Volatility-Based Stop Calculator

Volatility-Based Stop Calculator

Daily volatility-based stop distance and target levels with regime awareness using VIX-derived stress features

Overview

Volatility-Based Stop Calculator is a daily risk-sizing helper that computes ATR-based stop distances and target levels using a volatility regime score built from VIX momentum, VIX acceleration, and SPY realized volatility. It is not a signal or entry tool; it provides a consistent stop distance and target ladder for the current session.

Key Features

• Volatility Regime Scoring: Uses VIX momentum (5‑day change), VIX acceleration, and SPY realized volatility to create a daily severity score.
  
• Quantile Buckets: Maps the severity score into 4 volatility buckets (LOW / NORMAL / ELEVATED / EXTREME).
  
• Dynamic k Multiplier: Adjusts stop distance via VIX percentile, gap risk (ETFs only), realized vol ratio, and VIX9D term stress.
  
• ATR-Based Stops: Final stop distance is ATR × k, rounded to tick size.
  
• Targets Ladder: Plots TP1/TP2/TP3 and stop levels from a reference price (daily close or live price).
  
• Overlap Consolidation: In Both mode, overlapping long/short levels are merged into a single line/label.
  
• Live Lines + Labels: Uses dynamic lines and labels (not plot lines) for clean chart overlays.
  
• Table Summary: Monospace table showing regime, k, ATR, stop distance, and volatility stats.
  

How It Works

1. Daily Data Pull: Uses daily bars for all volatility calculations to match the original daily model.
   
2. Severity Score: Ranks VIX momentum, VIX acceleration, and SPY realized vol, then blends them with weights.
   
3. Bucket Mapping: Converts severity into 4 quantile buckets and selects base k per bucket.
   
4. Dynamic Adjustments: Adds VIX percentile, ETF gap risk, asset vs market realized vol, and VIX9D term stress.
   
5. Stop + Targets: Computes stop distance and applies 1R/2R/3R targets from the reference price.
   

Use Cases

• Stop Placement: Avoid stops that are too tight in high volatility or too wide in low volatility.
  
• Risk Sizing: Use the stop distance with your own risk model to size positions.
  
• Daily Context: Track volatility regime shifts without needing a separate regime model.
  
• Consistent Execution: Standardize stop/target placement across sessions.
  

Settings

Volatility Inputs:

• VIX Symbol, VIX9D Symbol
  
• SPY Symbol (market baseline)
  
• NQ/ES Baseline Symbols (futures baselines)
  

Stop Model:

• ATR EMA Span
  
• VIX Percentile Window
  
• Severity Lookback
  
• Bucket Lookback
  
• Gap Lookback (ETFs)
  
• Bucket Smoothing
  

Display:

• Show Levels (Long/Short/Both)
  
• Use Live Price (current chart) or Daily Close
  
• Level Line Style/Width
  
• Label Size and Position
  
• Long/Short/Overlap colors
  

Table Styling:

• Background, header, border, frame, and text settings
  
• Table position and text size
  

Technical Notes

• All volatility calculations are based on daily data; intraday charts use daily series under the hood.
  
• Futures gap adjustment is disabled; ETFs include gap risk.
  
• This is a risk sizing helper, not a trade signal generator.
  

Best Practices

• Use daily regime output to set stops, then execute on your preferred timeframe.
  
• Confirm symbol mappings for VIX/VIX9D/ES/NQ in your data feed.
  
• If levels feel too wide or tight, adjust the k inputs rather than ATR length first.
  

A daily volatility‑based stop calculator that adapts stop distance and targets to the current regime.