 |
Chaim6
2014-05-20 04:35:07
|
|
The Williams VIX Fix (WVF) is defined as:
WVF = (Highest (Close,22) - Low)/(Highest(Close,22))*100
It's supposed to give a synthetic approximation of the Vix using historical price data of any security or market. When used as a supplement to the VIX it works very well. It supposed to give values similar to the VIX, in the range of 10-25 in normal times.
So I tried the following in Quantshare language in a chart formula:
GSPC = GetSeries("^GSPC", high);
Highest = hhv(GSPC, 22);
WVF = ((Highest-low)/Highest) *100;
Plot(WVF, "Wilders VIX Fix", colorBlack, ChartLine, StyleNoScale);
But I am getting numbers in the range of 99.xx
Thanks
|
|
0
