Wednesday, February 11, 2009

Sample VIX implied range indicator



EL Code:

inputs: VIX(47);

value1=squareroot(252);
value2=(VIX/100)/value1;
value3=closed(1)*(value2*1.0);

value4=highd(0)-lowd(0);

value10=closed(1)*(value2*1.0);
value11=closed(1)*(value2*0.7);
value12=closed(1)*(value2*1.3);


{note, below uses west coast times (ie, 634 am is 934am EST}


if time > 634 then 
Plot1(value4,"+Range");

if time > 634 then 
Plot2(value10,"1.0");

if time > 634 then 
Plot3(value11,"0.7");

if time > 634 then 
Plot4(value12,"1.3");



1 comment:

Peter Derby said...

Thank you very much.
I dont want to be ungrateful,
but if you found the time to comment on the formula (I do not use Tradestation, if it is easylanguage),
that would be indeed great.
If not, no problem.

Thanks anyhow,
and keep up the good posts
P