CM_Williams_Vix_Fix_V3_Ultimate_Filtered_Alerts

The CM_Williams_Vix_Fix_V3_Ultimate_Filtered_Alerts indicator identifies potential market bottoms by synthesizing price action with volatility measures to create a "synthetic VIX" applicable to any asset class.

Usage

The Usage section describes how the script can be used to identify trend exhaustion and market pivots. The indicator functions by calculating the percentage drop from the highest high over a specific lookback period, effectively highlighting "fear" in the market.

Users can utilize this tool to spot oversold conditions through several distinct entry types:

• Standard Entry: Occurs when the Vix Fix histogram reaches extreme levels, crossing above the Bollinger Band or the historical percentile high.
• Filtered Entry: Triggers when the Vix Fix histogram was previously at an extreme level but has now crossed back below it, combined with specific price action strength requirements (e.g., current close being higher than a previous close).
• Aggressive Filtered Entry: A more sensitive version of the filtered entry designed to capture quicker reversals by relaxing certain price action constraints while maintaining the volatility context.

The tool can be applied to any timeframe. In a trending market, these signals often represent pullbacks, while in range-bound markets, they may signal major bottoms.

Details

The script is based on the "Williams Vix Fix" methodology developed by Larry Williams, which aims to replicate the CBOE Volatility Index (VIX) for non-index instruments.

The core calculation determines how far the current low is from the highest close over a user-defined lookback period. To filter out noise, the script applies Bollinger Bands and Percentile Ranks to the Vix Fix values. An "extreme" reading (market fear) is identified when the Vix Fix value exceeds either the upper Bollinger Band or a specific percentile threshold (defaulting to the 85th percentile of the last 50 bars).

The "Filtered" logic adds a layer of price action confirmation. For an entry to be validated, the script checks if the current bar has closed higher than a set number of bars ago and if the price is trading below specific medium or long-term historical reference points, ensuring the entry occurs during a recovery phase following a significant dip.

Settings

General Settings

• LookBack Period Standard Deviation High: The number of bars used to find the highest price for the Vix Fix calculation.
• Bollinger Band Length: The lookback period for the SMA and Standard Deviation used in the Bollinger Band calculation.
• Bollinger Band Standard Deviation Up: The multiplier for the upper Bollinger Band.
• Look Back Period Percentile High: The window size used to determine the historical high of the Vix Fix.
• Highest Percentile: The threshold (expressed as a decimal) used to identify extreme volatility readings.

Filter & Price Action Settings

• Long-Term Look Back: A condition requiring the current bar to close below its price from X bars ago to ensure the asset is still in a broader discount zone.
• Medium-Term Look Back: A shorter-term version of the long-term lookback filter.
• Entry Price Action Strength: Requires the current close to be higher than the close of X bars ago to confirm immediate upward momentum.

Visual & Alert Settings

• Show Highlight Bar options: Various toggles to color price bars based on specific Vix Fix criteria (True, Was True Now False, Filtered, or Aggressive).
• Check Box To Turn Bars Gray: Turns all price bars gray to make the Vix Fix entry colors more prominent.
• Show Williams Vix Fix Histogram: Toggles the visibility of the main indicator histogram.
• Show Alert Criteria: Toggles the plotting of binary signals (0 or 1) on the indicator pane for different alert conditions.

FAQ

How do I interpret the different bar colors? The colors typically represent different stages of a market bottom. Green bars generally indicate the Vix Fix is at an extreme (WVF = True), while other colors (based on your settings) indicate that the extreme has peaked and price action is beginning to reverse (Filtered Entries).

Can I use this for identifying market tops? The Williams Vix Fix is specifically designed to find market bottoms by measuring the speed and depth of price drops. It is not intended for identifying market tops, as market peaks usually form more slowly than bottoms.

How do I get access to the CM_Williams_Vix_Fix_V3_Ultimate_Filtered_Alerts? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.