Variation on idea at url below using SPYIX from BATS instead of VIX
from marketsci.wordpress....is-very-predictable/
Aids in identifying changes in volatility direction.
EDIT: just noticed that URL is now password protected. The concept from the author is simple: use EMA and SMA smoothing of the VIX as two signal lines. When they cross you have a change in VIX direction. I simply coded that for SPYIX which is a slightly different (but theoretically similar) index vs VIX. SPYIX provides intraday updates without a subscription so this indicator can be used for intraday tracking.
from marketsci.wordpress....is-very-predictable/
Aids in identifying changes in volatility direction.
EDIT: just noticed that URL is now password protected. The concept from the author is simple: use EMA and SMA smoothing of the VIX as two signal lines. When they cross you have a change in VIX direction. I simply coded that for SPYIX which is a slightly different (but theoretically similar) index vs VIX. SPYIX provides intraday updates without a subscription so this indicator can be used for intraday tracking.
study("SPYIX EMA", overlay=false)
VIX = security("SPYIX",period, close)
// variation on idea found here using SPYIX from BATS instead of VIX
// from https://marketsci.wordpress.com/2008/07/28/the-vix-is-very-predictable/
// published example here -> https://www.tradingview.com/v/LrCG2SpT/
// it is a start but doesn't find bottoms / tops.
length = input(11, minval=1)
vixema = ema(VIX, length)
vixsma = sma(VIX, length)
bgcolor(vixema >= vixsma ? black : white, transp=80)
plot(vixsma, color=white)
plot(vixema,color=red)
plot(VIX,color=yellow)