This is a tool designed to translate the data from the expected volatility of different assets, such as for example VIX, which measures the volatility of SP500 index.
Once get the data from the volatility asset we want to measure(for this test I have used VIX), we are going to translate it the required timeframe expected move by dividing the initial value into : 252 = if we want to use the daily timeframe, since there are ~252 aproximative daily trading days 52 = if we want to use the weekly timeframe, since there 52 trading weeks in a year 12 = if we want to use the monthly timeframe, since there are 12 months in a year
For this example I have used 252 with the daily timeframe.
In this scenario, we can see that we had 5711 total cnadles which we analysed, and in this case, we had 942 crosses, where the daily movement ended up either above or below the channel made from the opening daily candle value + expected movement from the volatility, giving as a total of 16.5% of occurances that volatility was higher than expected, and in 83.5% of the times, we can see that the price stayed within our channel.
At the same time, we can see that we had 6 max losses in a row ( OUT) AND 95 max wins in a row (IN), and at the same time in those moments when the volatility crosses happen we had a 0.51% avg movements when the top crossed happened, and 0.67% avg movements when the bot happened.
Lastly on the second part of the panel, we had E which means the expected movement of today, for example it has 61.056$ , so lets say price opened on 4083, our top is 4083 + 61 and our bot is 4083 - 61 ( giving us the daily channel). At continuation we can see that overall the avg bull candle os 0.714% and avg bear candle was 0.805% .
I hope this tool will help you with your future analysis and trades !
how to apply for stocks which do not fall under options and futures. how to apply for options and futures by using there index, vix
exlux99
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@FlammaTheKing, for options you look especially for iron condors/butterfly scenarios. for stocks, you can use the top/bot channel as possible support/resistence zones and trade according to this(reversals)
tyler8910
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This is really cool. I'm surprised it hasn't gotten more traction. What do you mean when you say "wins" and "losses"? How are you counting that? Is it buying on lower crosses and selling on upper?
exlux99
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@tyler8910, thank you. wins = price remained within the top/bot channel created (perfect for an iron condor option strategy), losses = price broke and close either above/below the top/bot channel created
how to apply for options and futures by using there index, vix