Index Trend MapThe Index Trend Map is a versatile and powerful tool designed to provide a sentiment heatmap for major market indices. This indicator tracks the average trend direction across multiple indices data points, including a default setting for S&P 500 Futures ( NYSE:ES ), Nasdaq 100 Futures ( SEED_ALEXDRAYM_SHORTINTEREST2:NQ ), Dow Jones Futures ( SEED_CRYPTOSLATE_VANTAGEPOINT:YM ), Russell 2000 Futures ( CAPITALCOM:RTY ) and traditionally inverse data points like the VIX– allowing traders to quickly assess overall market sentiment and make more informed trading decisions.
Key Features:
Sentiment Heatmap: Displays a color-coded heatmap for indices, with green indicating bullish sentiment and red indicating bearish sentiment. Each index’s sentiment is calculated on a scale from 0 to 100, with 50 as the neutral point.
Bullish/Bearish Percentages: Real-time calculations of the percentage of indices in bullish or bearish territory are displayed in a dynamic table for easy reference.
Tracks Major Indices: Monitors popular indices or their related futures contracts with the option to include custom tickers.
Inverse Sentiment Options: Allows users to invert sentiment calculations for specific symbols (e.g., VIX or DXY) to reflect their inverse relationship to broader market trends.
Customizable Moving Averages: Choose from SMA, EMA, WMA, or DEMA to tailor the trend calculation to your trading strategy.
Overlay Sentiment Colors on Candles: Option to display sentiment as green (bullish) or red (bearish) directly on price chart candles, enhancing market trend visibility.
Heatmap Visualization:
The heatmap assigns each index a sentiment score based on its calculated average.
Sentiment values above the 50 midline indicate bullish sentiment, while those below 50 indicate bearish sentiment.
Dynamic Table:
Located in the bottom right corner, this table displays real-time percentages of indices that are bullish and bearish. Example: If 4 out of 6 index data points are bullish, the table will show 66.6% bullish and 33.3% bearish.
Best Used For:
Intraday Traders: Assess real-time index sentiment during active market hours to make data-driven trading decisions.
Swing Traders: Monitor index trends over time to identify shifts in market sentiment and positioning opportunities.
Market Breadth Analysis: Identify broader market strength or weakness by analyzing multiple indices simultaneously.
Cerca negli script per "vix"
Hidden SMT Divergence ICT 01 [TradingFinder] HSMT SMC Technique🔵 Introduction
Hidden SMT Divergence, an advanced concept within the Smart Money Technique (SMT), identifies discrepancies between correlated assets by focusing on their closing prices.
Unlike the standard SMT Divergence, which uses high and low prices for analysis, Hidden SMT Divergence uncovers subtle signals by examining divergences based on the assets' closing values.
These divergences often highlight potential reversals or trend continuations, making this technique a valuable tool for traders aiming to anticipate market movements.
This approach applies across various markets and asset classes, including :
Commodities : CAPITALCOM:GOLD vs. CAPITALCOM:SILVER or BLACKBULL:BRENT vs. BLACKBULL:WTI .
Indices : NASDAQ:NDX vs. TVC:SPX vs. FX:US30 .
FOREX : FX:EURUSD vs. OANDA:GBPUSD vs. TVC:DXY (US Dollar Index).
Cryptocurrencies : BITSTAMP:BTCUSD vs. COINBASE:ETHUSD vs. KUCOIN:SOLUSDT vs. CRYPTOCAP:TOTAL3 .
Volatility Measures : FOREXCOM:XAUUSD vs. TVC:VIX (Volatility Index).
By identifying divergences within these asset groups, traders can gain actionable insights into potential market reversals or shifts in trend direction. Hidden SMT Divergence is particularly effective for pinpointing subtle market signals that traditional methods may overlook.
Bullish Hidden SMT Divergence : This divergence emerges when one asset forms a higher low, while the correlated asset creates a lower low in terms of their closing prices. It often signals weakening downward momentum and a potential reversal to the upside.
Bearish Hidden SMT Divergence : This occurs when one asset establishes a higher high, while the correlated asset forms a lower high based on their closing prices. It typically reflects declining upward momentum and a probable shift to the downside.
🔵 How to Use
The Hidden SMT Divergence indicator provides traders with a systematic approach to identify market reversals or trend continuations through divergences in closing prices between two correlated assets.
🟣 Bullish Hidden SMT Divergence
Bullish Hidden SMT Divergence occurs when the closing price of the primary asset forms a higher low, while the correlated asset creates a lower low. This pattern indicates weakening downward momentum and signals a potential reversal to the upside.
After identifying the divergence, confirm it using additional tools like support levels, volume trends, or indicators such as RSI and MACD. Enter a buy position as the price shows signs of reversal near support zones, ensuring proper risk management by placing a stop-loss below the support level.
Bearish Hidden SMT Divergence
Bearish Hidden SMT Divergence is identified when the closing price of the primary asset forms a higher high, while the correlated asset creates a lower high. This divergence suggests a weakening uptrend and a likely reversal to the downside.
Validate the signal by examining resistance levels, declining volume, or complementary indicators. Consider entering a sell position as the price starts declining from resistance levels, and set a stop-loss above the resistance zone to limit potential losses.
🔵 Setting
Second Symbol : Select the secondary asset to compare with the primary asset. By default, "XAUUSD" (Gold) is used, but it can be customized to any stock, cryptocurrency, or currency pair.
Divergence Fractal Periods : Defines the number of past candles considered for identifying divergences. The default value is 2, but traders can adjust it for greater precision.
Bullish Divergence Line : Displays a dashed line connecting the points of bullish divergence.
Bearish Divergence Line : Shows a similar line for bearish divergence points.
Bullish Divergence Label : Marks areas of bullish divergence with a "+SMT" label.
Bearish Divergence Label : Highlights bearish divergences with a "-SMT" label.
Chart Type : Choose between Line or Candle charts for enhanced visualization.
🔵 Conclusion
Hidden SMT Divergence offers traders a refined method for identifying market reversals by analyzing closing price discrepancies between correlated assets. Its ability to uncover subtle divergences makes it an essential tool for traders who aim to stay ahead of market trends.
By integrating this technique with other technical analysis tools and sound risk management, traders can enhance their decision-making process and capitalize on market opportunities with greater confidence.
Hidden SMT Divergence’s focus on closing prices ensures more precise signals, helping traders refine their strategies across various markets, including Forex, commodities, indices, and cryptocurrencies.
Its open-source nature allows for customization and verification, providing transparency and flexibility to suit diverse trading needs. Hidden SMT Divergence stands as a powerful addition to the arsenal of any trader seeking to unlock hidden opportunities in dynamic financial markets.
CNN Fear and Greed Index JD modified from minusminusCNN Fear and Greed Index - www.cnn.com
Modified from minusminus -
See Documentation from CNN's website
CNN's Fear and Greed index is an attempt to quantitatively score the Fear and Greed in the SPX using 7 factors:
Market Momentum- S&P 500 (SPX) and its 125-day moving average
Stock Price Strength -Net new 52-week highs and lows on the NYSE
Stock Price Breadth - McClellan Volume Summation Index
Put and Call options - 5-day average put/call ratio
Market Volatility - VIX and its 50-day moving average
Safe Haven Demand - Difference in 20-day stock and bond returns
Junk Bond Demand - Yield spread: junk bonds vs. investment grade
Each Factor has a weight input for the final calculation initially set to a weight of 1. The final calculation of the index is a weighted average of each factor.
3 Factors have separate functions for calculation : See Code for Clarity
SPX Momentum : difference between the Daily CBOE:SPX index value and it's 125 Day Simple moving average.
Stock Price Strength : Net New 52-week highs and lows on the NYSE.
Function calculates a measure of Net New 52-week highs by:
NYSE 52-week highs (INDEX:MAHN) - all new NYSE Highs (INDEX:HIGH)
measure of Net New 52-week lows by:
NYSE 52-week lows (INDEX:MALN) - all new NYSE Lows (INDEX:LOWN)
Then calculate a ratio of Net New 52-week Highs and Lows over Total Highs and Lows then takes a 5-day moving average of that ratio-See Code
Stock Price Breadth is the McClellan Volume Summation Index :
First Calculate the McClellan Oscillator
Second Calculate the Summation Index
4 Factors are Straight data requests
5 Day Simple Moving Average of the Put-Call Ratio on SPY
50 Day Simple Moving Average of the SPX VIX
Difference between 20 Day Simple Moving Average of SPX Daily Close and 20 Day Simple Moving Average of 10Y Constant Maturity US Treasury Note
Yield Spread between ICE BofA US High Yield Index and ICE BofA US Investment Grade Corporate Yield Index
The Fear and Greed Index is a weighted average of these factors - which is then normalized to scale from 0 to 100 using the past 25 values - length parameter.
3 Zones are Shaded: Red for Extreme Fear, Grey for normal jitters, Green for Extreme Greed.
Disclaimer: This is not financial advice. These are just my ideas, and I am not an investment advisor or investment professional. This code is for informational purposes only and do your own analysis before making any investment decisions. This is an attempt to replicate in spirt an index CNN publishes on their website and in no way shape or form infringes on their content, calculations or proprietary information.
From CNN: www.cnn.com
FEAR & GREED INDEX FAQs
What is the CNN Business Fear & Greed Index?
The Fear & Greed Index is a way to gauge stock market movements and whether stocks are fairly priced. The theory is based on the logic that excessive fear tends to drive down share prices, and too much greed tends to have the opposite effect.
How is Fear & Greed Calculated?
The Fear & Greed Index is a compilation of seven different indicators that measure some aspect of stock market behavior. They are market momentum, stock price strength, stock price breadth, put and call options, junk bond demand, market volatility, and safe haven demand. The index tracks how much these individual indicators deviate from their averages compared to how much they normally diverge. The index gives each indicator equal weighting in calculating a score from 0 to 100, with 100 representing maximum greediness and 0 signaling maximum fear.
How often is the Fear & Greed Index calculated?
Every component and the Index are calculated as soon as new data becomes available.
How to use Fear & Greed Index?
The Fear & Greed Index is used to gauge the mood of the market. Many investors are emotional and reactionary, and fear and greed sentiment indicators can alert investors to their own emotions and biases that can influence their decisions. When combined with fundamentals and other analytical tools, the Index can be a helpful way to assess market sentiment.
[blackcat] L1 Dynamic Volatility IndicatorThe volatility indicator (Volatility) is used to measure the magnitude and instability of price changes in financial markets or a specific asset. This thing is usually used to assess how risky the market is. The higher the volatility, the greater the fluctuation in asset prices, but brother, the risk is also relatively high! Here are some related terms and explanations:
- Historical Volatility: The actual volatility of asset prices over a certain period of time in the past. This thing is measured by calculating historical data.
- Implied Volatility: The volatility inferred from option market prices, used to measure market expectations for future price fluctuations.
- VIX Index (Volatility Index): Often referred to as the "fear index," it predicts the volatility of the US stock market within 30 days in advance. This is one of the most famous volatility indicators in global financial markets.
Volatility indicators are very important for investors and traders because they can help them understand how unstable and risky the market is, thereby making wiser investment decisions.
Today I want to introduce a volatility indicator that I have privately held for many years. It can use colors to judge sharp rises and falls! Of course, if you are smart enough, you can also predict some potential sharp rises and falls by looking at the trend!
In the financial field, volatility indicators measure the magnitude and instability of price changes in different assets. They are usually used to assess the level of market risk. The higher the volatility, the greater the fluctuation in asset prices and therefore higher risk. Historical Volatility refers to the actual volatility of asset prices over a certain period of time in the past, which can be measured by calculating historical data; while Implied Volatility is derived from option market prices and used to measure market expectations for future price fluctuations. In addition, VIX Index is commonly known as "fear index" and is used to predict volatility in the US stock market within 30 days. It is one of the most famous volatility indicators in global financial markets.
Volatility indicators are very important for investors and traders because they help them understand market uncertainty and risk, enabling them to make wiser investment decisions. The L1 Dynamic Volatility Indicator that I am introducing today is an indicator that measures volatility and can also judge sharp rises and falls through colors!
This indicator combines two technical indicators: Dynamic Volatility (DV) and ATR (Average True Range), displaying warnings about sharp rises or falls through color coding. DV has a slow but relatively smooth response, while ATR has a fast but more oscillating response. By utilizing their complementary characteristics, it is possible to construct a structure similar to MACD's fast-slow line structure. Of course, in order to achieve fast-slow lines for DV and ATR, first we need to unify their coordinate axes by normalizing them. Then whenever ATR's yellow line exceeds DV's purple line with both curves rapidly breaking through the threshold of 0.2, sharp rises or falls are imminent.
However, it is important to note that relying solely on the height and direction of these two lines is not enough to determine the direction of sharp rises or falls! Because they only judge the trend of volatility and cannot determine bull or bear markets! But it's okay, I have already considered this issue early on and added a magical gradient color band. When the color band gradually turns warm, it indicates a sharp rise; conversely, when the color band tends towards cool colors, it indicates a sharp fall! Of course, you won't see the color band in sideways consolidation areas, which avoids your involvement in unnecessary trades that would only waste your funds! This indicator is really practical and with it you can better assess market risks and opportunities!
[blackcat] L1 Larry Williams VixFix IndicatorLevel : L1
Larry Williams, had this idea to create a synthetic VIX for more than just the main stock indices. Check out the formula for Williams VixFix:
```
VIX Fix Formula = (Highest(Close, 22) – Low) / (Highest(Close, 22)) * 100
```
What does this even mean? In normal person terms, here's what it's all about:
1. Find the highest close over the last 22 days and subtract today's low (or the current bar).
2. Divide that by the highest close of the past 22 days.
3. Multiply the result by 100 to "normalize" the indicator.
Why 22 days, you ask? That's how long the normal month of trading days is.
So, you see, the formula is pretty chill. It's just a way to measure the price volatility of the last 22 trading days. It's a bit of a lagging indicator, but it gets the job done.
Here my version of this scriptcreates a custom technical indicator called "L1 Larry Williams VixFix" that measures the distance between the highest high and the lowest low of a security's price over a specified period.
The user can adjust the period length and source price used in the VixFix calculation. The period length is set to 22 by default, but can be modified by the user with the "Length" input parameter. The source price is set to "close" by default, meaning it will use the closing price of each bar to calculate the VixFix. However, the user can also choose a different type of price data, such as open, high, or low.
The VixFix is calculated as a percentage of the difference between the highest close and the lowest low over the specified period. This percentage is then multiplied by 100 to create a more readable value.
Finally, the code plots the VixFix line on the chart with a yellow color and a thickness of 2. This allows the user to easily visualize the VixFix value and incorporate it into their trading decisions.
Overall, this script provides a powerful tool for technical analysis that can help traders identify potential trend changes and market reversals.
Trend Correlation HeatmapHello everyone!
I am excited to release my trend correlation heatmap, or trend heatmap for short.
Per usual, I think its important to explain the theory before we get into the use of the indicator, so let's get into the theory!
The theory:
So what is a correlation?
Correlation is the relationship one variable has to another. Correlations are the basis of everything I do as a quantitative trader. From the correlation between the same variables (i.e. autocorrelation), the correlation between other variables (i.e. VIX and SPY, SPY High and SPY Low, DXY and ES1! close, etc.) and, as well, the correlation between price and time (time series correlation).
This may sound very familiar to you, especially if you are a user, observer or follower of my ideas and/or indicators. Ninety-five percent of my indicators are a function of one of those three things. Whether it be a time series based indicator (i.e.my time series indicator), whether it be autocorrelation (my autoregressive cloud indicator or my autocorrelation oscillator) or whether it be regressive in nature (i.e. my SPY Volume weighted close, or even my expected move which uses averages in lieu of regressive approaches but is foundational in regression principles. Or even my VIX oscillator which relies on the premise of correlations between tickers.) So correlation is extremely important to me and while its true I am more of a regression trader than anything, I would argue that I am more of a correlation trader, because correlations are the backbone of how I develop math models of stocks.
What I am trying to stress here is the importance of correlations. They really truly are foundational to any type of quantitative analysis for stocks. And as such, understanding the current relationship a stock has to time is pivotal for any meaningful analysis to be conducted.
So what is correlation to time and what does it tell us?
Correlation to time, otherwise known and commonly referred to as "Time Series", is the relationship a ticker's price has to the passing of time. It is displayed in the traditional Pearson Correlation Coefficient or R value and can be any value from -1 (strong negative relationship, i.e. a strong downtrend) to + 1 (i.e. a strong positive relationship, i.e. a strong uptrend). The higher or lower the value the stronger the up or downtrend is.
As such, correlation to time tells us two very important things. These are:
a) The direction of the stock; and
b) The strength of the trend.
Let's take a look at an example:
Above we have a chart of QQQ. We can see a trendline that seems to fit well. The questions we ask as traders are:
1. What is the likelihood QQQ breaks down from this trendline?
2. What is the likelihood QQQ continues up?
3. What is the likelihood QQQ does a false breakdown?
There are numerous mathematical approaches we can take to answer these questions. For example, 1 and 2 can be answered by use of a Cumulative Distribution Density analysis (CDDA) or even a linear or loglinear regression analysis and 3 can be answered, more or less, with a linear regression analysis and standard error ascertainment, or even just a general comparison using a data science approach (such as cosine similarity or Manhattan distance).
But, the reality is, all 3 of these questions can be visualized, at least in some way, by simply looking at the correlation to time. Let's look at this chart again, this time with the correlation heatmap applied:
If we look at the indicator we can see some pivotal things. These are:
1. We have 4, very strong uptrends that span both higher AND lower timeframes. We have a strong uptrend of 0.96 on the 5 minute, 50 candle period. We have a strong uptrend at the 300 candle lookback period on the 1 minute, we have a strong uptrend on the 100 day lookback on the daily timeframe period and we have a strong uptrend on the 5 minute on the 500 candle lookback period.
2. By comparison, we have 3 downtrends, all of which have correlations less than the 4 uptrends. All of the downtrends have a correlation above -0.8 (which we would want lower than -0.8 to be very strong), and all of the uptrends are greater than + 0.80.
3. We can also see that the uptrends are not confined to the smaller timeframes. We have multiple uptrends on multiple timeframes and both short term (50 to 100 candles) and long term (up to 500 candles).
4. The overall trend is strengthening to the upside manifested by a positive Max Change and a Positive Min change (to be discussed later more in-depth).
With this, we can see that QQQ is actually very strong and likely will continue at least some upside. If we let this play out:
We continued up, had one test and then bounced.
Now, I want to specify, this indicator is not a panacea for all trading. And in relation to the 3 questions posed, they are best answered, at least quantitatively, not only by correlation but also by the aforementioned methods (CDDA, etc.) but correlation will help you get a feel for the strength or weakness present with a stock.
What are some tangible applications of the indicator?
For me, this indicator is used in many ways. Let me outline some ways I generally apply this indicator in my day and swing trading:
1. Gauging the strength of the stock: The indictor tells you the most prevalent behavior of the stock. Are there more downtrends than uptrends present? Are the downtrends present on the larger timeframes vs uptrends on the shorter indicating a possible bullish reversal? or vice versa? Are the trends strengthening or weakening? All of these things can be visualized with the indicator.
2. Setting parameters for other indicators: If you trade EMAs or SMAs, you may have a "one size fits all" approach. However, its actually better to adjust your EMA or SMA length to the actual trend itself. Take a look at this:
This is QQQ on the 1 hour with the 200 EMA with 200 standard deviation bands added. If we look at the heatmap, we can see, yes indeed 200 has a fairly strong uptrend correlation of 0.70. But the strongest hourly uptrend is actually at 400 candles, with a correlation of 0.91. So what happens if we change the EMA length and standard deviation to 400? This:
The exact areas are circled and colour coded. You can see, the 400 offers more of a better reference point of supports and resistances as well as a better overall trend fit. And this is why I never advocate for getting married to a specific EMA. If you are an EMA 200 lover or 21 or 51, know that these are not always the best depending on the trend and situation.
Components of the indicator:
Ah okay, now for the boring stuff. Let's go over the functionality of the indicator. I tried to keep it simple, so it is pretty straight forward. If we open the menu here are our options:
We have the ability to toggle whichever timeframes we want. We also have the ability to toggle on or off the legend that displays the colour codes and the Max and Min highest change.
Max and Min highest change: The max and min highest change simply display the change in correlation over the previous 14 candles. An increasing Max change means that the Max trend is strengthening. If we see an increasing Max change and an increasing Min change (the Min correlation is moving up), this means the stock is bullish. Why? Because the min (i.e. ideally a big negative number) is going up closer to the positives. Therefore, the downtrend is weakening.
If we see both the Max and Min declining (red), that means the uptrend is weakening and downtrend is strengthening. Here are some examples:
Final Thoughts:
And that is the indicator and the theory behind the indicator.
In a nutshell, to summarize, the indicator simply tracks the correlation of a ticker to time on multiple timeframes. This will allow you to make judgements about strength, sentiment and also help you adjust which tools and timeframes you are using to perform your analyses.
As well, to make the indicator more user friendly, I tried to make the colours distinctively different. I was going to do different shades but it was a little difficult to visualize. As such, I have included a toggle-able legend with a breakdown of the colour codes!
That's it my friends, I hope you find it useful!
Safe trades and leave your questions, comments and feedback below!
Days in rangeThis script is a little widget that I made to do some homework on the VIX.
As you can see in the chart I was analyzing the 2008 market crash and the stats that followed it after until the market started to recover.
You can see that theory in my "Ideas" tab.
This is an interactive set of lines that you can use to count the the bars inside and outside of your chosen range, and the percentage outside that range.
You should initially enter the price range of your product in the menu and set some arbitrary dates that you can easily see on your chart.
Drag and drop the lines around to suit what price and the dates you are analyzing.
The table will display the bar count inside and outside of the range, the total bars, and the percentage outside that range.
I personally used this as a tool to study the overall average of the product, compared with the behavior during major market events.
It is currently my opinion that post 2020 analysis needs to take into account the behavior of any given product prior to 2020 when the
VIX was in its comfort zone. Not to say that a price valuation hasn't been set, but that the movement to that price was outside of "Normal Market Conditions,"
and the time factor to return to that value might be skewed. Other factors would need to be considered at that point pertaining to your specific product or corelating indicator.
I could see this tool being useful to Forex and commodities traders. But that isn't my field so that that for what it is. I do think it would perform best on something that is more
pegged to a price range. I personally would use it on product's, like the VIX, that I use as an indicator product. That is what it was designed for.
But I suppose it could be used for Mean price and time related analysis, maybe with a Vwap, SMA or other breakout style indicators.
Volume analysis might be pretty sporty. Possibly time patterns... the possibilities could be endless. Or... limited.
I am publishing this for my trade group so that it can be tinkered with to find other helpful ways to use it.
If anyone finds something interesting with other indicators, please drop a comment below and I could consider creating a script to integrate with this tool.
Typical Price Difference - TPD © with reversal zones and signalsv1.0 NOTE: The maths have been tested only for BTC and weekly time frame.
This is a concept that I came through after long long hours of VWAP trading and scalping.
The idea is pretty simple:
1) Typical Price is calculated by (h+l+c) / 3. If we take this price and adjust it to volume we get the VWAP value. The difference between this value and the close value, i call it " Typical Price Difference - TPD ".
2) We get the Historical Volatility as calculated by TradingView script and we add it up to TPD and divide it by two (average). This is what I call " The Source - TS ".
3) We apply the CCI formula to TS .
4) We calculate the Rate of Change (roc) of the CCI formula.
5) We apply the VIX FIX of Larry Williams (script used is from ChrisMoody - CM_Williams_Vix_Fix Finds Market Bottoms) *brilliant script!!!
How to use it:
a) When the (3) is over the TPD we have a bullish bias (green area). When it's under we have a bearish bias (red area).
b) If the (1) value goes over or under a certain value (CAUTION!!! it varies in different assets or timeframes) we get a Reversal Zone (RZ). Red/Green background.
c) If we are in a RZ and the VIX FIX gives a strong value (look for green bars in histogram) and roc (4) goes in the opposite direction, we get a reversal signal that works for the next week(s).
I applied this to BTC on a weekly time frame and after some corrections, it gives pretty good reversal zones and signals. Especially bottoms. Also look for divergences in the zones/signals.
As I said I have tested and confirmed it only on BTC/weekly. I need more time with the maths and pine to automatically adjust it to other time frames. You can play with it in different assets or time frames to find best settings by hand.
Feel free to share your thoughts or ideas on this.
P.S. I realy realy realy try to remember when or how or why I came up with the idea to combine typical price with historical volatility and CCI. I can't! It doesn't make any sense LOL
VANILLA BUY SELLThis script uses three components:-
USEFUL MA by @ALEXGROVER
SUPERTREND INDICATOR(3 supertrend with different ATR and multiplier) provided by tradingview.
VIX FEAR GAUGE by @bizkitbr
To make it easy and line free, supertrend lines have been removed but the color fill has been kept. This makes the chart clean.
For option traders, direction and momentum is everything. Hence, two need to be really clear:-
a) BUY OR SELL
b) Whether momentum exists of not
While rise is charecterised by a steady pace, a fall is charecterized by a rapid decline.
So in order to make the best use of of the charecters, a careful interpretation and backtesting has been done to enable buy sell only when vix conditions are met.
BUY SIGNAL
A buy signal is generated on following conditions:-
a)PRICE CLOSE ABOVE USEFUL MA
B)ALL THREE SUPERTRENDS ARE GREEN
C)VIXFIX IS BELOW 0.18.
SELL SIGNAL
This is generated when following is met:-
A) PRICE BELOW USEFUL MA
B)ALL THREE SUPERTRENDS ARE RED
C)VIXFIX IS ABOBE 0.18
ADDITIONALLY, A SMALL BACKGROUND COLOR CHANGE PROVIDED FOR AREAS WHERE THERE IS A BUY OR SELL.
Either labels can be used or background colours referred for seeing buy or sell.
TIG's Market Internals Clouds Indicator v2.0=================================
== GENERAL INTRODUCTION
=================================
If you find market internals inform your intraday trading decisions (SPX, ES futures, SPY or more generally) this may be helpful.
Currently available internals are:
- ADD
- TICK
- TRIN
- VIX
- VOLD
Also, you can display your favorite alternative market internal (or BTC, if you want?!) by entering the relevant ticker in the 'Custom' field
=================================
== NOTES
=================================
The default EMA lengths seem to work reasonably well for 1, 2, 3-minute timeframes (except for TICK - you may wish to apply a bit more smoothing to TICK to reduce the noise)
Of course; you can add this indicator to your chart multiple times, and display a different internal each time.
The default Text Color is set as a mid-grey, which is readable in both TV color schemes. I prefer dark mode, and so I change the text color to white. You can't see the scheme setting from within a script, unfortunately, so this can't be automated.
=================================
== EXPERIMENTAL FEATURE
=================================
As a free bonus, the indicator can display the 30-bar (default) Pearson Correlation Coefficient between the internal, and price action (based on the super-fast EMA, to give a bit of smoothing). This may give a clue as to whether or not the market is aligned with what the internal is doing, or if the market (today) is not correlated with the particular internal.
Very roughly speaking:
- 0.50 means that 50% of the price action can be explained by reference to the internal. This is about the same level of correlation between VIX and Actual Move
- 0.80 suggests pretty strong correlation
I don't know why (yet) but sometimes this works, and sometimes it doesn't display a sensible figure.
=================================
== QUESTIONS AND FEEDBACK
=================================
If you have any general questions about market internals, Google is your friend.
If you have any specific queries, bug reports, feature requests or general feedback about this indicator please leave a comment below, and I'll get back to you ASAP!
Volatility Risk Premium (VRP) 1.0ENGLISH
This indicator (V-R-P) calculates the (one month) Volatility Risk Premium for S&P500 and Nasdaq-100.
V-R-P is the premium hedgers pay for over Realized Volatility for S&P500 and Nasdaq-100 index options.
The premium stems from hedgers paying to insure their portfolios, and manifests itself in the differential between the price at which options are sold (Implied Volatility) and the volatility the S&P500 and Nasdaq-100 ultimately realize (Realized Volatility).
I am using 30-day Implied Volatility (IV) and 21-day Realized Volatility (HV) as the basis for my calculation, as one month of IV is based on 30 calendaristic days and one month of HV is based on 21 trading days.
At first, the indicator appears blank and a label instructs you to choose which index you want the V-R-P to plot on the chart. Use the indicator settings (the sprocket) to choose one of the indices (or both).
Together with the V-R-P line, the indicator will show its one year moving average within a range of +/- 15% (which you can change) for benchmarking purposes. We should consider this range the “normalized” V-R-P for the actual period.
The Zero Line is also marked on the indicator.
Interpretation
When V-R-P is within the “normalized” range, … well... volatility and uncertainty, as it’s seen by the option market, is “normal”. We have a “premium” of volatility which should be considered normal.
When V-R-P is above the “normalized” range, the volatility premium is high. This means that investors are willing to pay more for options because they see an increasing uncertainty in markets.
When V-R-P is below the “normalized” range but positive (above the Zero line), the premium investors are willing to pay for risk is low, meaning they see decreasing uncertainty and risks in the market, but not by much.
When V-R-P is negative (below the Zero line), we have COMPLACENCY. This means investors see upcoming risk as being lower than what happened in the market in the recent past (within the last 30 days).
CONCEPTS:
Volatility Risk Premium
The volatility risk premium (V-R-P) is the notion that implied volatility (IV) tends to be higher than realized volatility (HV) as market participants tend to overestimate the likelihood of a significant market crash.
This overestimation may account for an increase in demand for options as protection against an equity portfolio. Basically, this heightened perception of risk may lead to a higher willingness to pay for these options to hedge a portfolio.
In other words, investors are willing to pay a premium for options to have protection against significant market crashes even if statistically the probability of these crashes is lesser or even negligible.
Therefore, the tendency of implied volatility is to be higher than realized volatility, thus V-R-P being positive.
Realized/Historical Volatility
Historical Volatility (HV) is the statistical measure of the dispersion of returns for an index over a given period of time.
Historical volatility is a well-known concept in finance, but there is confusion in how exactly it is calculated. Different sources may use slightly different historical volatility formulas.
For calculating Historical Volatility I am using the most common approach: annualized standard deviation of logarithmic returns, based on daily closing prices.
Implied Volatility
Implied Volatility (IV) is the market's forecast of a likely movement in the price of the index and it is expressed annualized, using percentages and standard deviations over a specified time horizon (usually 30 days).
IV is used to price options contracts where high implied volatility results in options with higher premiums and vice versa. Also, options supply and demand and time value are major determining factors for calculating Implied Volatility.
Implied Volatility usually increases in bearish markets and decreases when the market is bullish.
For determining S&P500 and Nasdaq-100 implied volatility I used their volatility indices: VIX and VXN (30-day IV) provided by CBOE.
Warning
Please be aware that because CBOE doesn’t provide real-time data in Tradingview, my V-R-P calculation is also delayed, so you shouldn’t use it in the first 15 minutes after the opening.
This indicator is calibrated for a daily time frame.
ESPAŇOL
Este indicador (V-R-P) calcula la Prima de Riesgo de Volatilidad (de un mes) para S&P500 y Nasdaq-100.
V-R-P es la prima que pagan los hedgers sobre la Volatilidad Realizada para las opciones de los índices S&P500 y Nasdaq-100.
La prima proviene de los hedgers que pagan para asegurar sus carteras y se manifiesta en el diferencial entre el precio al que se venden las opciones (Volatilidad Implícita) y la volatilidad que finalmente se realiza en el S&P500 y el Nasdaq-100 (Volatilidad Realizada).
Estoy utilizando la Volatilidad Implícita (IV) de 30 días y la Volatilidad Realizada (HV) de 21 días como base para mi cálculo, ya que un mes de IV se basa en 30 días calendario y un mes de HV se basa en 21 días de negociación.
Al principio, el indicador aparece en blanco y una etiqueta le indica que elija qué índice desea que el V-R-P represente en el gráfico. Use la configuración del indicador (la rueda dentada) para elegir uno de los índices (o ambos).
Junto con la línea V-R-P, el indicador mostrará su promedio móvil de un año dentro de un rango de +/- 15% (que puede cambiar) con fines de evaluación comparativa. Deberíamos considerar este rango como el V-R-P "normalizado" para el período real.
La línea Cero también está marcada en el indicador.
Interpretación
Cuando el V-R-P está dentro del rango "normalizado",... bueno... la volatilidad y la incertidumbre, como las ve el mercado de opciones, es "normal". Tenemos una “prima” de volatilidad que debería considerarse normal.
Cuando V-R-P está por encima del rango "normalizado", la prima de volatilidad es alta. Esto significa que los inversores están dispuestos a pagar más por las opciones porque ven una creciente incertidumbre en los mercados.
Cuando el V-R-P está por debajo del rango "normalizado" pero es positivo (por encima de la línea Cero), la prima que los inversores están dispuestos a pagar por el riesgo es baja, lo que significa que ven una disminución, pero no pronunciada, de la incertidumbre y los riesgos en el mercado.
Cuando V-R-P es negativo (por debajo de la línea Cero), tenemos COMPLACENCIA. Esto significa que los inversores ven el riesgo próximo como menor que lo que sucedió en el mercado en el pasado reciente (en los últimos 30 días).
CONCEPTOS:
Prima de Riesgo de Volatilidad
La Prima de Riesgo de Volatilidad (V-R-P) es la noción de que la Volatilidad Implícita (IV) tiende a ser más alta que la Volatilidad Realizada (HV) ya que los participantes del mercado tienden a sobrestimar la probabilidad de una caída significativa del mercado.
Esta sobreestimación puede explicar un aumento en la demanda de opciones como protección contra una cartera de acciones. Básicamente, esta mayor percepción de riesgo puede conducir a una mayor disposición a pagar por estas opciones para cubrir una cartera.
En otras palabras, los inversores están dispuestos a pagar una prima por las opciones para tener protección contra caídas significativas del mercado, incluso si estadísticamente la probabilidad de estas caídas es menor o insignificante.
Por lo tanto, la tendencia de la Volatilidad Implícita es de ser mayor que la Volatilidad Realizada, por lo cual el V-R-P es positivo.
Volatilidad Realizada/Histórica
La Volatilidad Histórica (HV) es la medida estadística de la dispersión de los rendimientos de un índice durante un período de tiempo determinado.
La Volatilidad Histórica es un concepto bien conocido en finanzas, pero existe confusión sobre cómo se calcula exactamente. Varias fuentes pueden usar fórmulas de Volatilidad Histórica ligeramente diferentes.
Para calcular la Volatilidad Histórica, utilicé el enfoque más común: desviación estándar anualizada de rendimientos logarítmicos, basada en los precios de cierre diarios.
Volatilidad Implícita
La Volatilidad Implícita (IV) es la previsión del mercado de un posible movimiento en el precio del índice y se expresa anualizada, utilizando porcentajes y desviaciones estándar en un horizonte de tiempo específico (generalmente 30 días).
IV se utiliza para cotizar contratos de opciones donde la alta Volatilidad Implícita da como resultado opciones con primas más altas y viceversa. Además, la oferta y la demanda de opciones y el valor temporal son factores determinantes importantes para calcular la Volatilidad Implícita.
La Volatilidad Implícita generalmente aumenta en los mercados bajistas y disminuye cuando el mercado es alcista.
Para determinar la Volatilidad Implícita de S&P500 y Nasdaq-100 utilicé sus índices de volatilidad: VIX y VXN (30 días IV) proporcionados por CBOE.
Precaución
Tenga en cuenta que debido a que CBOE no proporciona datos en tiempo real en Tradingview, mi cálculo de V-R-P también se retrasa, y por este motivo no se recomienda usar en los primeros 15 minutos desde la apertura.
Este indicador está calibrado para un marco de tiempo diario.
VocsOng Intraday Support ResistanceOverview
This indicator is meant for intraday trading, mainly designed for SPX . The main purpose of this indicator is to mark out the key levels of support and resistance for intraday.
There are 9 main support and resistance that forms this intraday support resistance indicator.
1. Today's Open
Today's open is often a neglected area because by default change percentage is always based on yesterday close. So having a line drawn for today's open is the very starting point.
2. Yesterday Close
3. Yesterday High
4. Yesterday Low
Yesterday Close, High, Low are important intraday trading areas, it is very common that price action resist at this area.
5. Past 4 Days Calculated Estimated High (YesterdayClose + (EstimatedRange/2) :: EstimatedRange = Nearest day x0.4, followed by 0.3, 0.2, 0.1)
6. Past 4 Days Calculated Estimated Low (YesterdayClose - (EstimatedRange/2) :: EstimatedRange = Nearest day x0.4, followed by 0.3, 0.2, 0.1)
This is a calculated estimated high/low range based on past 4 days range. Weighing the nearest day heaviest of 40%, followed by 30%, 20%, 10%.
This calculated high/low area apparently also act as good support and resistance area sometimes.
7. Expected Move High (YesterdayClose + VIX/100 * SquareRoot(1/365))
8. Expected Move Low (YesterdayClose - VIX/100 * SquareRoot(1/365))
This is the formula used to calculate expected move LIVE based on current VIX. This is based from today's open.
9. 1.5% to 2% from SPX Open today
This marks out a zone where SPX is 1.5% to 2% away from today's open. This gives a general guide on a fix percentage change based on today's open.
Statistically, SPX close within 1.5% change from today's open 93.18% of the time in the past 10 years.
How I use them?
First to note, this indicator works best on 1 minute chart. Other timeframe might not be that accurate.
All these are intraday support and resistance. They can be simply use as support and resistance by default.
In addition to that, 7,8,9 are also used as overbought/oversold indicator because they are centered to today's open.
As SPX move towards 7,8,9, it shows how overbought or oversold it is.
I use this indicator with SPX 0 dte options trading.
So as SPX approaches the oversold area, and near any of the support, I will sell a 30 wide put credit spread at 5 delta away or $1 target credit.
This trade entry goes together with a bracket take profit (80%) and stop loss (200%) OCO order.
Implied minus Historical VolatilityJust a simple comparison of 30 day historical volatility versus 30 day implied volatility(VIX). In general, when VIX is way above realized or historical Vol, in general that is quite bullish. Backtest will be available soon.
Standard Error of the Estimate -Jon Andersen- V2Original implementation idea of bands by:
Traders issue: Stocks & Commodities V. 14:9 (375-379):
Standard Error Bands by Jon Andersen
Standard Error Bands are quite different than Bollinger's.
First, they are bands constructed around a linear regression curve.
Second, the bands are based on two standard errors above and below this regression line.
The error bands measure the standard error of the estimate around the linear regression line.
Therefore, as a price series follows the course of the regression line the bands will narrow , showing little error in the estimate. As the market gets noisy and random, the error will be greater resulting in wider bands .
Thanks to the work of @glaz & @XeL_arjona
In this version you can change the type of moving averages and the source of the bands.
Add a few studies of @dgtrd
1- ADX Colored Directional Movement Line
Directional Movement (DMI) (created by J. Welles Wilder ) consists of the Average Directional Index ( ADX ), to define whether or not there is a trend present, and Plus Directional Indicator (+D I) and Minus Directional Indicator (-D I) serve the purpose of determining trend direction
ADX Colored Directional Movement Line is custom interpretation of Directional Movement (DMI) with aim to present all 3 DMI indicator components with SINGLE line and ability to be added on top of the price chart (main chart)
How to interpret :
* triangle shapes:
▲- bullish : diplus >= diminus
▼- bearish : diplus < diminus
* colors:
green - bullish trend : adx >= strongTrend and di+ > di-
red - bearish trend : adx >= strongTrend and di+ < di-
gray - no trend : weekTrend < adx < strongTrend
yellow - week trend : adx < weekTrend
* color density:
darker : adx growing
lighter : adx falling
2- Volatility Colored Price/MA Line
Custom interpretation of the idea “Prices high above the moving average (MA) or low below it are likely to be remedied in the future by a reverse price movement”. Further details can be found under study “Price Distance to its MA by DGT”
How to interpret :
-▲ – Bullish , Price Action above Moving Average
-▼ – Bearish , Price Action below Moving Average
-Gray/Black - Low Volatility
-Green/Red – Price Action in Threshold Bands
-Dark Green/Red – Price Action Exceeds Threshold Bands
3- Volume Weighted Bar s
Volume Weighted Bars, a study of Kıvanç Özbilgiç, aims to present whether volume supports price movements. Volume Weighted Bars are calculated based on volume moving average.
How to interpret :
-Volume high above the volume moving average be displayed with red/green colors
-Average volume values will remain as they are and
-Volume low below the volume moving average will be indicated with darker colors
4- Fear & Greed index value, using technical anlysis approach calculated based on :
⮩1 - Price Momentum : Price Distance to its Moving Average
⮩2 - Strenght : Rate of Return, price movement over a period of time
⮩3 - Money Flow : Chaikin Money Flow, quantify changes in buying and selling pressure. CMF calculations is based on Accumulation/Distribution
⮩4 - Market Volatility : CBOE Volatility Index ( VIX ), the Volatility Index, or VIX , is a real-time market index that represents the market's expectation. It provides a measure of market risk and investors' sentiments
⮩5 -Safe Haven Demand: in this study GOLD demand is assumed
Banknifty & Nifty50 ScalperWhy this indicator?
There are full time traders who watch their screens during live market and make good amount of money by actively managing their positions.
There are full time employees also who want to trade but can not do so because they can not monitor their active positions while they are at job.
This indicator helps you execute your trades through third party platforms by generating Buy/Sell messages in a broker-compliant format.
You just need to "Enter Your API Key” in indicator settings and the indicator will generate pop-up messages which can be captured with Google Chrome extension and passed on to your third party platform for execution.
How this indicator works?
The indicator generates trades with 03 type of formulas:
1. It calculates Zeta Force values for Bank Nifty & Nifty based upon our proprietary formula. On reaching certain threshold limits, these values trigger Buy/Sell signals.
2. It calculates 5 type of moving averages along with change in volume and deviation from mean price and when the threshold limit set is crossed, Buy/Sell signals are generated.
3. On 1 min. Time frame, it generates scalping trades when there is sudden spurt in price and volume.
Additionally, indicator also generates automatic Support/Resistance lines based upon pivot points + behaviour of price at certain levels (whether price repeatedly bounces off or sails through a certain area).
What are other features of the indicator
A label displayed at the last bar gives you following information:
(a) Value of India VIX
(b) jump in India VIX (compared to yesterday’s close)
(c) Zeta Fore value (current candle)
(d) V+ and V- which stand for number of bank nifty stocks trading above or below their respective VWAP
(e) Zeta TP, an oscillator whose value varies from -100 to +100
On what stocks or Indices it can be used?
As described above, it specifically tracks volume and price of Bank Nifty & Nifty50 (Indian indices). Hence, it is suitable for both these indices and should not be used on anything else.
Also, when this indicator formulae were back-tested using a strategy, 5 min and 15 min time frames produced best-results.
Support/Resistance lines and over-sold, over-bought indication can be used together to exit your open positions.
SPY Ninja Oscillator
SPY Ninja Oscillator correlates the true strength index exponential moving averages of SPY (green) and VIX (red) together. In doing so we can determine the start of trend shifts via SPY / VIX convergence in addition to crossover, with potential market entries and exits represented by the vertical green and red bars.
MACD and RSI have been scaled proportionally to the oscillator range ( for rsi: (rsi-50)*. 01 , and for macd: macd /3) and when overlaid and used in conjunction with the market vertical entry and exit signals, potential trend prediction becomes much more apparent.
Normalized Volatility IndicatorFrom an article by Rajesh Kayakkal:
"Early bear phase signals can help you get out of the market before it turns down. This indicator tells you how.
There are many ways to identify the trend of a financial market, the most common being the 200-day exponential moving average (Ema). When price is trending down below the 200-day Ema, the market is believed to be in a bear phase. If the market is trending up above the 200-day Ema, it is considered to be in a bull phase.
Since every indicator fails at times, I wanted to find other indicators to confirm a trend. In my quest for another indicator to determine the trend for the financial markets, I found the Cboe Volatility Index (Vix) to be a good indicator of the market direction. The Vix is calculated from the weighted average of the implied volatilities of various options on the Standard & Poor’s 500 index futures.
J. Welles Wilder’s average true range can also give an indication of the financial market trends; that is, when the market is in a bull phase, the average true range narrows, and when it is in a bear phase, the average true range expands. The normalized volatility indicator (Nvi) is based on this behavior.
Normalized volatility indicator (Nvi)
Average true range (Atr) varies depending on time. But how do we determine the phase of the financial market with Atr? Perhaps some type of ratio could give us a clue. A ratio presents a relationship of a quantity with respect to another. I did some research based on a ratio of the 64-day average true range and the end-of-day value of equity indexes such as the Standard & Poor’s 500 (Spx). I selected the 64-day period since it is close to the average number of trading days in a quarter. The ratio of the 64-day average true range and closing price does discount seasonal variations in the average true range and gives a single number that can be used to compare volatility of an instrument across many decades. I call this ratio the normalized volatility indicator.
I found an interesting correlation between Nvi and cycles of major equity market indexes. The formula for the Nvi is:
Nvi = 64 - Day average true range/End-of-day price * 100
The NVI gave advanced signals before the cyclical bear phase of SPX commenced in October 2000 and was almost on the spot with the bull phase that began in 2003 and the current secular bear market cycle, which started in November 2007."
Includes options to show inverse NVI and change the ATR length and smoothing.
Volatility Rainbow [Nic]What is this
The volatility rainbow tracks divergences in a security and its volatility index. This can be used to identify periods of heightened implied (future) risk.
About Volatility
The volatility is calculated by looking at put / call ratios. When VIX goes up it means that puts are outpacing calls. This is a bearish signal.
About Correlation
When the security goes up while the VIX goes up, the divergence on the plot will increase and turn a color. This should be a warning.
Colors
RED - DIA
BLUE - SPX
GREEN - IWM
GOLD - GLD
YELLOW - QQQ
ORANGE - TLT
White- VVIX
Related
Volatility Prism [Nic]What is this
The volatility rainbow tracks divergences in a security and its volatility index. This can be used to identify periods of heightened implied (future) risk.
About Volatility
The volatility is calculated by looking at put / call ratios. When VIX goes up it means that puts are outpacing calls. This is a bearish signal.
About Correlation
When the security goes up while the VIX goes up, the divergence on the plot will increase and turn a color. This should be a warning.
Volatility Rainbow
This is a similar indicator, but this one merges all signals into a single line.
Distance From-22-Moving Averages over CMOODYwilliamsVIXFIXThis script is a mean reversion script where each of the moving averages represent the price and Chris Moody's Williams Vix Fix ZERO line represents the moving averages. There are 4 moving average types included: EMA , SMA , WMA , HMA .
You can set up to your liking by having all of the averages as any or all of the 4 options.
This script is a great way to spot bearish/bullish divergences in price action.
This script is also excellent at indicating periods of price action when volatility is extremely low - all the plots get very tight instead of spread out.
I have copy/pasted a public script by Chris Moody which is the Williams Vix Fix. This indicator shows a white circle as a "top" or "bottom" based on the current price distance off the mean (in simple terms).
Thank you Chris Moody!
Momentum Reversal Indicator (MRI)This is the Beta release of the Momentum Reversal Indicator (MRI), expect an update by the end of year.
The Momentum Reversal Indicator (MRI) is an advanced script for professional traders who have taken the time to learn all its functions. It is a time based indicator that anticipates the ending of trends based on the momentum in price movement. As an important secondary element, MRI also suggests when a trend might be starting or continuing, which a trader can certainly take advantage of. It is useful across all assets and all time frames but is ideal in more liquid assets on Daily & Weekly time frames.
Since this is an Invite Only Script, I will not be making the code public nor explain the math logic of the code here in TradingView. TradingView also limits any external links, but those interested in details or access should be resourceful enough to find all the information they need on my website. However, I will try and explain the usefulness of the MRI indicator with the following images.
MRI will display a downwards red arrow above the candle when the bullish trend is ending and an upwards green arrow above the candle when the bearish trend is ending. The candle before the MRI top/bottom is marked by an orange arrow warning you that the trend might be ending on the next candle. (It's common that the trend ends on the candle before or after this MRI signal, I personally like to use single candlestick reversals for confirmation like Shooting Stars, Hammers and Doji). The orange arrow will disappear if a green or red arrow shows up, but will remain on the chart if on the following candle, the conditions needed to make the MRI signal are not met. See NYSE:UBER chart below:
When the number above the arrow is something other than a 1, it indicates a strong trend and the number represents consecutive instances of hitting that MRI extreme condition. These consecutive instances have been known to cause major changes in trend and the larger the number, the bigger the move might be. Here is a recent example of the daily chart hitting a 3 on the MRI, with the market falling 6.5% in the following 3 days and 10% over the next 3 weeks (you can see this in the image used to publish this script)
The biggest number I have seen is a 5, this occurred on the weekly chart of AMEX:CBOE as it was followed by a 30% correction over the next two weeks.
Following an MRI Top/Bottom there are three different Extensions of trend if the price continues to move in the same direction and does not reverse with the MRI. It’s up to the trader to decide which of the three they find most relevant, for me it’s B & C, and there are settings you can use to remove what you don't care for from display. They have a different but similar rule set which is explained to those serious about the indicator and purchase access, which comes with full explanations in a video. Here is a recent chart of NASDAQ:AMZN for an example:
And here is a weekly chart of NYSE:GM topping on Extension C with the MRI warning (Orange Arrow). Extensions A & B also provided good profit takes after a big run up
These Extensions are particularly useful when they occur on (or right around) an MRI Top/Bottom. Here is an example where it timed the 2018 stock market SPCFD:SPX top perfectly leading directly into an MRI Bottom two weeks later (Also notice how we can show multiple timeframes hitting MRI levels)
In addition to Extensions, an MRI Top/Bottom generates a Resistance/Support line (dotted) and a Breakout Line (solid). The Support/Resistance not only has a tendency to reverse the price but also increases the probability of the MRI leading to a full reversal if the line is not broken. By breaking this dotted line, you increase the probability of entering the Extension of Trend. The Breakout line tends to notify the trader that the trend is very strong and continuing. As an example of Support line, here is a recent 1 hour BITSTAMP:BTCUSD chart
Here is FX_IDC:EURUSD as of today on a daily chart which shows the Extension of trends once these critical support/resistance and breakout lines are taken out.
The indicator also shows you if the MRI is hitting critical levels on higher level time frames. We have set the defaults to Hourly (H), Daily (D), Weekly (W), Monthly (M) and Yearly (Y). You can turn these off in settings and you can also add up to 3 additional custom timeframes of your choice to the display list. When MRI lines up across several time frames it has a history of causing significant moves, here is an example of NSE:TITAN which fell 25% after aligning with the Daily, Weekly and Monthly timeframes for a top.
The recent top in TVC:GOLD came on a Friday which had a Daily Extension B & C top. The following Monday kicked off a weekly MRI Top and a week later was the start of September, which happens to be a Monthly MRI Top. Gold is still trending lower as of today and is down 11% since this top less than 2 months ago.
One final note on the multi-timeframe is that if you have the Hourly (H) set to display on a chart that only has end of day data, the Indicator will not work so make sure to uncheck all timeframes that can't be identified in the settings.
Here are additional charts that show the power of MRI including cryptocurrencies:
Recent 25% crash in BINANCE:BNBBTC
Of course we have to mention BITSTAMP:BTCUSD here is how MRI called the time period around the big crash in March 2020. There was a very timely MRI Top several weeks prior and once the Support line broke, it went right down into a nice MRI Bottom.
Volatility Index Weekly & Daily as of today CBOE:VIX
Here is the current look at the weekly USD chart TVC:DXY you can see how it tops on Extension C in March and seems to have bottomed with the MRI in late August.
One more look at a stock chart, here we have the Weekly NASDAQ:SBUX as of today, it perfectly oscillates between the MRI calls the last two years.
Disclaimer : Trading is risky and using MRI (like any other indicator) does not guarantee positive returns. It does not blindly provide Buy/Sell/Short calls and the trader will need to evaluate every alert.
“The average man doesn’t wish to be told that it is a bull or a bear market. What he desires is to be told specifically which particular stock to buy or sell. He wants to get something for nothing. He does not wish to work. He doesn’t even wish to have to think.” - Jesse Livermore
Personal Note: I would like to credit the following people that all lead to the knowledge needed to build the MRI: Larry Williams, Tom DeMark, Tyler Jenks, Martin Armstrong & Kevin O’Dowd (most of whom I have met or interacted with)
Thank you everyone, if this indicator interests you, you know what to do...
Good Luck Trader,
Tone Vays
Implied Volatility SuiteThis is an updated, more robust, and open source version of my 2 previous scripts : "Implied Volatility Rank & Model-Free IVR" and "IV Rank & IV Percentile".
This specific script provides you with 4 different types of volatility data: 1)Implied volatility, 2) Implied Volatility Rank, 3)Implied Volatility Percentile, 4)Skew Index.
1) Implied Volatility is the market's forecast of a likely movement, usually 1 standard deviation, in a securities price.
2) Implied Volatility Rank, ranks IV in relation to its high and low over a certain period of time. For example if over the past year IV had a high of 20% and a low of 10% and is currently 15%; the IV rank would be 50%, as 15 is 50% of the way between 10 & 20. IV Rank is mean reverting, meaning when IV Rank is high (green) it is assumed that future volatility will decrease; while if IV rank is low (red) it is assumed that future volatility will increase.
3) Implied Volatility Percentile ranks IV in relation to how many previous IV data points are less than the current value. For example if over the last 5 periods Implied volatility was 10%,12%,13%,14%,20%; and the current implied volatility is 15%, the IV percentile would be 80% as 4 out of the 5 previous IV values are below the current IV of 15%. IV Percentile is mean reverting, meaning when IV Percentile is high (green) it is assumed that future volatility will decrease; while if IV percentile is low (red) it is assumed that future volatility will increase. IV Percentile is more robust than IV Rank because, unlike IV Rank which only looks at the previous highs and lows, IV Percentile looks at all data points over the specified time period.
4)The skew index is an index I made that looks at volatility skew. Volatility Skew compares implied volatility of options with downside strikes versus upside strikes. If downside strikes have higher IV than upside strikes there is negative volatility skew. If upside strikes have higher IV than downside strikes then there is positive volatility skew. Typically, markets have a negative volatility skew, this has been the case since Black Monday in 1987. All negative skew means is that projected option contract prices tend to go down over time regardless of market conditions.
Additionally, this script provides two ways to calculate the 4 data types above: a)Model-Based and b)VixFix.
a) The Model-Based version calculates the four data types based on a model that projects future volatility. The reason that you would use this version is because it is what is most commonly used to calculate IV, IV Rank, IV Percentile, and Skew; and is closest to real world IV values. This version is what is referred to when people normally refer to IV. Additionally, the model version of IV, Rank, Percentile, and Skew are directionless.
b) The VixFix version calculates the four data types based on the VixFix calculation. The reason that you would use this version is because it is based on past price data as opposed to a model, and as such is more sensitive to price action. Additionally, because the VixFix is meant to replicate the VIX Index (except it can be applied to any asset) it, just like the real VIX, does have a directional element to it. Because of this, VixFix IV, Rank, and Percentile tend to increase as markets move down, and decrease as markets move up. VixFix skew, on the other hand, is directionless.
How to use this suite of tools:
1st. Pick the way you want your data calculated: either Model-Based or VixFix.
2nd. Input the various length parameters according to their labels:
If you're using the model-based version and are trading options input your time til expiry, including weekends and holidays. You can do so in terms of days, hours, and minutes. If you're using the model-based version but aren't trading options you can just use the default input of 365 days.
If you're using the VixFix version, input how many periods of data you want included in the calculation, this is labeled as "VixFix length". The default value used in this script is 252.
3rd. Finally, pick which data you want displayed from the dropdown menu: Implied Volatility, IV Rank, IV Percentile, or Volatility Skew Index.
Volatility based Standarde Deviation and Fib. Pivot PointsThis indicator plots Standard deviation levels and Fib. Pivot Points. I prefer to use only SD levels but Fib. levels also come handy in providing support and resistance.
How to use this indicator:
You have to manually enter instrument's Closing Price / Settlement Price and VIX closing price to draw each day's levels.
For NQ, I use VXN closign price and for ES or RTY, I use VIX closing price.
This indicator can be used on individual stocks and forex pairs.
