95th Percentile IV Market Bottoms Screener

This topic has 4 replies, 2 voices, and was last updated 5 years ago by Bard.

Viewing 5 posts - 1 through 5 (of 5 total)

11/19/2019 at 3:06 AM #113081

Bard

Could someone please tell me how to get this code to find high implied volatility market bottoms? It’s based on the Williams Vix Fix code here: https://www.prorealcode.com/topic/a-better-implied-volatility-rank-and-percentile-indicator/#post-110636

It would also be great if it screened and found assets that had have 95% IV’s spikes over the last eg 10 periods.

Cheers.

p = 365 //LookBack for boundaries //Default 200, //365
pd = 10 // "LookBack Period Standard Deviation High" Default 22, //30
bbl = 60 //"Bollinger Band Length" //Default 20, //730
mult = 3.6 //"Bollinger Band Standard Deviation Up" Default 2.0, //4.5
lb = 95 //"Look Back Period Percentile High" // 99%
ph = 0.95 //"Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%"
 
mult = max(mult,1)
mult = min(mult,5)

// Implied High Volatility Rank -- IV Proxy
 
wvf = ((highest[pd](close)-low)/(highest[pd](close)))*100
 
sDev = mult * std[bbl](wvf)
midLine = average[bbl](wvf)
upperBand = midLine + sDev
rangeHigh = (highest[lb](wvf)) * ph
 
c1 = wvf >= upperBand
c2 = wvf >= rangeHigh

//Boundaries
upper = highest[p](wvf)
lower = lowest[p](wvf)
 
c3 = ((wvf-lower)/(upper-lower))*100
 
// Return 95% Percentile HIGH Volatility Market BOTTOMS
SCREENER [c1 and c2 and c3] (c3 as "95th Percentile Market Bottom")

p = 365 //LookBack for boundaries //Default 200, //365

pd = 10 // "LookBack Period Standard Deviation High" Default 22, //30

bbl = 60 //"Bollinger Band Length" //Default 20, //730

mult = 3.6 //"Bollinger Band Standard Deviation Up" Default 2.0, //4.5

lb = 95 //"Look Back Period Percentile High" // 99%

ph = 0.95 //"Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%"

mult = max(mult,1)

mult = min(mult,5)

// Implied High Volatility Rank -- IV Proxy

wvf = ((highest[pd](close)-low)/(highest[pd](close)))*100

sDev = mult * std[bbl](wvf)

midLine = average[bbl](wvf)

upperBand = midLine + sDev

rangeHigh = (highest[lb](wvf)) * ph

c1 = wvf >= upperBand

c2 = wvf >= rangeHigh

//Boundaries

upper = highest[p](wvf)

lower = lowest[p](wvf)

c3 = ((wvf-lower)/(upper-lower))*100

// Return 95% Percentile HIGH Volatility Market BOTTOMS

SCREENER [c1 and c2 and c3] (c3 as "95th Percentile Market Bottom")

Bard

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11/19/2019 at 10:53 AM #113116

Nicolas

The modified version below should work, but still didn’t get any result:

p = 200 //LookBack for boundaries //Default 200, //365
pd = 200 // "LookBack Period Standard Deviation High" Default 22, //30
bbl = 20 //"Bollinger Band Length" //Default 20, //730
mult = 4.5 //"Bollinger Band Standard Deviation Up" Default 2.0, //4.5
lb = 95 //"Look Back Period Percentile High" // 99%
ph = 0.95 //"Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%"
 
mult = max(mult,1)
mult = min(mult,5)

// Implied High Volatility Rank -- IV Proxy
 
wvf = ((highest[pd](close)-low)/(highest[pd](close)))*100
 
sDev = mult * std[bbl](wvf)
midLine = average[bbl](wvf)
upperBand = midLine + sDev
rangeHigh = (highest[lb](wvf)) * ph
 
c1 = wvf >= upperBand or wvf >= rangeHigh

//Boundaries
upper = highest[p](wvf)
lower = lowest[p](wvf)
 
wvflev = ((wvf-lower)/(upper-lower))*100
 
// Return 95% Percentile HIGH Volatility Market BOTTOMS
SCREENER [c1] (wvflev as "95th Percentile Market Bottom")

p = 200 //LookBack for boundaries //Default 200, //365

pd = 200 // "LookBack Period Standard Deviation High" Default 22, //30

bbl = 20 //"Bollinger Band Length" //Default 20, //730

mult = 4.5 //"Bollinger Band Standard Deviation Up" Default 2.0, //4.5

lb = 95 //"Look Back Period Percentile High" // 99%

ph = 0.95 //"Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%"

mult = max(mult,1)

mult = min(mult,5)

// Implied High Volatility Rank -- IV Proxy

wvf = ((highest[pd](close)-low)/(highest[pd](close)))*100

sDev = mult * std[bbl](wvf)

midLine = average[bbl](wvf)

upperBand = midLine + sDev

rangeHigh = (highest[lb](wvf)) * ph

c1 = wvf >= upperBand or wvf >= rangeHigh

//Boundaries

upper = highest[p](wvf)

lower = lowest[p](wvf)

wvflev = ((wvf-lower)/(upper-lower))*100

// Return 95% Percentile HIGH Volatility Market BOTTOMS

SCREENER [c1] (wvflev as "95th Percentile Market Bottom")

Please note that period of any calculation cannot exceed 254 bars as it is the limit of history with ProScreener.

1 user thanked author for this post.

Bard

Nicolas

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11/19/2019 at 4:50 PM #113134

Bard

Brilliant, thanks so much for coding this @Nicolas.

This lack of screener results is strange, not least because the same indicator code with higher criteria like multi = 6.0, lb 99 and ph 0.99 have produced results?
Pls see £/Y screenshot:

What do you think is going on with the Screener because it has lower threshold settings?

Bard

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11/19/2019 at 5:34 PM #113139

Nicolas

I made it works, the sum of p+pd periods must be lower or equal to 256.

Nicolas

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11/20/2019 at 12:36 PM #113224

Bard

Thanks Nicolas, that’s sorted it!

Can you think why there is no green highlight bar at 97.5% IV when the setting is looking for anthing over 95% IV and yet it marks a green bar for 98.7%?
Pls see 2 screenshots and a red arrrow showing a green highlight bar for 98.7% IV and another red arrow showing no such green bar (at 97.5% IV). Cheers.
I’ve included the indicator code below for clarity:

p = 365 //LookBack for boundaries //Default 200 //365
pd = 10 // "LookBack Period Standard Deviation Low" Default 22 //30 //10
bbl = 60 //"Bollinger Band Length" //Default 20 //730 //60
mult = 1.5 //"Bollinger Band Standard Deviation down" Default 2.0, //1.0
lb = 95 //"Look Back Period Percentile low" //95%
pl = 1.05 //"Lowest Percentile - 1.10=90%, 1.05=95%, 1.01=99%"
 
mult = max(mult,1)
mult = min(mult,5)

// Implied Low Volatility Rank -- Inverse IV Proxy
wvf = ((highest[pd](close)-low)/(lowest[pd](close)))*100

//Correct but worse performing:
//wvfinverse = ((high-lowest[pd](close))/(lowest[pd](close)))*100
 
sDev = mult * std[bbl](wvf)
midLine = average[bbl](wvf)
lowerBand = midLine - sDev
rangeLow = (lowest[lb](wvf)) * pl
 
r = 204 //128
g = 140 //128
b = 0   //128
if wvf <= lowerBand or wvf <= rangeLow then
r = 0   //186
g = 255 //167
b = 0
endif
 
//Boundaries
upper = highest[p](wvf)
lower = lowest[p](wvf)
 
wvflev = 100-((wvf-lower)/(upper-lower))*100
 
//Historical Volatility Rank
Length = 30 //Default 22
annualVol = 365
//periods = 7// 1 = intraday chart 7 = daily chart
 
Price = log(close / close[1])
sigma = std[length](Price)
HVol = sigma * sqrt(annualVol ) * 100
lowVol = lowest[annualvol](HVol)
HVrankUp = HVol - lowVol
maxVol = highest[annualvol](HVol)
HVrankLow = maxVol - lowVol
HVR = (HVrankUp / HVrankLow)*100

RETURN 100 as "100", 50 as "50", 0 as "0", wvflev coloured(r,g,b) style(histogram,2) as "Williams Low IV Vix Fix", HVR coloured(102,255,255) style(line,2) as "Historical Volatility Rank"

p = 365 //LookBack for boundaries //Default 200 //365

pd = 10 // "LookBack Period Standard Deviation Low" Default 22 //30 //10

bbl = 60 //"Bollinger Band Length" //Default 20 //730 //60

mult = 1.5 //"Bollinger Band Standard Deviation down" Default 2.0, //1.0

lb = 95 //"Look Back Period Percentile low" //95%

pl = 1.05 //"Lowest Percentile - 1.10=90%, 1.05=95%, 1.01=99%"

mult = max(mult,1)

mult = min(mult,5)

// Implied Low Volatility Rank -- Inverse IV Proxy

wvf = ((highest[pd](close)-low)/(lowest[pd](close)))*100

//Correct but worse performing:

//wvfinverse = ((high-lowest[pd](close))/(lowest[pd](close)))*100

sDev = mult * std[bbl](wvf)

midLine = average[bbl](wvf)

lowerBand = midLine - sDev

rangeLow = (lowest[lb](wvf)) * pl

r = 204 //128

g = 140 //128

b = 0 //128

if wvf <= lowerBand or wvf <= rangeLow then

r = 0 //186

g = 255 //167

b = 0

endif

//Boundaries

upper = highest[p](wvf)

lower = lowest[p](wvf)

wvflev = 100-((wvf-lower)/(upper-lower))*100

//Historical Volatility Rank

Length = 30 //Default 22

annualVol = 365

//periods = 7// 1 = intraday chart 7 = daily chart

Price = log(close / close[1])

sigma = std[length](Price)

HVol = sigma * sqrt(annualVol ) * 100

lowVol = lowest[annualvol](HVol)

HVrankUp = HVol - lowVol

maxVol = highest[annualvol](HVol)

HVrankLow = maxVol - lowVol

HVR = (HVrankUp / HVrankLow)*100

RETURN 100 as "100", 50 as "50", 0 as "0", wvflev coloured(r,g,b) style(histogram,2) as "Williams Low IV Vix Fix", HVR coloured(102,255,255) style(line,2) as "Historical Volatility Rank"

This is a great Options (and general trading) Indicator and Screener highlighting typically unsustainably high volatility. Appreciate the help.

Bard

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