Using VIX Momentum and Price Filters to Time Risk-Asset Signals

Summary

This indicator uses the VIX as a market-risk input to generate long and short signals for another charted asset. It calculates MACD on VIX and distinguishes signals at the start of a VIX momentum move from signals on a pullback across the zero line. The signal conditions are combined with configurable filters based on Supertrend, Bollinger Band width, price moving-average slope, price RSI slope, optional VIX RSI, and weekday selection. The script also plots signal labels and provides alert conditions.

The stated premise is that falling VIX momentum may accompany upside in risk assets, while rising VIX may coincide with downside. The author reports trying the indicator on BTC and ETH perpetual markets across several intraday timeframes, with mixed results and a preference for one-hour use; no detailed statistics or controlled backtest are supplied. Numerous filters were added to reduce poor entries, so results may depend heavily on settings and instrument. The premise and signals should be validated for the asset and timeframe being traded.

Key ideas

• VIX MACD momentum supplies the core market-risk signal for another charted asset.
• Two signal types distinguish a developing VIX trend from a pullback across the oscillator’s zero line.
• Signals can be filtered with trend, volatility-band, price-slope, RSI-slope, and weekday conditions.
• The author reports mixed results across intraday timeframes and does not provide detailed performance statistics.
• The indicator’s usefulness may depend on the asset, timeframe, and chosen filters.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.