William Vix Fix indicator

[Steve_W]

I've extended this indicator to include both upside and downside volatility. The original formula emulates the VIX calculation looking for downward price expansion. This version includes an inverted formula and may be more suitable for other instruments as opposed to indices
Display options are
- Downside - the original formula
- Upside - new formula
- Upside-Downside - difference giving a swing oscillator
- Average Upside & Downside - average volatility
An internal RSI may also be enabled to help filter the signal

Upside-Downside volatility - also with RSI option

WVF_extended.lua

v1.0

(5.63 KiB) Downloaded 212 times

[Steve_W]

Some further options added to this Oscillator
- upside-downside normalised
- power function to compress signal - adjust power factor or leave as 1 to disable
- multiply by tick volume - enhances areas of high volatility where volume is also high (divide option also available). Including volume adds information - there may be better ways to do it than here.

The chart shows several instances with various settings. The last one is with exaggerated compression - signal raised to power 5 and then normalised.

5 various configurations compared

WVF_extended.lua

v1.1

(7.35 KiB) Downloaded 136 times