IV Percentile watchlist column

[AlwaysLearning]

Hi,

I have imported this IV Percentile (current IV vs. "normal" IV) watchlist column study : http://tos.mx/6IlMBw. But it shows either NaN or Error value in column. Can you please check if something is wrong with the script?

 

[halcyonguy]

Hi,

I have imported this IV Percentile (current IV vs. "normal" IV) watchlist column study : http://tos.mx/6IlMBw. But it shows either NaN or Error value in column. Can you please check if something is wrong with the script?

next time, post the code and a link where it came from

its near impossible to debug a bad column study.
copy the code and make a lower chart study.
then add a line and a bubble to display some variables.


lower chart study for debugging

#iv_per_col02_lower

# col
#iv_per_col02
#https://usethinkscript.com/threads/iv-percentile-watchlist-column.21441/
#IV Percentile watchlist column
#AlwaysLearning  8/20

#I have imported this IV Percentile (current IV vs. "normal" IV) watchlist column study 
#http://tos.mx/6IlMBw
#But it shows either NaN or Error value in column. Can you please check if something is wrong with the script?

declare lower;

input tradingDays = 252;
#input period = AggregationPeriod.DAY;

#def IV = if !IsNaN(imp_volatility(period = period))
#         then imp_volatility(period = period)
def IV = if !IsNaN(imp_volatility())
         then imp_volatility()
         else IV[1];

def IVperc = fold i = 0 to tradingDays
             with p = 0
#             do if IV < GetValue(IV , -i, tradingDays) 
             do if IV < GetValue(IV , -i) 
                then IVperc[1] + 1 
                else IVperc[1];

def normal_IV =  fold j = 0 to tradingDays
               with q = 0
               do if 1 == 1
                then normal_IV[1] + 1 
                else normal_IV[1];

plot IVpercentile = IVperc / (tradingDays + 1);


plot z = 0;

addchartbubble(1, 0,
iv + "\n" +
IVperc + "\n" +
normal_IV + "\n" +
IVpercentile  + "\n" 
, color.yellow, no);

#AssignBackgroundColor (if IVpercentile < 0.35 then color.GREEN else if IVpercentile > 0.70 then color.RED else color.LIGHT_GRAY);
#

when i loaded this as a lower study, the white circle with the ! appeared in the top left of chart.
(252) getvalue: dynamic offset cannot exceed max offset

def IVperc = fold i = 0 to tradingDays
             with p = 0
             do if IV < GetValue(IV , -i, tradingDays)
                then IVperc[1] + 1
                else IVperc[1];

i never use the 3rd parameter on getvalue.

i removed it, from this
. do if IV < GetValue(IV , -i, tradingDays)
to this
. do if IV < GetValue(IV , -i)
and my lower plotted data


i removed the 3rd parameter ( and the 2nd agg DAY stuff) in the column code and it worked.


ps
1. you dont need 2nd aggregation . just specify DAY time in the column config window

2. you didn't specify a color for the plot. in a column, this will be the font color. my numbers were white, hard to read. i added a black color


column code

# HINT: This IV percentile is NOT a 0 - 100 rank of where current IV is located within the 52-week high/low range for ImpVolatility.  Instead this IV percentile compares 52-weeks of ImpVolatility data to determine where current IV is located relative to "normal" ImpVolatility.
# Many times IV percentile rank will be same or similar to IV percentile, however, if there has been a spike high or spike low in the ImpVolatility high/low range that spike(s) can skew IV percentile rank causing current IV to appear lower or higher than actual realtive to "normal" IV

input tradingDays = 252;
#input period = AggregationPeriod.DAY;

def IV = if !IsNaN(imp_volatility())
         then imp_volatility()
         else IV[1];

def IVperc = fold i = 0 to tradingDays
             with p = 0
#             do if IV < GetValue(IV , -i, tradingDays)
             do if IV < GetValue(IV , -i)
                then IVperc[1] + 1
                else IVperc[1];

def normal_IV =  fold j = 0 to tradingDays
               with q = 0
               do if 1 == 1
                then normal_IV[1] + 1
                else normal_IV[1];

plot IVpercentile = IVperc / (tradingDays + 1);
IVpercentile.setdefaultcolor(color.black);

AssignBackgroundColor (if IVpercentile < 0.35 then color.GREEN else if IVpercentile > 0.70 then color.RED else color.LIGHT_GRAY);
#

 

[AlwaysLearning]

Awesome, thanks @halcyonguy