VXN (NQ100) Implied Move — Bands Strategy

VXN (NQ100) Implied Move — Bands Strategy

📌 Overview
This strategy uses the 30-day implied volatility from VXN (CBOE:VXN) to build an “implied move” envelope around a EMA computed in the indicator timeframe. The bands act like elastic zones where price stretches and often reverts. Signals trigger when the close re-enters the zone, and exits are managed via opposite band targets, band retests, and/or optional ATR thresholds. All logic confirms on bar close.

⚙️ Key Inputs

- Indicator Timeframe (tfInput): timeframe used to sample both the symbol EMA and VXN.

- EMA Length (emaLen): center line for the bands.

- Multiplier (mult): scales the implied move.

- Days (daysLook): horizon in days for square-root-of-time scaling.

- Trade Direction: Both / Longs only / Shorts only.

- Band TP / Band SL: enable take-profit or stop at bar close when price hits bands.

- ATR Stop (SL) & ATR Take Profit (TP): optional ATR-based exits.

- Bar Limit (Time Stop): closes a trade after N bars in market.

- Prevent PDT: caps day trades within a rolling window.

🧠 Band Construction (core)

Compute EMA of price in the Indicator Timeframe.

Fetch VXN (close) in the same timeframe.

Implied Move (IM) = EMA * (VXN/100) * sqrt(Days/365) * Multiplier.

Bands:

Upper = EMA + IM

Lower = EMA - IM

🚀 Entry Rules (all on bar close)

Long: first, the close moves below the lower band (arming). Later, when the close crosses above that band, go long.

Short: mirror logic. First, the close moves above the upper band (arming), then the close crosses below that band, go short.

🎯 Exit Logic (first event wins, on bar close)

Band Take-Profit: target at the opposite band.

Band Stop-Loss: if the close returns to the entry band (lower for longs, upper for shorts).

ATR Optional:

ATR SL: distance from entry price via multiplier.

ATR TP: profit target based on ATR.

Time Stop (Bar Limit): forces an exit after a maximum number of bars.

🛡️ Risk Management & Filters

Trade Direction: restrict sides (long-only, short-only, or both).

Prevent PDT: counts day trades per calendar day and limits them in a rolling window.

ATR Stops/TP: useful under higher volatility to control exposure.

🔔 Alerts
Includes alerts for entries and exits (bands and ATR). Set them to Once per bar close to align with the close-based logic.

📎 Important Notes

EMA and VXN are both computed in the Indicator Timeframe.

Signals confirm on bar close only; intrabar confirmation is not used.

VXN is essentially daily. If you pick an intraday Indicator Timeframe, TradingView will replicate the last daily value until the next update; the EMA and IM are still computed consistently in that timeframe.

Not financial advice. Backtest and adjust before live use.

🧩 Tips

- Tune Days and Multiplier to match your trading horizon and sensitivity.

- Combine Band TP/SL with ATR SL/TP for hybrid exit management.

- For intraday trading, consider a Bar Limit to avoid over-holding.