StockFetcher Forums · Filter Exchange · Larry William's VIX FIX<< >>Post Follow-up
KSK8
296 posts
msg #146472
Ignore KSK8
2/7/2019 7:47:29 PM

The Volatility Index (VIX) is calculated only for the S&P, Dow, and Nasdaq.

However, according to Larry Williams; A synthetic” (VIX) calculation can be used in any market to reproduce the performance of the well-known volatility index.


Fetcher[

market is NASDAQ

set{x1, close 22 day high}
set{x2, x1-low}
set{x3, x2/x1}
set{wvf, x3*100}
set{x4, cstddev(wvf,20)}
set{sDev, 2*x4}
set{midline, cma(wvf,20)}
set{lowerBand, midline - sDev}
set{upperBand, midline + sDev}
set{rangeHigh50, wvf 50 day high}
set{rangeHigh, rangeHigh50 *0.85}
set{rangeLow50, wvf 50 day low}
set{rangeLow, rangeLow50 * 1.01}

draw wvf
PlotType{wvf,zerobar}
draw upperBand on plot wvf
draw rangeHigh on plot wvf

]



High values = High volatility and potential market bottoms
Low values = Low volatility and potential market tops

High values above the lines help confirm market bottoms


Credits to Larry Williams

jimvin
134 posts
msg #146736
Ignore jimvin
modified
2/26/2019 7:50:51 PM

Here's a simple jazz riff on the filter above (with some of my preferred add-ins) for those of us who do better with numbers than charts. (Or, like me, prefer the obvious to be clearly shown...).

Fetcher[
Market is NASDAQ
Average Volume(30) > 300000
Volume > 300000
Price > 3

set{x1, close 22 day high}
set{x2, x1-low}
set{x3, x2/x1}
set{wvf, x3*100}
set{x4, cstddev(wvf,20)}
set{sDev, 2*x4}
set{midline, cma(wvf,20)}
set{lowerBand, midline - sDev}
set{upperBand, midline + sDev}
set{rangeHigh50, wvf 50 day high}
set{rangeHigh, rangeHigh50 *0.85}
set{rangeLow50, wvf 50 day low}
set{rangeLow, rangeLow50 * 1.01}

draw wvf
PlotType{wvf,zerobar}
draw upperBand on plot wvf
draw rangeHigh on plot wvf
add column upperBand
add column rangeHigh

and upperBand > rangeHigh
set{diff, upperBand - rangeHigh}
add column diff
sort column 7 descending
]



Might be worth paper-trading for a while to see if there is an actual pattern at play.


KSK8
296 posts
msg #146741
Ignore KSK8
modified
2/27/2019 2:14:51 AM

There is no pattern. It is the FEAR INDEX... Cool additions though.


Fun Fact; Larry's daughter was in the movie Venom.



StockFetcher Forums · Filter Exchange · Larry William's VIX FIX<< >>Post Follow-up

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