Fear Volatility Gate [by Oberlunar]

4 hari lalu

The Fear Volatility Gate by Oberlunar is a filter designed to enhance operational prudence by leveraging volatility-based risk indices. Its architecture is grounded in the empirical observation that sudden shifts in implied volatility often precede instability across financial markets. By dynamically interpreting signals from globally recognized "fear indices", such as the VIX, the indicator aims to identify periods of elevated systemic uncertainty and, accordingly, restrict or flag potential trade entries.

The rationale behind the Fear Volatility Gate is rooted in the understanding that implied volatility represents a forward-looking estimate of market risk. When volatility indices rise sharply, it reflects increased demand for options and a broader perception of uncertainty. In such contexts, price movements can become less predictable, more erratic, and often decoupled from technical structures. Rather than relying on price alone, this filter provides an external perspective—derived from derivative markets—on whether current conditions justify caution.

The indicator operates in two primary modes: single-source and composite. In the single-source configuration, a user-defined volatility index is monitored individually. In composite mode, the filter can synthesize input from multiple indices simultaneously, offering a more comprehensive macro-risk assessment. The filtering logic is adaptable, allowing signals to be combined using inclusive (ANY), strict (ALL), or majority consensus logic. This allows the trader to tailor sensitivity based on the operational context or asset class.

The indices available for selection cover a broad spectrum of market sectors. In the equity domain, the filter supports the CBOE Volatility Index ( VIX VIX) for the S&P 500, the Nasdaq-100 Volatility Index ( VXN VXN), the Russell 2000 Volatility Index ( RVX RVX), and the Dow Jones Volatility Index ( VVXD VXD). For commodities, it integrates the Crude Oil Volatility Index ( OVX ), the Gold Volatility Index ( GVZ ), and the Silver Volatility Index ( VXSLV ). From the fixed income perspective, it includes the ICE Bank of America MOVE Index ( MOVEUSD ), the Volatility Index for the TLT ETF ( VVXTLT VXTLT), and the 5-Year Treasury Yield Index ( FFVX.P FVX). Within the cryptocurrency space, it incorporates the Bitcoin Volmex Implied Volatility Index ( BVIV BVIV), the Ethereum Volmex Implied Volatility Index ( EVIV EVIV), the Deribit Bitcoin Volatility Index ( DDVOL DVOL), and the Deribit Ethereum Volatility Index ( EETHDVOL ETHDVOL). Additionally, the user may define a custom instrument for specialized tracking.

To determine whether market conditions are considered high-risk, the indicator supports three modes of evaluation.

• The moving average cross mode compares a fast Hull Moving Average to a slower one, triggering a signal when short-term volatility exceeds long-term expectations.
  
• The Z-score mode standardizes current volatility relative to historical mean and standard deviation, identifying significant deviations that may indicate abnormal market stress.
  
• The percentile mode ranks the current value against a historical distribution, providing a relative perspective particularly useful when dealing with non-normal or skewed distributions.
  

When at least one selected index meets the condition defined by the chosen mode, and if the filtering logic confirms it, the indicator can mark the trading environment as “blocked”. This status is visually highlighted through background color changes and symbolic markers on the chart. An optional tabular interface provides detailed diagnostics, including raw values, fast-slow MA comparison, Z-scores, percentile levels, and binary risk status for each active index.

The Fear Volatility Gate is not a predictive tool in itself but rather a dynamic constraint layer that reinforces discipline under conditions of macro instability. It is particularly valuable when trading systems are exposed to highly leveraged or short-duration strategies, where market noise and sentiment can temporarily override structural price behavior. By synchronizing trading signals with volatility regimes, the filter promotes a more cautious, informed approach to decision-making.

This approach does not assume that all volatility spikes are harmful or that market corrections are imminent. Rather, it acknowledges that periods of elevated implied volatility statistically coincide with increased execution risk, slippage, and spread widening, all of which may erode the profitability of even the most technically accurate setups.

Therefore, the Fear Volatility Gate acts as a protective mechanism.


Oberlunar 👁️⭐

kelmarin

Nota Keluaran

Under request added boolean "block" plot to make it available in other scripts.

kelmarin

Nota Keluaran

bugfixx

kelmarin

Nota Keluaran

bugfix