Williams’ VIX Fix Indicator for ThinkorSwim

[blakecmathis]

@skynetgen Added Vix Fix to 2000t. Starting to look like a clean addition to the setup.

 

[horserider]

@diazlaz @blakecmathis @Trading51

This was already done in ToS. I have had it for some time. Buy and sell in same study. I added the color bars for those that like them. I will not be using that part.

# Inverse CM_Williams_Vix_Fix Study
# by Jaime Pinto
# Aug/25/2016
# Candle Colors added by Horserider 11/8/2019

declare lower;

input pd = 22; # title="LookBack Period Standard Deviation High")
input bbl = 20; # title="Bolinger Band Length")
input mult = 2.0; #   , minval=1, maxval=5, title="Bollinger Band Standard Devaition Up")
input lookBack = 50; # title="Look Back Period Percentile High")
input ph = .85; # title="Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%")
#input pl = 1.01; # title="Lowest Percentile - 1.10=90%, 1.05=95%, 1.01=99%")
def hp = no; # title="Show High Range - Based on Percentile and LookBack Period?")
def sd = no; # title="Show Standard Deviation Line?")



def WVF_buy = (Highest(close, pd) - low) / (Highest(close, pd)) * 100;

plot Inv_WVF_buy =  -WVF_buy;
Inv_WVF_buy.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
Inv_WVF_buy.SetLineWeight(3);

def WVF_sell = (Lowest(close, pd) - high) / (Lowest(close, pd)) * 100;

plot Inv_WVF_sell = -WVF_sell;
Inv_WVF_sell.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
Inv_WVF_sell.SetLineWeight(3);

def sDev_buy = mult * StDev(WVF_buy, bbl);
def MidLine_buy = Average(WVF_buy, bbl);

def sDev_sell = mult * StDev(WVF_sell, bbl);
def MidLine_sell = Average(WVF_sell, bbl);

def UpperBand = MidLine_buy + sDev_buy;
def LowerBand = MidLine_sell - sDev_sell;
plot UB = if sd then UpperBand else Double.NaN;
plot LB = if sd then LowerBand else Double.NaN;
UB.SetDefaultColor(Color.DARK_GREEN);
LB.SetDefaultColor(Color.DARK_RED);

def rangeHigh = (Highest(WVF_buy, lookBack)) * ph;
plot rH = if hp then rangeHigh else Double.NaN;
rH.SetDefaultColor(Color.DARK_GREEN);

def rangeLow = (Lowest(WVF_sell, lookBack)) * ph;
plot rL = if hp then rangeLow else Double.NaN;
rL.SetDefaultColor(Color.DARK_RED);

def buy = WVF_buy >= UpperBand or  WVF_buy >= rangeHigh;
def sell = WVF_sell <= LowerBand or  WVF_sell <= rangeLow;

Inv_WVF_buy.AssignValueColor(if buy then Color.RED else Color.GRAY);
Inv_WVF_sell.AssignValueColor(if sell then Color.GREEN else Color.GRAY);

plot BULL = if buy[1] + buy[2] + buy[3] >= 3 and buy == 0 then -WVF_buy else Double.NaN;
BULL.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
BULL.AssignValueColor(Color.WHITE);
BULL.SetLineWeight(2);

plot BEAR = if sell[1] + sell[2] + sell[3] >= 3 and sell == 0 then -WVF_sell else Double.NaN;
BEAR.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);
BEAR.AssignValueColor(Color.YELLOW);
BEAR.SetLineWeight(2);

plot zeroLine = 0;
zeroLine.SetDefaultColor(Color.GRAY);

input colorCandles = yes; #hint Color Candles

AssignPriceColor(if buy then Color.RED else if sell then Color.GREEN else Color.GRAY);

 

[blakecmathis]

Jesus man that's a night and day difference!!! Appreciate the tip brotha!

V3 produced some beautiful confirmation today trading ES on a 2000t chart. Amazing work guys! @BenTen @diazlaz

 

[lance]

Hi Ben - for the Mobius version - is there a way to add alert code?

 

[BenTen]

@lance of course, what's the condition for the alert?

 

[lance]

at the very least a cross above/below the mean, ideally i'd like a threshold breakout as well (off the peaks or perhaps a static value that is user-defined)

 

[BenTen]

@lance With Mobius version, you can build your own scanner via the Scan tab. There is nothing complicate about it. Select the condition you want and scan.

 

[lance]

I prefer to use it intraday on a single chart and would like to get alerts once conditions are triggered

 

[wtf_dude]

I prefer to use it intraday on a single chart and would like to get alerts once conditions are triggered

I think BT's asking what conditions you want exactly? have you not decided yet?

 

[lance]

Perhaps a screenshot is in order -basically 2 possible alerts, one is when the WVF crosses above/below the mean and another is a possible cross above/below a user-defined static amount (refer to the horizontal line in the screenshot as an example).

 

[wtf_dude]

Perhaps a screenshot is in order -basically 2 possible alerts, one is when the WVF crosses above/below the mean and another is a possible cross above/below a user-defined static amount (refer to the horizontal line in the screenshot as an example).

I was thinking about the static amount bit, the problem is that the scale is different for every stock/fund. One thing I noticed is that you wont see the reversal hint until the VF tops out and starts coming back down. Just going up to "overbought" doesnt mean it wont go up more. Eyeballing the move above or below the average though, doesn't look too terribly helpful

Here is the alert code for above or below average:

Alert(WVF crosses above mean, "VixFIX crosses above average", Alert.Bar, Sound.Ring);
Alert(WVF crosses below mean, "VixFIX crosses below average", Alert.Bar, Sound.Ring);

 

[lance]

the crosses are more designed for alert purposes rather than actionable entry/exit signals - I was thinking setting a drawing alert could be used in lieu of code but that doesn't seem to be an option for lower panes -thanks for the mean cross code though -any other ideas to the user-defined threshold code is welcome

 

[wtf_dude]

Here's a percentile version I threw together. I was thinking you could use it as a scan. Just scan for R is greater than 90, etc to find the stocks that are schizing out. You will need to adjust the number of bars to the current aggregation youre on. I think theres a way to do it automatically kind of like getaggregationperiod, but I don't remember off the top of my head.

#Dilbert_VixFix
# V1.0  - 052816 - Dilbert - 1st code cut
# VixFix is a pretty close approximation to the standard VIX or implied volatility.  It can be used on intraday chart aggregations, and on symbols that do not have options.  When VixFIX spikes high it provides some pretty good buy signals.
input OverSold = .1;  # .1 good for SPY 1 day 1 minute chart
input OverBought = .01;  # .01 good for SPY 1 day 1 minute chart
input LengthVF = 22;
input LengthMA = 20;
input percentilelength = 252;
declare lower;
def C = close;
def L = low;
def VixFix = (Highest (C, LengthVF) - L) / (Highest (C, LengthVF)) * 100;
def agg= getaggregationPeriod();
#VixFix.AssignValueColor(Color.GREEN);
#plot OS = OverSold;
#OS.AssignValueColor(Color.CYAN);
#plot OB = OverBought;
#OB.AssignValueColor(Color.CYAN);
Alert(VixFix crosses above OverSold, "VixFIX crosses above OverSold", Alert.Bar, Sound.Ring);
#Alert(VixFix > OverSold, "VixFIX > OverSold", Alert.TICK, Sound.Ring);

plot range = round((vixfix/highest(vixfix,percentilelength)) * 100,0);

 

[Art]

@wtf_dude would it possible to add a label to the code?

 

[wtf_dude]

@wtf_dude would it possible to add a label to the code?

a label showing/saying what?

 

[Art]

@wtf_dude I meant the range value

 

[wtf_dude]

@wtf_dude I meant the range value

Yessir. I also threw in color function inputs so that you can set high and low threshold to change the label color. The default colors are that if the vf is higher than 70% = green and if its below 30% its red. Just based those off of the common goals for option selling.

#Dilbert_VixFix
# V1.0  - 052816 - Dilbert - 1st code cut
# VixFix is a pretty close approximation to the standard VIX or implied volatility.  It can be used on intraday chart aggregations, and on symbols that do not have options.  When VixFIX spikes high it provides some pretty good buy signals.
input OverSold = .1;  # .1 good for SPY 1 day 1 minute chart
input OverBought = .01;  # .01 good for SPY 1 day 1 minute chart
input LengthVF = 22;
input LengthMA = 20;
input percentilelength = 252;
input avg_length= 5;
declare lower;
def C = close;
def L = low;
def VixFix = (Highest (C, LengthVF) - L) / (Highest (C, LengthVF)) * 100;
def agg= getaggregationPeriod();
#VixFix.AssignValueColor(Color.GREEN);
#plot OS = OverSold;
#OS.AssignValueColor(Color.CYAN);
#plot OB = OverBought;
#OB.AssignValueColor(Color.CYAN);
Alert(VixFix crosses above OverSold, "VixFIX crosses above OverSold", Alert.Bar, Sound.Ring);
#Alert(VixFix > OverSold, "VixFIX > OverSold", Alert.TICK, Sound.Ring);

plot range = round((vixfix/highest(vixfix,percentilelength)) * 100,0);
plot avg = simplemovingavg(range,avg_length);
avg.setdefaultcolor(color.magenta);




# BollingerBands code

#input ShowBollingerBands = No;
#input displace = 0;
#input BBlength = 20;
#input Num_Dev_Dn = -2.0;
#input Num_Dev_up = 2.0;
#input averageType = AverageType.Simple;

#def sDev = stdev(data = VixFix[-displace], length = BBlength);
#def MidLine = MovingAverage(averageType, data = VixFix[-displace], length = BBlength);

#def LowerBand = MidLine + num_Dev_Dn * sDev;
#def UpperBand = MidLine + num_Dev_Up * sDev;
#plot LB = if ShowBollingerBands then LowerBand else Double.NaN;
#plot UB = if ShowBollingerBands then UpperBand else Double.NaN;
#LB.SetDefaultColor(GetColor(0));
#UB.SetDefaultColor(GetColor(5));


#VixFix.AssignValueColor(if VixFix > UpperBand then Color.Green else Color.Red);

input corrLength = 20;
def correlationWith = ImpVolatility();

def CorrelationIV = correlation(VixFix, correlationWith, corrLength);
#CorrelationIV.SetDefaultColor(color.light_gray);
addlabel(yes, "Correlation w IV: "+ correlationIV,color.light_gray);

input high_VF = 70;
input low_VF = 30;

addlabel(yes, "VixFix: "+ aspercent(range/100),if range>=high_vf then color.green else if range<= low_vf then color.downtick else color.light_gray);

 

[Art]

Perfect. Thanks a bunch! @wtf_dude

I'm using for my long entry stock scanner - so in my case, I changed it to less than 20/green

 

[ext99k]

@diazlaz thanks for posting! how do you interpret this? Once the green bar occurs, there's a continuing trend? and once a grey bar follows the yellow one, the trend is now over = a bottom? Would appreciate some help, thanks!

Do you think you could upload the code for your trend indicator that you were working on? Is it possible for you to update your code to show colored circles instead of bar coloring?

Also the version that you had ported had some other filter criteria that changed the bar colors based on confirmation or something, that had a more stringent filter... does your code have this? thanks for the great work.

 

[gjervis]

Hi Ben, i copied and pasted this, i have yet to see a CYAN alert on this, all i am seeing is the orange or white bars. i have checked a few stocks. no CYAN bars.