EM Range (VIX1D PrevClose • Close & Hi/Lo, N-Day View)

anteontem

What this indicator does

This study projects a one-day expected move (EM) from the CBOE:VIX1D using a simple 1-σ model with 252 trading days. It visualizes the possible intraday range from three anchors and also gives a T+1 forecast using today’s real-time VIX1D:
• PrevClose ±σ (solid) – a symmetric bracket around yesterday’s close.
• Low → Upper (dashed) – the upper bound implied from today’s low.
• High → Lower (dashed) – the lower bound implied from today’s high.
• NextDay (solid, optional) – tomorrow’s expected bracket built from the current price using today’s VIX1D (intraday it updates; after the daily close it freezes to the daily close).

All ranges are plotted in points, not percentages.

How it’s computed

Let σ = (VIX1D/100)/sqrt(252) * multiplier.
• PrevClose bands: prevClose * (1 ± σ) using yesterday’s VIX1D close.
• Low → Upper: todayLow * (1 + σ) using yesterday’s VIX1D close.
• High → Lower: todayHigh * (1 − σ) using yesterday’s VIX1D close.
• NextDay (T+1): currentPrice * (1 ± σ_today) where σ_today uses today’s VIX1D (real-time via 15m/30m/60m fallbacks; after session close it uses the daily close).

What you’ll see on the chart
• Two solid lines (PrevClose ±σ), two dashed lines (from Low/High).
• Optional blue solid lines for NextDay ±σ (toggle).
• Lines are per-day segments (not infinite). Yesterday’s dashed lines are carried into today for quick context; other lines do not carry across days.
• Colors are fully configurable; defaults use a deep, high-contrast palette tuned for dark backgrounds.

N-Day history (no over-extension)

Use “Show last N days” to display previous sessions. Historical lines are drawn only within their own day (clean separation of regimes).

Compact table (top-right by default)

The on-chart table shows concise, single-line rows:
• VIX1D−1: yesterday’s VIX1D close | ±EM (points) from PrevClose
• VIX1D (RT): today’s real-time VIX1D | ±EM (points) from current price
• Prev ±σ: numeric [lower, upper] around PrevClose
• L → Upper: today’s low and its implied upper bound
• H → Lower: today’s high and its implied lower bound
• NextDay: tomorrow’s implied [lower, upper] from current price
• >±σ: count of daily closes that finished outside PrevClose ±σ over the last N−1 completed days (with up/down breakdown)

Inputs & options
• VIX1D symbol: default CBOE:VIX1D.
• σ multiplier: default 1.0 (try 0.5 / 1.5 / 2.0 based on your risk model).
• Show last N days: how many sessions to render (incl. today).
• Show NextDay lines (blue): on/off toggle.
• Line width and color pickers for each band type.
• Table position: top/bottom, left/right.

Works on…
• Any instrument priced in points (stocks, ETFs, futures incl. ES).
• Any timeframe. For the T+1 forecast, the price anchor is real-time on intraday charts; on higher timeframes it uses an intraday proxy (60-minute) intraday and switches to the daily close after session end.

Notes & good practice
• VIX1D is an implied daily move proxy; it’s not a guarantee. Treat bands as probabilistic, not absolute barriers.
• The outside-±σ close count is a quick sanity check on how often price exceeds the one-day expectation—useful for regime awareness and sizing.
• If your market isn’t well-described by VIX1D (e.g., non-US hours or crypto), consider substituting a more relevant vol index.

Disclaimer: This tool is for research/education only and is not financial advice. Always manage risk.

há 17 horas

Notas de Lançamento

# EM Range (VIX1D PrevClose • Close & Hi/Lo, N-Day View)

## What this indicator does

This study visualizes expected daily price ranges using CBOE:VIX1D with a 1-σ model (252 trading days). It displays:
• **N-day historical ranges** – shows the last N trading days' expected ranges (solid lines), each drawn only within its own session for clean separation
• **Today's range (D0)** – symmetric bands around yesterday's close using yesterday's VIX1D (solid lines)
• **Tomorrow's forecast (D-1)** – predicted range from current price using today's real-time VIX1D (dashed lines)
• **Breakthrough tracking** – labels showing when/where price closed outside expected ranges, with statistics by day-of-week
• **Optional reference lines** – toggle midlines showing previous session's close price for quick context

All ranges are calculated and displayed in points.

## How it's computed

Let σ = (VIX1D/100)/sqrt(252) × multiplier.

For each day's range:
• **Expected range**: prevClose × (1 ± σ) using the prior day's VIX1D close
• **Today (D0)**: uses yesterday's VIX1D and close
• **Tomorrow (D-1)**: uses today's real-time VIX1D and current price (updates intraday)
• **Historical (D1, D2...Dn)**: each uses its respective prior day's data

Additional metrics shown in table:
• **Low/Hi ±σ**: todayLow × (1 + σ) | todayHigh × (1 − σ) – bounds implied from intraday extremes

## What you'll see on the chart

### Lines:
• Solid lines: completed historical ranges + today's expected range
• Dashed lines: tomorrow's predicted range (updates in real-time)
• Optional midlines: reference lines at each day's previous close (dotted/dashed, toggle on/off)
• Each day's lines are drawn only within that trading session – no cross-day extensions

### Labels:
• Breakthrough markers appear when daily close exceeds expected range
• Format: `MM/DD` + `↑ close (+amount)` or `↓ close (-amount)`
• Customizable size (Tiny/Small/Normal/Large)

### Colors:
• Fully customizable palette with 8+ color inputs grouped by category
• Default: high-contrast Chinese traditional colors optimized for dark backgrounds
• Separate controls for upper/lower bands, solid/dashed lines, labels, table, and midlines

## Compact information table

The on-chart table (moveable, 9 positions) shows:

| Label | Value |
|-------|-------|
| **VIX(D1) \| Pts** | Yesterday's VIX1D close \| ±EM points from yesterday's close |
| **VIX(RT) \| Pts** | Today's real-time VIX1D \| ±EM points from current price |
| **Today** | [lower, upper] numeric range around yesterday's close |
| **Low/Hi ±σ** | Upper bound from low \| Lower bound from high |
| **Next** | [lower, upper] tomorrow's predicted range |
| **Breaks (Nd)** | ↓count \| ↑count of closes outside range over N days |
| **DoW** | M:x T:x W:x T:x F:x – breakthroughs by weekday (Mon-Fri only) |

All text uses monospace font for alignment. Left column is left-aligned; values are right-aligned.

## Breakthrough statistics

Tracks how often daily close finishes outside the expected ±σ range:
• **Total count**: shows up/down breakdown over last N completed days
• **Weekday pattern**: breaks down breakthroughs by day-of-week (Monday through Friday)
• Useful for regime awareness and understanding vol model accuracy

## Inputs & customization

### Core settings:
• Sigma multiplier: 1.0 default (try 0.5/1.5/2.0 for different confidence levels)
• Lookback days (N): 100 default, shows last N trading sessions (1-250)

### Visual controls:
• Range line width: 1-5 pixels
• Line transparency: 0-100%
• Label size: Tiny/Small/Normal/Large
• Show/hide breakthrough labels
• Table position: 9 positions (top/middle/bottom × left/center/right)

### Color customization (8 inputs):
• Upper/Lower lines (solid) – for completed ranges
• Upper/Lower lines (dashed) – for tomorrow's forecast
• Break up/down labels – for breakthrough markers
• Table background/border/text
• Midline color (when enabled)

### Midline options:
• Toggle on/off
• Style: Solid/Dashed/Dotted
• Shows previous close as reference price for each day

## Works on…

• Any instrument priced in points (stocks, ETFs, index futures like ES/NQ)
• All timeframes – ranges are calculated from daily data regardless of chart timeframe
• Small timeframes (<10 min) fully supported with accurate date/time handling

## Notes & best practices

• VIX1D measures implied 1-day volatility for SPX options; it's a probabilistic model, not a guarantee
• The breakthrough count and weekday breakdown help assess:
- Whether current market vol matches VIX1D expectations
- If certain weekdays show different breakthrough patterns (e.g., Monday/Friday effects)
• Historical lines are clean-separated by session; no lines carry over to preserve visual clarity
• Midlines are optional but helpful for seeing where each day's range is anchored
• For non-US markets or assets poorly correlated with VIX, consider a different vol index or create a custom volatility calculation

## Performance notes

• max_lines_count=500: supports up to ~200+ days of history depending on midline usage
• Arrays are automatically trimmed to prevent memory issues
• Calculations update only on new daily bars for efficiency

## Disclaimer

This tool is for research and educational purposes only and does not constitute financial advice. Always manage your risk appropriately and verify that VIX1D is relevant to your trading instrument.