Correlation overlay

The script is intended to indicate when the correlation between VIX and VVIX gets below 0, on the selecteted security chart. It makes sense to plot it on indicies. This aims to present how the chart of a security looked like when the divergance between VIX and VVIX happened.
Versionshinweise: Added some improvements - the main change was to detect a situation when VVIX was falling while VIX rising and exclude such cases from calc. This would cause the correlation to break but that's not the alarming market environment. It is the opposite case - when implied vol of VIX is rising (VVIX) while VIX is resting.
Open-source Skript

Ganz im Sinne von TradingView hat der Autor dieses Skripts es als Open-Source veröffentlicht, damit Trader es verstehen und überprüfen können. Ein Hoch auf den Autor! Sie können es kostenlos verwenden, aber die Wiederverwendung dieses Codes in einer Publikation unterliegt den Hausregeln. Sie können das Skript den Favoriten hinzufügen, um es auf dem Chart zu verwenden.

Möchten Sie dieses Skript auf einem Chart verwenden?


Nice work. I have been playing with a bottom finder ie where is the dip to buy. RSI, MACD, Stoch settings get you close. Also looked at ivRank and iv% variance. Have you looked at anything like that?
sl-wk jroche1973
@jroche1973, in terms of stock trading - no, in terms of volatility trading - sort of. Besides, vol of vol, my main tools are VIX futures and CBOE Vol indices term structures. Unfortunately, the pine script does not have the capabilities to write a script that could be plotted on the chart.
@sl-wk, So the calculations are not binary ie x=123 and y = 890 then top identified if x = 321 and y = 098 then bottom identified. I have found a combination of very low fast RSI with a low slowish RSI is a good starting point but the VIX and VVIX can range a lot in that context
Startseite Aktien-Screener Forex-Screener Krypto-Screener Wirtschaftskalender Über Chartmerkmale Preise Einen Freund empfehlen Hausregeln Hilfe Center Webseite & Brokerlösungen Widgets Charting Lösungen Lightweight Charting Library Blog & News Twitter