Modified VIX Fix MT5
- Indicators
- Libertas LLC
- Version: 1.1
- Activations: 20
"The VIX Fix is a powerful indicator that detects market bottoms for any asset"
The VIX (volatility index) is a ticker symbol of implied volatility of the S&P 500, calculated by the Chicago Board Options Exchange. VIX is a popular measure of market risk, and is one of the best measures of market bottoms that currently exists. Unfortunately, it only exists for the S&P 500...
The VIX Fix was published by Larry Williams in 2007, and it synthesizes a VIX volatility index for any asset (not just the S&P). The VIX Fix reflects investor sentiment of future movement, where high readings are associated with market bottoms. The effect of investor sentiment is magnified at market bottoms, so the VIX and the VIX Fix are best for identifying bottoms only. Here we present a modified VIX Fix, which incorporates standard deviation and stochastic modifications proposed in the Williams 2007 article to highlight bottoms and help pinpoint trade entries.
Alerts
We have added message and email alerts for an identification of a price bottom period in the "Regular" VIX Fix (i.e., teal colored histogram bars) and for stochastic signal line crossing user-selectable upper and lower threshold values in the "Stochastic type" VIX Fix (please see screenshots). Email recipient and smtp information must be specified in MT4/options before using email alerts.
Parameters
- VIX Type (Regular or Stochastic): Selects one of two indicator types, either the regular VIX Fix (with market bottoms highlighted by using BB), or a stochastic VIX Fix
- Color Scheme (Default or User Define): Select Default color scheme, or "User Define" to manually customize indicator colors
- Invert values (may help visualization): Normally, higher VIX Fix values = market bottom. Inverting values makes low VIX Fix values = market bottom, some prefer this for visualization. This inverts both Regular and Stochastic VIX types.
- Calculation period for standard deviation (Default=22): # bars used to calculate StDev used for VIX Fix calculation
- Bollinger band length (Default=20): # bars to calculate BB (used for regular VIX type, teal highlighted bars)
- Bollinger band standard deviations (Default=2.0): # StDev used to calculate BB (used for regular VIX type, teal highlighted bars)
- Calculation period for percentile (Default=50): # bars used to calculate percentile change (used for regular VIX type, teal highlighted bars)
- High percentile threshold (0.85=05%): user-defined threshold for high percentile range (used for regular VIX type, teal highlighted bars)
- Stochastic K period (if VixStochastic Type): # bars to calculate VIX stochastic K line
- Stochastic D period (if VixStochastic Type): # averaging bars to calculate VIX stochastic D line from K
- Turns on/off all alerts: Turns on (if true) or off (if false) all alerts. If Regular VIX type selected, this is all that is required, it will turn on alerts for market bottoms (teal histogram bars). If VixStochastic Type selected, the alert type must also be selected (see "For VixStochastic: ..." below)
- For VixStochastic: Alert when above upper threshold: If true, will alert when VIX Fix stochastic is above user-selectable upper threshold
- For VixStochastic: Upper alert threshold (Default=80.0): User-selectable upper alert threshold. This is an absolute value, will automatically adjust to neg. if invert values param is true.
- For VixStochastic: Alert when below lower threshold: If true, will alert when VIX Fix stochastic is below user-selectable lower threshold
- For VixStochastic: Lower alert threshold (Default=20.0): User-selectable lower alert threshold. This is an absolute value, will automatically adjust to neg. if invert values param is true.
- Turn on alerts message: If true, turns on message box alerts
- Turn on alerts sound: If true, turns on alerts sound
- Turn on alerts email: If true, turns on alerts emails
Pinpointing Trade Entry and Exit
The Modified VIX Fix identifies market low periods, and the VIX stochastics modification helps identify (call) entry points. However, VIX does not identify exit points because the indicator is best at identifying market bottoms, not tops.
The Modified VIX Fix pairs well with a fading trend indicator such as our Ehler's Instantaneous Trend to pinpoint/confirm entries and exits.
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