I want to use the VIX as reference or as indicator since the VIX is very important and very useful. But it seems PRT doesn’t provide such data, right?
Hi, im guessing u want it to meassure wether or not your gonna take a trade in an Index, while the VIX is below/above certain levels?
U cant referance the VIX index to ur algo, so only way to do this is to manually check and then turn on/off.
That being said, VIX is meassuring the range of daily candles in S&P.
Hi,
Sorry, the VIX and the S&P are two different things. There are some stratergies on VIX and SPY. If you mean one can use the S&P as VIX like, what the useness of the stratergy using combination of VIX and S&P?
The calculation of VIX is very complecated. A rising VIX doesnÄt always mean a falling S&P, and vise verse.
You could try using Williams synthetic VIX known as the VIX Fix. I wrote this indicator after reading about it here:
https://www.ireallytrade.com/newsletters/VIXFix.pdf
WVFPeriod = 22
Type = 1
WVF = (Highest[WVFPeriod](Close) - Low)/(Highest[WVFPeriod](Close))*100
IF WVF < WVF[1] THEN
R = 255
G = 0
ELSE
R = 0
G = 255
ENDIF
WVFAve = Average[WVFperiod,Type](WVF)
Return WVF coloured(R,G,0) Style(histogram,2) as "WVF", WVFAve
Hi Vonasi,
Thanks for the reply. I know this article as well. This is a good alternative. Thanks again!
Thats very interesting Vonasi, thanks
@Thomas2004ch The Vix and S&P are 2 different things yes, but its important to know that the vix is (from investopedia:) “the VIX is a benchmark index designed specifically to track S&P 500 volatility. ”
As i said, it just measures how volatile the S&P is. Not exactly “average true range” but it does measure how volatile this 1 index is. As vonasi mentioned, volatile dosnt mean good or bad for the S&P, just means that things are shaking up, big daily candles are happening, at least big daily ranges. I think that what your looking for is to use the Vix as a somewhat filterfor ur systems? “If Vix goes up, then dont trade” kind of thing? Cus u can use options like the one Vonasi said here, or u can use ranges or average true range so on.. (if you just want a filter that says “dont trade if market is too volatile”.)
BardParticipant
Master
The VIX “fear” index is a volatility index based on a wide range of Call and Put option prices. High Put volume and rising Put prices by definition means traders are buying insurance against declining prices. In broad terms high volatility is associated with market bottoms and low volatility with market tops.
The best explanation I’ve found to explain why it’s so important (for option traders in particular) is by the creators of the index here:
https://www.spindices.com/vix-intro/
The Williams Fix Vix is a good approximation and has been coded above and more elaborate versions (historical and implied volatility ranks) are available on this forum.
Sometimes VIX (or VSTOXX) data can be used to anticipate major market drawdowns. When prices have risen a lot and volatility has been low for quite a while, sometimes the VIX rises signifcantly a day or two before a major market downturn. So, when VIX or VSTOXX rise a lot, but the stock indices do not yet fall, this can often predict major losses in the indices. The reason is that big addresses buy put options in anticipation of a selling wave they initiate and therefore option prices rise before stock index prices fall.
