gb50k

Pseudo VIX -Intraday -.beta

232 1 22
For Educational Purpose -

Intraday VIX             estimation using yesterdays VIX             , previous overnight roll , and intraday values for the VXX             etf (scaled up to VIX             )

Works in all intraday time frames.
First attempt...feedback welcome.
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//@version=2
study("Pseudo VIX 0.beta")
// by gb50k
//find current ratio of vxx to vix
vix4=security("VIX" ,"D"  , close)
vxx4=security("Vxx" ,"D"  , close)
//smooth
m0= ema(sma(vxx4/vix4,3),2)
m=m0

v1=security("cboe:vi1!" ,"D"  , ohlc4)
v2=security("cboe:vi2!" ,"D"  , ohlc4)
roll0=ema(sma(v1/v2-1,3),2)/30
roll=roll0


vixo=((1+roll)*security("vxx" ,period  , open))/m
vixh=((1+roll)*security("vxx" ,period  , high))/m
vixl=((1+roll)*security("vxx", period  , low))/m
vixc=((1+roll)*security("vxx", period  , close))/m


plotcandle(vixo, vixh, vixl, vixc, title='ceand', color = vixo < vixc ? green : red, wickcolor=black)


What's the output for next week?
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