Volatility Visualizer Percentiles (VIXFix, ATR, VIX)

Summary
A volatility regime dashboard for liquid instruments that converts three volatility lenses into 0 to 100 percentile ranks versus the last 252 closed daily bars. It is built to answer one question: is volatility unusually low or unusually high relative to the last year. Use it to adjust position sizing, stop width, and trade selectivity. It is not a directional signal.

Scope and intent

• Markets: US indices and index ETFs, index futures, large cap equities, liquid crypto proxies, and other symbols where daily volatility regimes matter
  
• Timeframes: best on Daily. It can be applied on other chart timeframes, but the reference window remains 252 closed daily bars
  
• Default demo: SPX on Daily
  
• Purpose: provide a simple, testable volatility context layer that you can plug into any daily system as a risk filter or risk scaler
  

What makes it original and useful
Most “volatility tools” show raw ATR or a single volatility index. This script standardizes three distinct sources into the same unit (percentile), so you can compare them and combine them without guessing thresholds.

• Unique fusion: internal realized volatility (ATR%), internal stress proxy (VIXFix), and external implied volatility (input VIX symbol) expressed in the same 0 to 100 scale
  
• Practical outcome: the table gives a regime read and an action posture, so the output is directly usable for risk decisions
  
• Testable: all components are visible and thresholdable; you can backtest rules like “only trade when composite is between 30 and 75”
  
• Portable: percentiles remove the need to hardcode market specific “ATR is high” numbers across different symbols
  

Method overview in plain language

Base measures

• VIXFix: a price based fear proxy derived from the instrument’s own daily behavior (using the relationship between recent high closes and current lows)
  
• ATR%: daily ATR normalized by daily close, expressed as a percentage for cross symbol comparability
  
• External VIX: a user selected volatility index or proxy pulled via input symbol (default CBOE:VIX)
  

Normalization to percentiles

• For each metric, the script stores the last 252 closed daily values
  
• It then computes where the most recent closed daily value sits inside that history as a percentile from 0 to 100
  
• Tie handling is configurable (Midrank, StrictLess, LessOrEqual) to define how repeated values are ranked
  

Fusion rule

• Composite percentile is the simple average of the available percentiles (VIXFix, ATR%, VIX)
  
• If one component is missing (for example the external symbol is unavailable), the composite averages the remaining components
  

How to use it on Daily
This tool is most effective as a risk regime layer on top of an existing strategy. Use the Composite row as the primary dial, and the individual components as confirmation.

Recommended operating zones

• 0–20 Very Low: quiet regime. Tight stops often survive, but breakouts can underperform. Favor mean reversion or require stronger breakout confirmation.
  
• 20–40 Low: constructive for many systems. Use baseline sizing and baseline stops.
  
• 40–60 Mid: neutral. Run your base playbook.
  
• 60–80 High: volatility expansion. Reduce size and widen stops, or trade only higher quality setups.
  
• 80–100 Very High: stress regime. Smallest size, widest stops, and skip marginal setups. Gap risk and slippage risk are higher.
  

How to interpret disagreements

• If ATR% is high but VIX is mid, realized vol is elevated but the market is not pricing extreme fear. Treat as a caution zone, not panic.
  
• If VIX is high but ATR% is mid, implied vol is elevated ahead of potential events. Expect expansion risk even if realized vol has not moved yet.
  
• If all three are high, treat it as a full stress regime and enforce strict risk limits.
  

What you will see on the chart

• A compact table with one row per metric and optional composite
  
• For each row: last closed daily value, 252D percentile, a progress bar, and an action posture
  
• Optional stats: min, median, max for the 252D window (useful for sanity checks, adds CPU)
  

Table fields quick guide

• Last closed daily: the value used for ranking, taken from the last fully closed daily bar
  
• 252D percentile: where the current reading ranks versus the last 252 closed daily readings
  
• Bar: quick visual map of percentile from 0 to 100
  
• Action: risk posture suggestion tied to the percentile bucket
  

Inputs with guidance

Core

• Window (closed daily bars): default 252. Higher values make the regime slower and more structural. Lower values make it more reactive.
  

VIX

• VIX symbol: default CBOE:VIX. You can replace it with another implied volatility proxy appropriate for your market.
  

VIXFix

• VIXFix lookback: typical range 21/22. Smaller reacts faster, larger smooths regimes.
  

ATR

• ATR length: typical range 10–21 on Daily
  
• ATR as % of close: recommended on for comparability across symbols and long history
  

UI

• Show composite volatility score: recommended on. Best single dial.
  
• Show action guide: recommended on if you want direct posture cues.
  
• Show min, median, max: optional. Useful for diagnostics, higher CPU.
  
• Table position: place it where it does not cover price.
  

Usage recipes

Daily trend following overlay

• Trade your trend system normally when Composite is between 25 and 75
  
• If Composite is above 75, reduce size and widen stops, and require stronger trend confirmation
  

Daily mean reversion overlay

• Focus on Composite below 40
  
• Avoid Composite above 80 where gaps and cascading moves reduce mean reversion reliability
  

Daily risk parity style scaling

• Use Composite percentile as a coarse risk throttle: higher percentile equals lower exposure
  
• Example posture: 0–40 normal exposure, 40–80 reduced exposure, above 80 minimal exposure
  

Alerts
This script is intentionally a dashboard and does not emit buy or sell signals. If you want alerts, create them from percentile thresholds in your own fork. For conservative workflows, trigger alerts on bar close.

// Example alert conditions (add to your fork if desired)
high_vol = comp_pct > 80
low_vol = comp_pct < 20

Honest limitations and failure modes

• This is not a directional predictor. Volatility can rise in both bull and bear markets.
  
• Percentiles are relative to the last 252 closed daily bars. A “high percentile” is high versus recent history, not an absolute guarantee of future movement.
  
• Implied volatility (VIX) can move ahead of realized volatility (ATR%). Treat divergence as information, not a signal.
  
• Very high volatility regimes can include gap risk and slippage risk that are not visible in indicator values alone.
  

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.