Volatility ES/NQ VIX Bands System Strategy

VIX Time Band Strategy for ES and NQ

Version and compatibility

• Pine Script v6 used
  
• All higher timeframe calls use request.security with lookahead off
  
• Strategy execution uses standard candles only
  
• UI text is English
  

Summary in one paragraph

This is a volatility anchored strategy for ES and NQ designed for the 5 minute chart. It combines two complementary entry modes inside one engine. The primary mode is a time driven directional trigger based on the session held VIX percentile change and basic candle direction. If that trigger does not fire, a fallback mode allows a single band based entry when price reaches a VIX implied session move level. The core novelty is treating implied volatility as the first class input, building a session anchored expected move framework, and using that framework to decide when trading is allowed. Add it to a clean chart, keep the bands visible, and use bar close alerts for conservative operation. Intrabar values can update while a bar forms and settle on close.

Scope and intent

• Markets ES and NQ index futures
  
• Timeframes Optimized for 5 minute charts
  
• Default demo used in publication ES or NQ on 5 minute, standard candles
  
• Purpose Provide a volatility first decision framework that trades only when conditions align and exits ahead of session end
  
• Limits This is a strategy. Orders are simulated by TradingView on standard candles only
  

Originality and usefulness

• Unique concept or fusion Session held VIX implied move bands combined with a time based directional trigger, where the band logic acts as a controlled fallback instead of constant signal spam
  
• What failure mode it addresses Avoids trading the middle of the range without context and reduces participation during sessions that do not reach volatility defined locations
  
• Testability Core components are exposed as Inputs, and the plotted bands show exactly what the strategy is reacting to
  
• Portable yardstick Implied move is derived from VIX annualized volatility converted to a daily unit using sqrt(252), then anchored to the session open
  
• Protected scripts If published as protected, the implementation is kept private to prevent low effort cloning while the full method and usage are disclosed here
  

Method overview in plain language

Base measures

• Implied volatility input VIX daily close is treated as annualized volatility in percent
  
• Conversion to daily move VIX is converted to an approximate daily standard deviation using VIX divided by sqrt(252)
  
• Session anchor Bands are anchored to the configured session open and held constant through the session
  

Components

• VIX Percentile held at session open A rolling daily array stores the last N VIX closes and computes percentile rank from 0 to 100. The value is sampled at the first bar of the configured trading session and held for the entire session.
  
• Two implied move band sets A narrower band set is used for the time logic exits and a wider band set is used for the band entry sizing and breach limits. Both are derived from the same daily implied move unit and remain static throughout the session.
  
• Time entry mode A directional entry can trigger early based on the session held VIX percentile change compared to the prior value, with an optional green candle requirement for long.
  
• Band fallback mode If no time entry happens for the session, one controlled entry is allowed when price reaches a percentile mapped location inside the VIX implied move framework.
  
• Session windows Trading is only allowed inside the configured trading session and the strategy exits inside the configured exit window.
  

Fusion rule

• The engine runs two entry logics with a strict priority rule
  
• If the time logic enters, the band fallback is disabled for that session
  
• If the time logic does not enter, the band fallback is allowed once per session when price reaches the mapped level
  

Signal rule

• Time Long Triggers when the held VIX percentile is lower than its prior value and the candle filter allows it
  
• Time Short Triggers when the held VIX percentile is higher than its prior value and above the configured threshold
  
• Band Long If no time entry occurred, triggers once when price reaches the lower mapped band location and the percentile is in the lower zone
  
• Band Short If no time entry occurred, triggers once when price reaches the upper mapped band location and the percentile is in the upper zone
  

What you will see on the chart

• Two horizontal bands that represent the session anchored implied move levels
  
• A session open reference line
  
• Optional entry level lines for the band mode
  
• Order markers for time entries and band entries, plus exit markers when stops or targets are hit
  
• Optional background shading tied to the VIX percentile zones
  

Inputs with guidance

VIX

• VIX symbol Default CBOE:VIX
  
• Daily lookback Default 252. Higher values smooth percentile behavior and reduce regime flipping
  

Session

• Trading session Sets when the system can enter and manage trades
  
• Exit window Forces flat positions inside this window to reduce end of day tail risk
  
• Session timezone Must match the intended exchange session timing
  

Bands

• Use previous daily VIX close Uses the last completed daily VIX value for stability
  
• Annual to daily using sqrt(252) Converts annualized VIX into a daily unit
  
• Band mult for Time exits Controls how tight the directional exit bands are
  
• Band mult for Band entry sizing Controls how far away band entry locations and breach buffers are
  

Time Logic

• Time short threshold (VIX pct) Higher values reduce short frequency
  
• Time long requires green candle When enabled, long time entries require close above open
  

Band Entry

• Band short zone starts (pct) Typical range 60 to 80. Higher means fewer short band entries
  
• Band long zone ends (pct) Typical range 20 to 40. Lower means fewer long band entries
  
• Breach buffer (fraction of implied move) Controls how far beyond the band a hard failure stop is placed
  
• Band TP target Session Open is the default. VWAP can be used as an alternative mid target
  
• Band time stop minutes Forces exit if the band trade does not resolve within the set time
  

Usage recipes

Intraday trend focus

• Band mult for Time exits: 0.5 to 0.75
  
• Time short threshold: 80 to 95
  
• Band zones tighter: 75 and 25
  

Intraday mean reversion focus

• Band mult for Band entry sizing: 0.75 to 1.25
  
• Band short zone starts: 60 to 70
  
• Band long zone ends: 30 to 40
  
• Breach buffer: 0.15 to 0.25
  

Higher sensitivity mode

• Reduce Daily lookback to 126 to make percentile adapt faster
  
• Use a tighter Band mult for Band entry sizing to increase touches
  

Alerts

• Use the strategy order alerts for entries and exits
  
• Behavior. Alerts evaluate in real time and can update while the bar forms. For conservative workflows select on bar close
  

Chart cleanliness and reproduction

1. Open ES or NQ on the 5 minute chart with standard candles
   
2. Add VIX Time|Band and load defaults
   
3. Confirm Properties match the publication settings below
   
4. Run Strategy Tester on bar close
   

Properties visible in this publication

• Initial capital 25000
  
• Default order size method Fixed with value 1
  
• Pyramiding 0
  
• Commission 0.01 percent
  
• Slippage 3 ticks
  
• Process orders on close ON
  
• Using standard OHLC ON
  
• All request.security calls use lookahead off
  

Realism and responsible publication

• No performance claims. Past results never guarantee future outcomes
  
• Fills and slippage vary by venue and market conditions
  
• Intrabar reminder. Orders and shapes can update while a bar forms and settle on close
  
• Non standard chart types are not supported for strategies
  

Honest limitations and failure modes

• High impact economic releases can invalidate implied move assumptions and cause band breaches
  
• Fast expansion regimes can reduce containment style expectancy when price trends beyond bands
  
• Very quiet regimes may reduce band touches and lower trade frequency
  
• Session windows use the exchange time of the chart and must be verified when changing symbols or venues
  
• If both stop and target can be hit within one bar, TradingView backtester tie handling applies and can differ from live fills
  

Open source reuse and credits

• None
  

Legal

Education and research only. Not investment advice. You are responsible for your decisions. Test on historical data and in simulation before any live use. Use realistic costs.

Strategy notice

Orders are simulated by the TradingView engine on standard candles. request.security uses lookahead off everywhere. Non standard chart types are not supported for strategies.

Entries and exits

• Entry logic Time entry mode triggers first based on the held VIX percentile change and thresholds. If no time entry occurs, a single band entry can trigger when price reaches the percentile mapped band location in the allowed zone.
  
• Exit logic Time entries use the time band set for profit and stop. Band entries target the session open or VWAP and stop out on a breach beyond the implied band plus buffer or a time stop.
  
• Tie handling If stop and target are hit in the same bar, TradingView strategy tester rules apply
  

Account and sizing assumptions used in this publication

For the examples shown in this publication, the strategy is configured with an initial capital of 25,000 to approximate a small intraday futures account under typical day trading margin assumptions. Position sizing is fixed to the minimum of one contract to keep exposure simple and conservative and to avoid compounding effects that can distort backtest interpretation. These settings are used only to standardize the simulation and make results easier to compare across sessions and market conditions. They do not imply suitability for any specific account size or trading arrangement, and users should adapt capital and sizing to their own risk constraints and broker requirements.