Inizia

VIX CBOE Volatility Index

NY VIX Channel Trend US Futures Day Trade StrategyNY VIX Channel Trend Strategy Summary in one paragraph Session anchored intraday strategy for index futures such as ES and NQ on one to fifteen minute charts. It acts only after the first configurable window of New York Regular Trading Hours and uses a VIX derived daily implied move to form a realistic channel from the session open. Originality comes from using a pure implied volatility yardstick as portable support and resistance, then committing in the direction of the first window close relative to the open. Add it to a clean chart and trade the simple visuals. For conservative alerts use on bar close. Scope and intent • Markets. Index futures ES and NQ • Timeframes. One to thirty minutes • Default demo. ES1 on five minutes • Purpose. Provide a portable intraday yardstick for entries and exits without curve fitting • Limits. This is a strategy. Orders are simulated on standard candles Originality and usefulness • Unique concept. A VIX only channel anchored at 09:30 New York plus a single window trend test • Addresses. False urgency at session open and unrealistic bands from arbitrary multipliers • Testability. Every input is visible and the channel is plotted so users can audit behavior • Portable yardstick. Daily implied move equals VIX percent divided by square root of two hundred fifty two • Protected status. None. Method and use are fully disclosed Method overview in plain language Take the daily VIX or VIX9D value, convert it to a daily fraction by dividing by square root of two hundred fifty two, then anchor a symmetric channel at the New York session open. Observe the first N minutes. If that window closes above the open the bias is long. If it closes below the open the bias is short. One trade per session. Exits occur at the channel boundary or at a bracket based on a user selected VIX factor. Positions are closed a set number of minutes before the session ends. Base measures Return basis. The daily implied move unit equals VIX percent divided by square root of two hundred fifty two and serves as the distance unit for targets and stops. Components • VIX Channel. Top, mid, bottom lines anchored at 09:30 New York. No extra multipliers • Window Trend. Close of the first N minutes relative to the session open sets direction • Risk Bracket. Take profit and stop loss equal to VIX unit times user factor • Session Window. Uses the exchange time of the chart Fusion rule Minimum gates count equals one. The trade only arms after the window has elapsed and a direction exists. One entry per session. Signal rule • Long when the window close is above the session open and the window has completed • Short when the window close is below the session open and the window has completed • Exit on channel touch. Long exits at the top. Short exits at the bottom • Flat thirty minutes before the session close or at the user setting Inputs with guidance Setup • Use VIX9D. Width source. Typical true for fast tone or false for baseline • Use daily OPEN. Toggle for sensitivity to overnight changes Logic • Window minutes. Five to one hundred twenty. Larger values delay entries and reduce whipsaw • VIX factor for TP. Zero point five to two. Raising it widens the profit target • VIX factor for SL. Zero point five to two. Raising it widens the stop • Exit minutes before close. Fifteen to ninety. Raising it exits earlier Properties visible in this publication • Initial capital one hundred thousand USD • Base currency USD • request.security uses lookahead off • Commission cash per contract two point five $ per each contract. Slippage one tick • Default order size method FIXED with value one contract. Pyramiding zero. Process orders on close ON. Bar magnifier OFF. Recalculate after order is filled OFF. Calc on every tick ON Realism and responsible publication No performance claims. Past results never guarantee future outcomes. Fills and slippage vary by venue. Shapes can move while a bar forms and settle on close. Strategy uses standard candles. Honest limitations and failure modes Economic releases and thin liquidity can break the channel. Very quiet regimes can reduce signal contrast. Session windows follow the exchange time of the chart. If both stop and target can be hit within one bar, assume stop first for conservative reading without bar magnifier. Works best in liquid hours of New York RTH. Very large gaps and surprise news may exceed the implied channel. Always validate on the symbols you trade. Entries and exits • Entry logic. After the first window, go long if the window close is above the session open, go short if below • Exit logic. Long exits at the channel top or at the take profit or stop. Short exits at the channel bottom or at the take profit or stop. Flat before session close by the configured minutes • Risk model. Initial stop and target based on the VIX unit times user factors. No trail and no break even. No cooldown • Tie handling. Treat as stop first for conservative interpretation Position sizing Fixed size one contract per trade. Target risk per trade should generally remain near one percent of account equity. Risk is based on the daily volatility value, the max loss from the tests for one year duration with 5min chart was 4%, while the avg loss was below <1% of the total capital. If you have any questions please let me know. Thank you for coming by !
Strategia Pine Script®
di exlux
10
US/SPY- Financial Regime Index Swing Strategy Credits: concept inspired by EdgeTools Bloomberg Financial Conditions Index (Proxy) Improvements: eight component basket, inverse volatility weights, winsorization option( statistical technique used to limit the influence of outliers in a dataset by replacing extreme values with less extreme ones, rather than removing them entirely), slope and price gates, exit guards, table and gradients. Summary in one paragraph A macro regime swing strategy for index ETFs, futures, FX majors, and large cap equities on daily calculation with optional lower time execution. It acts only when a composite Financial Conditions proxy plus slope and an optional price filter align. Originality comes from an eight component macro basket with inverse volatility weights and winsorized return z scores that produce a portable yardstick. Scope and intent Markets: SPY and peers, ES futures, ACWI, liquid FX majors, BTC, large cap equities. Timeframes: calculation daily by default, trade on any chart. Default demo: SPY on Daily. Purpose: convert broad financial conditions into clear swing bias and exits. Originality and usefulness Unique fusion: return z scores for eight liquid proxies with inverse volatility weighting and optional winsorization, then slope and price gates. Failure mode addressed: false starts in chop and early shorts during easy liquidity. Testability: all knobs are inputs and the table shows components and weights. Portable yardstick: z scores center at zero so thresholds transfer across symbols. Method overview in plain language Base measures Return basis: natural log return over a configurable window, standardized to a z score. Winsorization optional to cap extremes. Components EQ US and EQ GLB measure equity tone. CREDIT uses LQD over HYG. Higher credit quality outperformance is risk off so sign is flipped after z score. RATES2Y uses two year yield, sign flipped. SLOPE uses ten minus two year yield spread. USD uses DXY, sign flipped. VOL uses VIX, sign flipped. LIQ uses BIL over SPY, sign flipped. Each component is smoothed by the composite EMA. Fusion rule Weighted sum where weights are equal or inverse volatility with exponent gamma, normalized to percent so they sum to one. Signal rule Long when composite crosses up the long threshold and its slope is positive and price is above the SMA filter, or when composite is above the configured always long floor. Short when composite crosses down the short threshold and its slope is negative and price is below the SMA filter. Long exit on cross down of the long exit line or on a fresh short signal. Short exit on cross up of the short exit line or on a fresh long signal, or when composite falls below the force short exit guard. What you will see on the chart Markers on suggestion bars: L for long, S for short, LX and SX for exits. Reference lines at zero and soft regime bands at plus one and minus one. Optional background gradient by regime intensity. Compact table with component z, weight percent, and composite readout. Table fields and quick reading guide Component: EQ US, EQ GLB, CREDIT, RATES2Y, SLOPE, USD, VOL, LIQ. Z: current standardized value, green for positive risk tone where applicable. Weight: contribution percent after normalization. Composite: current index value. Reading tip: a broadly green Z column with slope positive often precedes better long context. Inputs with guidance Setup Calc timeframe: default Daily. Leave blank to inherit chart. Lookback: 50 to 1500. Larger length stabilizes regimes and delays turns. EMA smoothing: 1 to 200. Higher smooths noise and delays signals. Normalization Winsorize z at ±3: caps extremes to reduce one off shocks. Return window for equities: 5 to 260. Shorter reacts faster. Weighting Weight lookback: 20 to 520. Weight mode: Equal or InvVol. InvVol exponent gamma: 0.1 to 3. Higher compresses noisy components more. Signals Trade side: Long Short or Both. Entry threshold long and short: portable z thresholds. Exit line long and short: soft exits that give back less. Slope lookback bars: 1 to 20. Always long floor bfci ≥ X: macro easy mode keep long. Force short exit when bfci < Y: macro stress guard. Confirm Use price trend filter and Price SMA length. View Glow line and Show component table. Symbols SPY ACWI HYG LQD VIX DXY US02Y US10Y BIL are defaults and can be changed. Realism and responsible publication No performance claims. Past is not future. Shapes can move intrabar and settle on close. Execution is on standard candles only. Honest limitations and failure modes Major economic releases and illiquid sessions can break assumptions. Very quiet regimes reduce contrast. Use longer windows or higher thresholds. Component proxies are ETFs and indexes and cannot match a proprietary FCI exactly. Strategy notice Orders are simulated on standard candles. All security calls use lookahead off. Nonstandard chart types are not supported for strategies. Entries and exits Long rule: bfci cross above long threshold with positive slope and optional price filter OR bfci above the always long floor. Short rule: bfci cross below short threshold with negative slope and optional price filter. Exit rules: long exit on bfci cross below long exit or on a short signal. Short exit on bfci cross above short exit or on a long signal or on force close guard. Position sizing Percent of equity by default. Keep target risk per trade low. One percent is a sensible starting point. For this example we used 3% of the total capital Commisions We used a 0.05% comission and 5 tick slippage Legal Education and research only. Not investment advice. Test in simulation first. Use realistic costs.
Strategia Pine Script®
di exlux
Dual SuperTrend w VIX Filter - Strategy [presentTrading]Hey everyone! Haven't been here for a long time. Been so busy again in the past 2 months. I recently started working on analyzing the combination of trend strategy and VIX, but didn't get outstanding results after a few tries. Sharing this tool with all of you in case you have better insights. █ Introduction and How it is Different The Dual SuperTrend with VIX Filter Strategy combines traditional trend following with market volatility analysis. Unlike conventional SuperTrend strategies that focus solely on price action, this experimental system incorporates VIX (Volatility Index) as an adaptive filter to create a more context-aware trading approach. By analyzing where current volatility stands relative to historical norms, the strategy adjusts to different market environments rather than applying uniform logic across all conditions. BTCUSD 6hr Long Short Performance █ Strategy, How it Works: Detailed Explanation 🔶 Dual SuperTrend Core The strategy uses two SuperTrend indicators with different sensitivity settings: - SuperTrend 1: Length = 13, Multiplier = 3.5 - SuperTrend 2: Length = 8, Multiplier = 5.0 The SuperTrend calculation follows this process: 1. ATR = Average of max(High-Low, |High-PreviousClose|, |Low-PreviousClose|) over 'length' periods 2. UpperBand = (High+Low)/2 - (Multiplier * ATR) 3. LowerBand = (High+Low)/2 + (Multiplier * ATR) Trend direction is determined by: - If Close > previous LowerBand, Trend = Bullish (1) - If Close < previous UpperBand, Trend = Bearish (-1) - Otherwise, Trend = previous Trend 🔶 VIX Analysis Framework The core innovation lies in the VIX analysis system: 1. Statistical Analysis: - VIX Mean = SMA(VIX, 252) - VIX Standard Deviation = StdDev(VIX, 252) - VIX Z-Score = (Current VIX - VIX Mean) / VIX StdDev 2. **Volatility Bands: - Upper Band 1 = VIX Mean + (2 * VIX StdDev) - Upper Band 2 = VIX Mean + (3 * VIX StdDev) - Lower Band 1 = VIX Mean - (2 * VIX StdDev) - Lower Band 2 = VIX Mean - (3 * VIX StdDev) 3. Volatility Regimes: - "Very Low Volatility": VIX < Lower Band 1 - "Low Volatility": Lower Band 1 ≤ VIX < Mean - "Normal Volatility": Mean ≤ VIX < Upper Band 1 - "High Volatility": Upper Band 1 ≤ VIX < Upper Band 2 - "Extreme Volatility": VIX ≥ Upper Band 2 4. VIX Trend Detection: - VIX EMA = EMA(VIX, 10) - VIX Rising = VIX > VIX EMA - VIX Falling = VIX < VIX EMA Local performance: 🔶 Entry Logic Integration The strategy combines trend signals with volatility filtering: Long Entry Condition: - Both SuperTrend 1 AND SuperTrend 2 must be bullish (trend = 1) - AND selected VIX filter condition must be satisfied Short Entry Condition: - Both SuperTrend 1 AND SuperTrend 2 must be bearish (trend = -1) - AND selected VIX filter condition must be satisfied Available VIX filter rules include: - "Below Mean + SD": VIX < Lower Band 1 - "Below Mean": VIX < VIX Mean - "Above Mean": VIX > VIX Mean - "Above Mean + SD": VIX > Upper Band 1 - "Falling VIX": VIX < VIX EMA - "Rising VIX": VIX > VIX EMA - "Any": No VIX filtering █ Trade Direction The strategy allows testing in three modes: 1. **Long Only:** Test volatility effects on uptrends only 2. **Short Only:** Examine volatility's impact on downtrends only 3. **Both (Default):** Compare how volatility affects both trend directions This enables comparative analysis of how volatility regimes impact bullish versus bearish markets differently. █ Usage Use this strategy as an experimental framework: 1. Form a hypothesis about how volatility affects trend reliability 2. Configure VIX filters to test your specific hypothesis 3. Analyze performance across different volatility regimes 4. Compare results between uptrends and downtrends 5. Refine your volatility filtering approach based on results 6. Share your findings with the trading community This framework allows you to investigate questions like: - Are uptrends more reliable during rising or falling volatility? - Do downtrends perform better when volatility is above or below its historical average? - Should different volatility filters be applied to long vs. short positions? █ Default Settings The default settings serve as a starting point for exploration: SuperTrend Parameters: - SuperTrend 1 (Length=13, Multiplier=3.5): More responsive to trend changes - SuperTrend 2 (Length=8, Multiplier=5.0): More selective filter requiring stronger trends VIX Analysis Settings: - Lookback Period = 252: Establishes a full market cycle for volatility context - Standard Deviation Bands = 2 and 3 SD: Creates statistically significant regime boundaries - VIX Trend Period = 10: Balances responsiveness with noise reduction Default VIX Filter Selection: - Long Entry: "Above Mean" - Tests if uptrends perform better during above-average volatility - Short Entry: "Rising VIX" - Tests if downtrends accelerate when volatility is increasing Feel Free to share your insight below!!!
Strategia Pine Script®
di PresentTrading
Strategy Oil Z ScoreObjective is to find forward looking indicators to find good entries into major index's. In similar vein to my Combo Z Score script I have implemented one looking at oil and oil volatility. Interestingly the script out performs WITHOUT applying the EMA in longer timeframes but under performs in shorter timeframes, for example 2007 vs 2019. Likely due to the bullish nature of the past decade (by and large). You have some options on the underlying included Oil vs OVX (Best), MOVE vs OVX and VIX vs OVX. Oil vs OVX out performs Combo Z Script. Favours Spy over QQQ or derivations (SPXL etc).
Strategia Pine Script®
di jroche1973
Strategy: Combo Z ScoreStrategy version of Combo Z Score Objective: Can we use both VIX and MOVE relationships to indicate movement in the SPY? VIX (forward contract on SPY options) correlations are quite common as forward indicators however MOVE (forward contract on bonds) also provides a slightly different level of insight Using the Z-Score of VIX vs VVIX and MOVE vs inverted VIX (there is no M of Move so we use inverted Vix as a proxy) we get some helpful indications of potential future moves. Added %B to give us some exposure to momentum. Toggle VIX or MOVE. If anyone has a better idea of inverted Vix to proxy forward interest in MOVE let me know. Noticeable delta is that Vix only approach over the back test period is slightly better. Questions would be, what is the structure and nature of the market over the test period and in a bear market would MOVE or combined perform better.
Strategia Pine Script®
di jroche1973
2
TICK strategy for SPY optionsImportant notes: 1. This strategy is designed for same day SPY option scalping. All profit shown in back testing report is based on Profit/Loss (P/L) estimates from trading options with approximately 6 months of data. By default, it is set to 10 option contracts. By default the initial capital is set to $5000. Pyramiding is set to 3. 2. This strategy works better with non-extended market data. 3. This strategy is mainly developed for SPY trading on 5 min chart, it probably will not be very profitable with other tickers or time frame without tweaking all the parameters first. 4. This strategy will work with QQQ as well, but please adjust the profit multiplier to match the P/L of QQQ options. How it works: When trading the indices, many rely on the TICK for market directions. This strategy is a trend following strategy that uses a combination of conditions using the following indicators: - TICK - RSI - VIX volatility index - EMA For entries, the conditions are: 1. TICK moving average crossover with a delayed signal line 2. Bullish or bearish RSI signal, RSI > 50 for bullish, < 50 for bearish 3. VIX must be above a certain threshold to take advantage of high market volatility 4. Price must be on top of EMA line for long, and below for short For exits, there are 3 scenarios: 1. Stop loss set by a percentage of the daily ATR value 2. Trend changes on the TICK and the RSI 3. Bearish or bullish divergence on price with TICK This strategy automatically signal to close all trades at 3:50 pm EST at the end of the day. Extras: - There is an option to show P/L for reinvesting profits Enjoy~!!! Let's all make $$$
Strategia Pine Script®
di PtGambler
13
Velocity To Inverse Correlation to VIX/Bonds Strategy (2020)This strategy measures and creates a signal when an asset is moving out of a correlation with high yield bonds or the CBOE VIX into an inverse correlation, as well as when an asset is losing correlation with a top corporate bonds ETF. When this signal is triggered, the simulation has the portfolio asset go long. Additionally, exits are based on a 2% stop loss and a 2% take profit for simplicity sake to indicate whether the direct next move in the asset is up or down. This was originally tested as a descent indicator for Ethereum's 2020 moves as institutional investors moved into the market.
Strategia Pine Script®
di givingdesk
1
VIX - SHORT - SVXY - Daily Chart (Oldinvestor)This looks at he VIX and trades SVXY. Load SVXY and run the script on SVXY. INPUTS: Entry - You set this number to how high you want the VIX to go before SVXY will be bought. Keep in mind it buys the bar after a trigger, results may be confusing Exit - You set this number to how low you want the VIX to go before SVXY will be sold. Year - This as stated, It will start trading on the year you set here. Good luck. This script is for learning purposes, and boy did I learn something. UVXY still sucks
Strategia Pine Script®
di oldinvestor
Vix FIX / StochRSI StrategyThis strategy is based off of Chris Moody's Vix Fix Indicator . I simply used his indicator and added some rules around it, specifically on entry and exits. Rules : Enter upon a filtered or aggressive entry If there are multiple entry signals, allow pyramiding Exit when there is Stochastic RSI crossover above 80 This works great on a number of stocks. I am keeping a list of stocks with decent Profit Factors and clean equity curves here . Possible ways to use this: Modify this script and setup alerts around the various entries Use as is with different stocks or currency pairs Modify entry / exit points to make it more profitable for even more symbols and currencies
Strategia Pine Script®
di timj
42