Williams’ VIX Fix

One of our forum members requested an implementation of the Williams’ VIX Fix indicator for TOS. Larry Williams describes the simple creation of a synthetic VIX calculation for any single market or security in the December 2007 issue of Active Trader Magazine. The Williams’ VIX Fix (WVF) indicator, shown below, plots a volatility index for an individual ticker, unlike the CBOE VIX which is an aggregate of the S&P 500. The bands around the WVF are a 20 period Bollinger indicating extremes in the signal line. Also pictured are the ThinkScripter MultiStops with an Average True Range stop and the ThinkScripter Volume Profile which is nearing completion.

William's VIX Fix

# TS_WilliamsVixFix
# (c) 2009 http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 30 AUG 2009

declare lower;
declare zerobase;
input period = 22;

plot WVF = (highest(close,period)-low)/(highest(close,period))*100;
WVF.setDefaultColor(color.white);

input BBlength = 20;
input BBNum_Dev_Dn = -2.0;
input BBNum_Dev_up = 2.0;

def sDev = stdev(data = WVF, length = BBlength);
def MidLine = Average(data = WVF, length = BBlength);
plot LowerBand = MidLine + BBnum_Dev_Dn * sDev;
plot UpperBand = MidLine + BBnum_Dev_Up * sDev;

LowerBand.SetDefaultColor(color.DARK_green);
UpperBand.SetDefaultColor(color.DARK_red);

LowerBand.SetLineWeight(2);
UpperBand.SetLineWeight(2);