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IV Rank Indicator
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Created: by a121e Attachments:4

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IV Rank Indicator

  #1 (permalink)
Trading Apprentice
Indonesia
 
Futures Experience: Intermediate
Platform: Interactivebrooker
Favorite Futures: stock
 
Posts: 8 since Dec 2013
Thanks: 3 given, 1 received

IV Rank Indicator

Hi,

I want to build Indicator IV rank but IV in TS sometimes have Zero Value or the value Spike so I want to Filter that but the indicator become error. Can anyone help me to fix this.

Thanks in advance.

My code now is :

inputs :
Length(252),
IVSpikeRatio(2);

variables:
IV(0),
IV1(0),
IVH(0),
IVL(0),
HL(0),
Rank(0);


IV = IVolatility;
IV1 = IV[1] * IVSPikeRatio; {Criteria for Spike IV}

If IV <= 0 then IV = IV[1]; {For Filtering the Zero Value IV}

//If IV >= IV1 then IV = IV[1]; {For Filtering Spike IV Value}


Plot1 (IV, !("IV ALL"));


IVH = Highest(IV,Length)[1];
IVL = Lowest(IV,Length)[1];

If (IVH - IVL) > 0 then Begin
HL = (IVH - IVL);
Rank = ((IV - IVL) / HL);
End
else Begin
Rank = 0;
End;

//Plot1 (IV1,"IV1");
Plot2 (IVH,"Highest");
Plot3 (IVL,"Lowest");
//Plot4 (IV,"IV");
Plot5 (Rank, "IV Rank 66");

SetPlotColor(2,Green);
SetPlotColor(3,Red);
//SetPlotColor(1,Yellow);
//SetPlotColor(4,Blue);
SetPlotColor(5,Blue);

My Problem is the spike filter result IV is Zero.

Attached Thumbnails
IV Rank Indicator-iv-zero.jpg   IV Rank Indicator-zero-iv-gone.jpg  
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  #2 (permalink)
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  #3 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,723 since Apr 2013
Thanks: 265 given, 994 received
Forum Reputation: Legendary


a121e,

what is the exact error that you are facing with the code?

Regards,

ABCTG

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  #4 (permalink)
Trading Apprentice
Indonesia
 
Futures Experience: Intermediate
Platform: Interactivebrooker
Favorite Futures: stock
 
Posts: 8 since Dec 2013
Thanks: 3 given, 1 received

Hi ABCTG,

the problem is when I want to to filter the sudden spike IV the result is the IV become Zero.

I dont know why and how to fix that.

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  #5 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,723 since Apr 2013
Thanks: 265 given, 994 received
Forum Reputation: Legendary

a121e,

I would suggest to start simple and just plot IV and IV1. What is the outcome of that?

 
Code
inputs :
IVSpikeRatio(2);

variables:
IV(0),
IV1(0);

IV = IVolatility;
IV1 = IV[1] * IVSPikeRatio; {Criteria for Spike IV}

If IV <= 0 then IV = IV[1]; {For Filtering the Zero Value IV}

Plot1 (IV, "IV" );
Plot2 (IV1 , "IV1" );
If this is giving you what you want, great, add the spike filter. What is the outcome now?

 
Code
inputs :
IVSpikeRatio(2);

variables:
IV(0),
IV1(0);

IV = IVolatility;
IV1 = IV[1] * IVSPikeRatio; {Criteria for Spike IV}

If IV <= 0 then IV = IV[1]; {For Filtering the Zero Value IV}
If IV >= IV1 then IV = IV[1]; {For Filtering Spike IV Value}

Plot1 (IV, "IV" );
Plot2 (IV1 , "IV1" );
Post the screenshots for the two outcomes.

Regards,

ABCTG

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The following 2 users say Thank You to ABCTG for this post:
 
  #6 (permalink)
Trading Apprentice
Indonesia
 
Futures Experience: Intermediate
Platform: Interactivebrooker
Favorite Futures: stock
 
Posts: 8 since Dec 2013
Thanks: 3 given, 1 received

Hi ABCTG,

The result is :

For the zero IV is gone but the spike is still there and the second Code give result Zero value.

Regards,
Arie

Attached Thumbnails
IV Rank Indicator-result.jpg  
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  #7 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,723 since Apr 2013
Thanks: 265 given, 994 received
Forum Reputation: Legendary

a121e,

what will be the value for IV[1] on the very first bar that you compute your code? Think about what this will result in with your code.

Regards,

ABCTG

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  #8 (permalink)
Trading Apprentice
Indonesia
 
Futures Experience: Intermediate
Platform: Interactivebrooker
Favorite Futures: stock
 
Posts: 8 since Dec 2013
Thanks: 3 given, 1 received

Hi ABCTG,

I think the result is zero.

I Guess I solve the problem even I dont know why the problem is finished. It Looks like suddenly works.

The final is like in the picture, the Zero IV and the Spike IV is gone.

the code is :

inputs :
IVSpikeRatio(2);

variables:
IV(0),
IV1(0),
IVSpike(0);

IV = IVolatility;
IVSPike = IV[1] * IVSPikeRatio; {Criteria for Spike IV}

If IV <= 0 then IV = IV[1]; {For Filtering the Zero Value IV}

//Filter for Spike
If IV >= IVSpike then
Begin
IV1 = IV[1];
End
Else
Begin
IV1 = IV;
End;

Plot1 (IV1, "IV Filter" );



Thanks for your guidance ABCTG

Regards,
Arie

Attached Thumbnails
IV Rank Indicator-picture-01.jpg  
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The following user says Thank You to a121e for this post:
 
  #9 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,723 since Apr 2013
Thanks: 265 given, 994 received
Forum Reputation: Legendary

a121e,

I think so, too.

IV[1] could simply be 0 on the first bar. This results in "IVSPike = IV[1] * IVSPikeRatio;" being zero as well
and with "If IV <= 0 then IV = IV[1];" you make IV = 0, too.
Therefore on the next bar IV[1] will be 0 again and your code simply created a situation where you keep setting IV to 0.

I am glad to hear that you got it working.

Regards,

ABCTG

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