KioseffTrading

VIX Cheat Sheet

KioseffTrading Mis à jour   
Hello!

This indicator - "VIX Cheat Sheet" - performs several calculations for $VIX against the asset on your chart. However, using $VIX as a risk proxy or volatility metric often fails beyond large-cap U.S equities. To remedy this, the VixFix indicator is included in the script; you can select whether the script performs calculations for an asset against $VIX or against VixFix (i.e. Forex, Crypto)

Measured are: $VIX correlation to an asset's price fluctuations, the average close-to-close gain/loss subsequent a $VIX/VixFix close above the upper Bollinger Band , the average 5-session gain/loss following the same occurrence in addition to the average 10-session gain/loss, all close-to-close, 5 session, and 10-session gains/losses are stored as tooltips for labels on the chart. The current close-to-close percentage gain/loss for $VIX and VixFix are displayed on the chart.

Displayed in the example image is a box incorporating $VIX price data alongside an upper Bollinger Band and lower Bollinger Band . The data isn't cast to its own price scale but is helpful for quick interpretation of $VIX fluctuations. You can select to plot VixFix data in the box in the user inputs table.


Displayed in the second example image is a semi-transparent blue box encompassing all price moves that occurred when $VIX measured above $40 for at least ten consecutive sessions. The largest percentage close-to-close loss is displayed below the box.

Also illustrated is a red label that appears when $VIX or VixFix closes above the upper Bollinger Band . The indicator will calculate and display the performance of the asset for the subsequent 10 sessions, to which the red label will disappear and all data stored as a tooltip in the blue labels stating "VIX Closed Above Upper Band" or "VixFix Closed Above Upper Band".

To reduce chart clutter, a label and line combination marking all $VIX closes above the upper Bollinger Band was not included. Instead, bar color changes were added. When "$VIX" is selected in the user inputs table the indicator will mark all sessions in which $VIX closed above the upper band as blue, in addition to plotting $VIX price data in the dynamic black box . When "VixFix" is selected, the indicator will mark all sessions where VixFix closed above the upper band as purple; the VixFix indicator will be plotted in the black box .

Be sure to hover over labels to access tooltip information; try the indicator with bar replay!

Notes de version: Quick fix to a bar counting variable!
Notes de version: Included "aesthetic" additions!

The Vix/VixFix bottom box changes color per session. This setting can be turned off!
Notes de version:
Added more "aesthetic" features. Working on additions conducive to successful trading now!
Notes de version:
Added two box plots that appear when $VIX or VixFix closes above the upper band. The boxes are plotted at the average greatest 5-session loss and average greatest 10-session loss following a VIX/VixFix close above the upper band. This feature can be turned off!
Notes de version: Upgraded VIX TV; more to come
Notes de version: Added: label size option, option to send the VIX/VixFix/ data and S&P 500 put/call ratio data to a table positioned in the bottom right, option to change the TV size, aesthetic changes to the box plot when VIX > 40, and a fun option to change the TV color to black & white.
Notes de version: Last color changes, and fixed a date issue
Notes de version: Put some data on the chart instead of in a tooltip
Notes de version: Code cleanup
Notes de version: Fixed the referencing length error. Script is good to go on SPX now.


Thank you for the swift notify Tradingview community!
Notes de version: Added name
Notes de version: A user requested that I make the script compatible with second-based intervals.

Here it is!
Notes de version: Works on DJI

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Script open-source

Dans le véritable esprit de TradingView, l'auteur de ce script l'a publié en open-source, afin que les traders puissent le comprendre et le vérifier. Bravo à l'auteur! Vous pouvez l'utiliser gratuitement, mais la réutilisation de ce code dans une publication est régie par le règlement. Vous pouvez le mettre en favori pour l'utiliser sur un graphique.

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