VIX Cheat Sheet

Hello!

This indicator - "VIX Cheat Sheet" - performs several calculations for against the asset on your chart. However, using 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 or against VixFix (i.e. Forex, Crypto)

Measured are: 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 and VixFix are displayed on the chart.

Displayed in the example image is a box incorporating 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 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 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 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 closes above the upper Bollinger Band was not included. Instead, bar color changes were added. When "" is selected in the user inputs table the indicator will mark all sessions in which closed above the upper band as blue, in addition to plotting 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!

版本注释

Quick fix to a bar counting variable!

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Included "aesthetic" additions!

The Vix/VixFix bottom box changes color per session. This setting can be turned off!

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Added more "aesthetic" features. Working on additions conducive to successful trading now!

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Added two box plots that appear when 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!

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Upgraded VIX TV; more to come

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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.

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Last color changes, and fixed a date issue

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Put some data on the chart instead of in a tooltip

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Code cleanup

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Fixed the referencing length error. Script is good to go on SPX now.