VIX-Based Daily Range Levels with Trend and Risk Filters

Summary

This Pine strategy plots daily price levels around the session open using an implied-volatility index selected for the chosen asset class. It estimates a one-day move by scaling the index level by the square root of the inverse of the assumed trading days per year, then marks the open and half- and full-move levels. The script also offers selectable moving-average trend filters, volume-spike settings, a trading-hours window, ADX filtering, ATR-based stops, and fixed tick-based profit and loss limits.

The document provides implementation details and parameter defaults, but the excerpt ends partway through the filter section. It does not show the entry and exit rules, completed strategy logic, or any backtest results, so the plotted volatility levels and configured filters cannot be assessed as a complete trading system. The annualization assumption and selected volatility index may also differ in suitability across instruments and market conditions.

Key ideas

• The strategy estimates a daily move from an implied-volatility index and an annual trading-day assumption.
• It plots the daily open plus half- and full-range levels above and below it.
• The configuration offers moving-average, volume, ADX, time-of-day, and ATR filters.
• The available excerpt is incomplete and does not establish how the plotted levels generate trades.

Tags

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