The Ultimate Historical and Implied Volatility Rank and Percentile Indicator
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- This topic has 21 replies, 3 voices, and was last updated 5 years ago by Bard.
Tagged: fix, Historical, implied, percentile, Rank, VIX, volatility
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10/30/2019 at 4:10 PM #111688
Afternoon @Nicolas, I got this reply from Ninza about there Implied Volatility Vix Fix code (because the won’t share the complete code with me) :
The original Williams VIX Fix just includes the bottom-catching algorithm.Our indicator inverses that formula to add the (low volatility) top-catching algorithm, which is our improvement.For the bottom-catching part, you can compare our indicator with other source-code versions on the internet to check the accuracy.So.. it appears that we would need to amend the formula for the Williams’ Vix Fix High Volatility Market Bottoms code posted below here? :1wvf = ((highest[pd](close)-low)/(highest[pd](close)))*100This IV indicator and specifically this line of code I think has been the basis for the confusion here and of which I’d asked a few times about the need to modify it in my Better Implied Volatility post and above (that’s my defence and I’m sticking to it!). I think by not modifying it (wfv) and using this code (wvflex) that seeks to establish extremes that is why we maybe only seeing mirror images between the two indicators from Vonasi’s and your conversion of his code, right? Re: mirroring, please refer to my image in my post #111235 just directly above or see this zoomed in scan of it posted here:
The top indicator is Vonasi’s conversion from my request here: https://www.prorealcode.com/topic/a-better-implied-volatility-rank-and-percentile-indicator/
Cheers,
Ps/ It’s now very tricky adding code here? I got this on the first submit:
<pre class=”lang:probuilder decode:true” title= “Williams’ Vix Fix High Volatility Market Bottom” etc.
Basically it’s only on editing my post that I can truly get the indicator code to display properly in a grey highlighted box using the latest Safari browser.10/31/2019 at 7:39 PM #111766I think this has sorted it @Nicolas: — although red/green IV can rank high for market tops if you use wvflev =100- ((wvf- etc) and IF (wvflev[i]) < (wvflev) THEN
Low Implied Volatility Inverse Vix Fix (for Market Tops) with Rank, Percentile and Historic Rank:
Inverse Vix Fix12345678910111213141516171819202122232425262728293031323334353637383940414243444546474849505152535455565758596061626364//Implied Volatility Rank and Percentile Indicator — MARKET TOPS//By Vonasi //Date 20191018//settingsp = 365vixfixperiod = 22//Vix Fix - Implied Volatility Proxywvf = ((highest[vixfixperiod](close)-low)/(lowest[vixfixperiod](close)))*100//Boundariesupper = highest[p](wvf)lower = lowest[p](wvf)wvflev = ((wvf-lower)/(upper-lower)*100)//PercentilernkCount = 0count = 0FOR i = 1 to p-1count = count + 1IF (wvflev[i]) > (wvflev) THENrnkCount = rnkCount + 1endifNEXTPercentileRank = (rnkCount/count)*100//coloursr = 255g = 0if wvflev >=50 thenr= 0g = 255endifr1 = 255 //255g1 = 160 //160b1 = 0 //0if PercentileRank >=95 thenr1 = 0g1 = 255b1 = 255endif//Historic VolatilityLength = 22annualVol = 365periods = 7// 1 = intraday chart 7 = daily chartPrice = log(close / close[1])sigma = std[length](Price)HVol = (sigma * sqrt(annualVol / periods)) * 100lowVol = lowest[annualvol](HVol)HVrankUp = HVol - lowVolmaxVol = highest[annualvol](HVol)HVrankLow = maxVol - lowVolHVR = (HVrankUp / HVrankLow)*100RETURN 0 as "0%",95 as "95%",50 as "50%", HVR coloured(0,0,255) as "Historic Volatility Rank", wvflev coloured(r,g,0) style(line,4) as "Williams Low IV Vix Fix", PercentileRank coloured(r1,g1,b1) as "Percentile Rank"Ignore first image.
11/02/2019 at 6:54 PM #111911Creating an Inverse Low Volatility Vix Fix…
Larry Williams’ original High Volatility Vix Fix IV proxy is:
Williams Vix Fix1wvf = ((highest[pd](close)-low)/(highest[pd](close)))*100I initially only changed the original High Vol Vix Fix denominator from highest to lowest, but logic tells me that the inverse of that high volatility wvf is not correct in line 10 above and should in fact be: (where pd = 22 periods)
Williams Inverse Vix Fix (Low Volatility Tops)1wvf = ((high-lowest[pd](close))/(lowest[pd](close)))*100..yet that produces a worse result for spotting market tops with green spike bars? Pls see images, the first being the correct code ( ((high-lowest[pd](close))/(lowest etc ). The top indicator (of four) is the one in question in both the attached images. Do you have any ideas please @Nicolas because these volatility indicators are great but they’re driving me nuts!? Lol.
11/04/2019 at 9:20 AM #11198511/04/2019 at 2:34 PM #112042Thanks @Nicolas, in your opinion though which would be the correct code to inverse the wvf code and find low volatility extremes:
1wvfinverse = ((highest[pd](close)-low)/(lowest[pd](close)))*100or
1wvfinverse = ((high-lowest[pd](close))/(lowest[pd](close)))*100Cheers,
11/04/2019 at 2:37 PM #11204311/04/2019 at 2:40 PM #112044 -
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