VARS 2.0: Volatility Adapted Relative Strength
VARS 2.0 (Volatility Adapted Relative Strength)
Basically, my VARS 2.0 indicator uses a stock's alpha in comparison to the SPX to determine whether there is relative strength on an volatility adjusted basis.
The idea for this indicator owes quite obviously to Matt Caruso. In this indicator I combine his Alpha Bars indicator with my interpretation of his CARS indicator, whose calculations are unknown to me.
The goal of this indicator is to give a representation of an asset's relative strength adjusted to its volatility. To find out if this is not only theoretically superior to a more simple representation such as by means of the classic RS Line, but also practically, this indicator is build.
I made this indicator freely available, so that everyone can make up his own mind about it. The representation with the alpha bars also offers the possibility to keep an eye on the daily relative strength, which is a complement to my former version of it. This time I limited myself to only one alpha timeframe because I believe the strength of the RS can be more clearly captured based on the EMAs. I also believe that the absolute strength of VARS is not the key point for traders, but rather its duration, as this is a sign of institutional accumulation.
Have fun and success trying it out!
Btw. The variables such as alpha and beta and the EMAs, which are used to calculate VARS, are largely freely definable. The default values are to be considered as suggestions.
Basically, my VARS 2.0 indicator uses a stock's alpha in comparison to the SPX to determine whether there is relative strength on an volatility adjusted basis.
The idea for this indicator owes quite obviously to Matt Caruso. In this indicator I combine his Alpha Bars indicator with my interpretation of his CARS indicator, whose calculations are unknown to me.
The goal of this indicator is to give a representation of an asset's relative strength adjusted to its volatility. To find out if this is not only theoretically superior to a more simple representation such as by means of the classic RS Line, but also practically, this indicator is build.
I made this indicator freely available, so that everyone can make up his own mind about it. The representation with the alpha bars also offers the possibility to keep an eye on the daily relative strength, which is a complement to my former version of it. This time I limited myself to only one alpha timeframe because I believe the strength of the RS can be more clearly captured based on the EMAs. I also believe that the absolute strength of VARS is not the key point for traders, but rather its duration, as this is a sign of institutional accumulation.
Have fun and success trying it out!
Btw. The variables such as alpha and beta and the EMAs, which are used to calculate VARS, are largely freely definable. The default values are to be considered as suggestions.