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William Vix Fix indicator and WVF Stochastic
Source: https://fxcodebase.com/code/viewtopic.php?f=48&t=66470
Forum: 48 · Topic 66470 · 1 post(s)
William Vix Fix indicator and WVF Stochastic
Alexander.Gettinger · Tue Aug 07, 2018 12:19 pm
William Vix Fix indicator:
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
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WVF Stochastic:
Formulas: K = 100mins/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).
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