VIX Dashboard [NariCapitalTrading]

26 dic 2023

[u]Overview[/u]
This VIX Dashboard is designed to provide traders with a quick visual reference into the current volatility and trend direction of the market as measured by CBOE VIX. It uses statistical measures and indicators including Rate of Change (ROC), Average True Range (ATR), and simple moving averages (SMA) to analyze the VIX.

[u]Components[/u]

ATR Period: The ATR Period is used to calculate the Average True Range. The default period set is 24.

Trend Period: This period is used for the Simple Moving Average (SMA) to determine the trend direction. The default is set to 48.

Speed Up/Down Thresholds: These thresholds are used to determine significant increases or decreases in the VIX’s rate of change, signaling potential market volatility spikes or drops. These are customizable in the input section.

VIX Data: The script fetches the closing price of the VIX from a specified source (CBOE:VIX) with a 60-minute interval.

Rate of Change (ROC): The ROC measures the percentage change in price from one period to the next. The script uses a default period of 20. The period can be customized in the input section.

VIX ATR: This is the Average True Range of the VIX, indicating the daily volatility level.

Trend Direction: Determined by comparing the VIX data with its SMA, indicating if the trend is up, down, or neutral. The trend direction can be customized in the input section.

Dashboard Display: The script creates a table on the chart that dynamically updates with the VIX ROC, ATR, trend direction, and speed.

[u]Calculations[/u]

VIX ROC: Calculated as [(Current VIX Price / VIX Price 'rocPeriod' ago) - 1] * 100
VIX ATR: ATR is calculated using the 'atrPeriod' and is a measure of volatility.
Trend Direction: Compared against the SMA over 'trendPeriod'.
[u]Trader Interpretation[/u]

High ROC Value: Indicates increasing volatility, which could signal a market turn or increased uncertainty.
High ATR Value: Suggests high volatility, often seen in turbulent market conditions.
Trend Direction: Helps in understanding the overall market sentiment and trend.
Speed Indicators: “Mooning” suggests rapid increase in volatility, whereas “Cratering” indicates a rapid decrease.

The interpretation of these indicators should be combined with other market analysis tools for best results.

28 dic 2023

Note di rilascio

[center][size=3]Technical Guide: VIX Dashboard Indicator Improvements[/size][/center]

• Original Issue: The initial code faced issues with aligning speed and trend directions accurately. Specifically, the speed (Rate of Change or ROC) and trend (Directional Movement Index or DMI) indicators were not synchronized properly, leading to inconsistencies.
  
  
• Solution: The code has been updated to enhance alignment between speed and trend indicators.
  
  [center]Custom DMI Calculation[/center]
  
  pinescript
  Copy code
  // Custom DMI Calculation
  customDMI(length) =>
  hd = ta.highest(high, length)
  ld = ta.lowest(low, length)
  tr = ta.rma(ta.rma(high - low, length), length)
  plusDI = ta.rma(ta.highest(high - hd[1], length), length) / tr
  minusDI = ta.rma(ta.highest(ld[1] - low, length), length) / tr
  [plusDI, minusDI]
  
  
• Importance for Traders: This DMI calculation provides a more reliable method to determine trend direction, addressing the original issue of inconsistency between speed and trend indicators.
  
  
• Revised Trend Direction: The DMI calculation, implemented without using the ADX function, attempts to accurately assess trend direction by comparing plusDI and minusDI values.
  
  
• Consistent Speed Calculation: The speed calculation, based on Rate of Change (ROC), remains consistent and accurately measures the speed of price changes in the VIX.
  
  
• Color Coding for Clarity: Color coding aims to give a clear visual representation of trend direction and speed changes, facilitating quick interpretation of the dashboard.
  
  
• Parameter Flexibility: Traders can still customize input parameters, including ROC period, ATR period, DMI length, and speed thresholds. Feel free to tailor the indicator to your specific trading strategies and market conditions.
  
  

The modified Pine Script indicator offers traders a more robust and accurate tool for visualizing VIX-related information on the chart of the instrument they are trading. While this information could certainly be found elsewhere, this can be used without the need to split screens, or use a separate monitor.

9 ott

Note di rilascio

Users can now pick the position of the table on the chart. Updated code for dark/light mode compatibility.