New Members: Be sure to confirm your email address by clicking on the link that was sent to your email inbox. You will not be able to post messages until you click that link.

William Vix Fix

edited November 2017 in Scanning
Has anyone ever written a scan for the Williams Vix Fix strategy in the programming language of Stockcharts? This strategy is presented in this dovument https://www.ireallytrade.com/newsletters/VIXFix.pdf

Comments

  • markdmarkd ✭✭✭
    As I understand the article, the Vix Fix is an indicator with this formula:

    WVF = (Highest (Close,22) - Low)/(Highest(Close,22))*100

    In SC scan language, you could calculate one data point at a time for the indicator. Then you would have to compare it to some value to do what the scan engine is designed to do, which is to find symbols that meet the criteria specified in the scan.

    and [ [[max(22, close) - low]/[max(22, close) * 100]] > ? ]

    If you wanted to compare previous data points, you would modify the terms with "1 day ago", '2 days ago", etc.

    If you wanted to display the Vix Fix as an indicator, you would calculate its daily values offline (e.g. in Excel) and upload a file which could be displayed as an indicator, if your subscription allows.
  • edited November 2017
    If my excel calculations are good the SPX William Vix Fix for Nov. 2, 2017 is 0.58 and from Feb 1950 to Nov 2017 max is 34.02 (Oct 20, 1987). The average value is 2.74 and the STDDEV is 2.92.
Sign In or Register to comment.