Dynamic ADX displays these trending Periods through user controlled visualizers like Fills, Background Color, and Bar Color.
How do I use the Dynamic ADX?
This indicator has 4 different "versions" or "conditions" in which it displays trend strength. These are achieved by checking and unchecking ADX, ADX MA and Line. Different combinations of these 3 inputs will result in a change of true condition that the script outputs.
Dynamic ADX Achieved by checking the ADX and ADX MA, results in an ADX similar to an MA Crossover, with the ADX being over the MA indicating a true or strong trend condition.
Regular ADX Achieved by Checking the ADX and Line. Results in the regular calculation of the ADX.
Mixture Achieved by Checking all three sections, which results in the calculation a normal ADX as well as the MA. Provides and extra condition or confluence into the ADX.
MA and Line Achieved by checking the ADX MA and Line. Results in a similar calculation to an original ADX but with a smoother MA.
Recommendations
This indicator will work typically in all markets with high volume and volatility. It is recommended that it is used as a confluence in a trading system, and not as an outright indicator. As always do your own testing before live use with this indicator. Do your own Research and refinements.
Please Leave a like if you enjoy this Indicator
LS Volatility Index█ OVERVIEW
This indicator serves to measure the volatility of the price in relation to the average.
It serves four purposes:
1. Identify abnormal prices, extremely stretched in relation to an average;
2. Identify acceptable prices in the context of the main trend;
3. Identify market crashes;
4. Identify divergences.
█ CONCEPTS
The LS Volatility Index was originally described by Brazilian traders Alexandre Wolwacz (Stormer) , Fabrício Lorenz , and Fábio Figueiredo (Vlad)
Basically, this indicator can be used in two ways:
1. In a mean reversion strategy , when there is an unusual distance from it;
2. In a trend following strategy , when the price is in an acceptable region.
Perhaps the version presented here may have some slight differences, but the core is the same.
The original indicator is presented with a 21-period moving average, but here this value is customizable.
I made some fine tuning available, namely:
1. The possibility of smoothing the indicator;
2. Choose the type of moving average;
3. Customizable period;
4. Possibility to show a moving average of the indicator;
5. Color customization.
█ CALCULATION
First, the distance of the price from a given average in percentage terms is measured.
Then, the historical average volatility is obtained.
Finally the indicator is calculated through the ratio between the distance and the historical volatility.
To facilitate visualization, the result is normalized in a range from 0 to 100.
When it reaches 0, it means the price is on average.
When it hits 100, it means the price is way off average (stretched).
█ HOW TO USE IT
Here are some examples:
1. In a return-to-average strategy
2. In a trend following strategy
3. Identification of crashes and divergences
█ THANKS AND CREDITS
- Alexandre Wolwacz (Stormer), Fabrício Lorenz, Fábio Figueiredo (Vlad)
- Feature scaler (for normalization)
- HPotter (for calc of Historical Volatility)
