Indicators: Synthetic VIX
Thanks mladen!
I would suggest to you all to read the research here: http://www.tradingtheodds.com/2010/09/williams%E2%80%99-vix-fix/.
This might give you some insights of how to test your VIX Fix parameters and optimize them to the market and symbol.
I am always a fan of your indicators as they are really different and have the best quality of coding. About this indicator i have a suggestion for it from tradingview to make it much better. By adding some lines of codes to it, it will be the best one. I add the code from tradingview and imI sure you easily can add the changes to your indicator to make it better.
pd = input(22, title="LookBack Period Standard Deviation High") bbl = input(20, title="Bolinger Band Length") mult = input(2.0 , minval=1, maxval=5, title="Bollinger Band Standard Devaition Up") lb = input(50 , title="Look Back Period Percentile High") ph = input(.85, title="Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%") pl = input(1.01, title="Lowest Percentile - 1.10=90%, 1.05=95%, 1.01=99%") hp = input(false, title="Show High Range - Based on Percentile and LookBack Period?") sd = input(false, title="Show Standard Deviation Line?") wvf = ((highest(close, pd)-low)/(highest(close, pd)))*100 sDev = mult * stdev(wvf, bbl) midLine = sma(wvf, bbl) lowerBand = midLine - sDev upperBand = midLine + sDev rangeHigh = (highest(wvf, lb)) * ph rangeLow = (lowest(wvf, lb)) * pl col = wvf >= upperBand or wvf >= rangeHigh ? lime : gray plot(hp and rangeHigh ? rangeHigh : na, title="Range High Percentile", style=line, linewidth=4, color=orange) plot(hp and rangeLow ? rangeLow : na, title="Range High Percentile", style=line, linewidth=4, color=orange) plot(wvf, title="Williams Vix Fix", style=histogram, linewidth = 4, color=col) plot(sd and upperBand ? upperBand : na, title="Upper Band", style=line, linewidth = 3, color=aqua)
Hi can you please make for MT4 please. Thank you in advance.
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Synthetic VIX:
The Synthetic VIX indicator is based on Larry Williams' TASC article "Fix the VIX":
When it comes to describing what markets do, Bernard Baruch said it best: "Markets fluctuate."
That idea is embodied in the Chicago Board Options Exchange (CBOE) Volatility Index (VIX), which has become a very popular measure of market risk since it was introduced in 1993. The VIX, which is derived from the implied volatility of stock index options, is intended to represent traders' expectations of volatility over the next 30 days.
Essentially, the VIX reflects investor fear — high readings are associated with high-volatility conditions (and market bottoms) while low readings are associated with low-volatility conditions (and market tops).
Unfortunately, the VIX is calculated only for the S&P 500 Index, NASDAQ Composite Index, and the Dow Jones Industrial Average. What about other markets?
Luckily, it is easy to duplicate the VIX for any market — Treasury bonds, gold, silver, soybeans, even individual stocks — with a simple formula.
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PS: Synthetic VIX is not a directional indicator. It indicates the increase or decrease of volatility and it should be used as that.
Author: Mladen Rakic