StockSharp.Strategies.0454_Williams_Vix_Fix.py 5.0.0

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dotnet add package StockSharp.Strategies.0454_Williams_Vix_Fix.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0454_Williams_Vix_Fix.py -Version 5.0.0
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package. 
<PackageReference Include="StockSharp.Strategies.0454_Williams_Vix_Fix.py" Version="5.0.0" />
For projects that support PackageReference, copy this XML node into the project file to reference the package. 
<PackageVersion Include="StockSharp.Strategies.0454_Williams_Vix_Fix.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0454_Williams_Vix_Fix.py" />
                    


                            Project file
For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package. 
paket add StockSharp.Strategies.0454_Williams_Vix_Fix.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0454_Williams_Vix_Fix.py, 5.0.0"
#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package. 
#:package StockSharp.Strategies.0454_Williams_Vix_Fix.py@5.0.0
#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package. 
#addin nuget:?package=StockSharp.Strategies.0454_Williams_Vix_Fix.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0454_Williams_Vix_Fix.py&version=5.0.0
                    


                            Install as a Cake Tool

Williams VIX Fix Strategy (Python Version)

The Williams VIX Fix strategy adapts Larry Williams’ volatility indicator to instruments that lack a published VIX. It computes a synthetic VIX value using the distance between the highest close over a lookback period and the current low. When this value rises above a Bollinger Band threshold or the price closes below the lower Bollinger Band, the strategy considers it an oversold opportunity. An inverted calculation gauges overbought extremes.

The approach looks for mean reversion after volatility spikes. When the VIX Fix signals high fear and price is below the lower band, a long trade is opened. Conversely, when the inverse VIX Fix points to extreme complacency and price is above the upper band, existing long positions are closed. Percentile thresholds control sensitivity.

Details

  • Entry Criteria:
    • VIX Fix ≥ upper band or percentile and price < lower Bollinger Band.
  • Long/Short: Long entries with exits on opposite signal.
  • Exit Criteria:
    • Inverted VIX Fix ≥ upper band or percentile and price > upper Bollinger Band.
  • Stops: None.
  • Default Values:
    • BbLength = 20
    • BbMultiplier = 2.0
    • WvfPeriod = 20
    • WvfLookback = 50
    • HighestPercentile = 0.85
    • LowestPercentile = 0.99
  • Filters:
    • Category: Volatility mean reversion
    • Direction: Long
    • Indicators: Bollinger Bands, Williams VIX Fix
    • Stops: No
    • Complexity: Medium
    • Timeframe: Any
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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Version Downloads Last Updated
5.0.0 220 8/7/2025

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