William’s VIX Fix is a synthetic VIX (CBOE Volatility Index) calculation which can be used in any market to mimic the performance (but not the quotes) of the well-known volatility index (the WVF is not based on option’s implied volatility but derived from historical and intraday prices only).
William’s original formula:
WVF = [Highest (Close,22) - Low) / (Highest(Close,22)] * 100
Download:
WVF_JS.jsl- (1.91 KiB) Downloaded 498 times
WVF Stochastic:
Formulas:
K = 100*mins/maxes,
D = MVA(K) with [Stochastic_D_Length] number of periods, where
mins = WVF - minLow,
maxes = maxHigh - minLow,
minLow, maxHigh - minimum and maximum values of WVF at range from (i-Stochastic_K_Length+1) to (i),
WVF = 100*(Max-Low)/Max,
Max - highest close price at range from (i-WVF_Length+1) to (i).
Download:
- WVF Stochastic_JS.jsl
- (3.48 KiB) Downloaded 473 times