Rajandran R Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in)

William VIX FIX Indicator – Amibroker AFL Code

1 min read

We know that VIX most of the time reflects the investor/trader sentiment. When the VIX is higher it means a lot of fear in the market and a lower VIX indicates a lack of fear in the market. The problem is the sentiment can be measured only by Indices like Nifty as the Volatility Index VIX is derived from the implied volatility of Options. In such a case VIX FIX comes in handy to replicate the VIX behavior in other instruments like Commodities, Forex, and Stocks. William VIX FIX indicator provides a solution for creating synthetic VIX for any trading asset class.

Nifty Futures with VIX FIX indicator

 
Synthetic VIX or William VIX FIX Formula

WVF = (Higher high value (Close,22) – Low)/(Higher high value (Close,22))*100

The value 22 is chosen denotes 22 trading sessions in a month. And one can use VIX FIX

Amibroker AFL code

_SECTION_BEGIN("William VIX FIX");

WVF = (HHV (Close,22) - Low)/(HHV(Close,22))*100;

Plot(WVF,"William VIX FIX", colorRed);

_SECTION_END();


The William VIX FIX indicator is based on the idea that in a falling market, the lowest prices (or closing prices) tend to be further away from the highs than they are in a rising market. This distance is used as a proxy for volatility.

It calculates the highest closing price over a previous period and then measures the distance from this high to the current low. This distance is then normalized and can be used as an indicator of volatility.

Using William VIX FIX:

Identifying Market Extremes: It can be used to identify potential market tops and bottoms. High readings may indicate panic selling and potential market bottoms, while low readings can suggest complacency and potential market tops.

Contrarian Indicator: Traders might use it as a contrarian indicator. For example, extremely high values could be seen as a buying opportunity, assuming that the market is oversold and might reverse.

Limitations:

  • Lagging Indicator: Like many technical indicators, it is a lagging indicator, meaning it is based on past data and might not predict future market movements accurately.
  • False Signals: It can give false signals, especially in highly volatile or trending markets.
  • Context-Dependent: Its effectiveness can vary depending on market conditions and should be used in the context of a broader trading strategy.
Rajandran R Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in)

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13 Replies to “William VIX FIX Indicator – Amibroker AFL Code”

  1. In market signals,please include wockhardt, and amtek auto, and stridesarcolab, in futures

  2. hi sir,

    it would be nice if u can explain how to use it in trading ?

    not got anything from chart …. watched on yesbank chart …

  3. I have a question and I hope some one can answer it.
    Why government would agree to pay over USD 5 to Reliance and ONGC while the average price of gas is around USD 3 in global mkts?
    I’m sure CAG won’t accept it while government would send files to CAG for final clearance closer to the date of implementation of the revised rates.

  4. Traditionally the crude oil trades @ 10-11 times the price of natural gas in I ternational mkts.
    So soon crude would trade in the range of 35-40.
    At that price or even currently can Reliance command over 10 dollars for refining charges while the crude is trading 30% lover?
    Obviously that demand and price of crude is much lower compared with the last quarter therefore we should anticipate much lower profit from Relaince and ONGC compared with last qtr.

  5. what is code of will.r% indicator for amibroker automatic analysis. i want to show of pre close value of will.r% for time frame 5 minute. ?

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