Algorithmic Trading & Indicators Intermediate

Larry Williams VIX Fix Synthetic Panic Bottom Indicator in Python

Calculate Larry Williams' VIX Fix indicator in Python Pandas to detect panic selling climaxes and high-probability swing bottoms on any individual stock or crypto.

#pandas#numpy

Problem Statement

Individual stocks and crypto tokens don't have their own implied volatility index like the S&P 500 VIX or India VIX. Williams VIX Fix synthesizes implied volatility from 22-day rolling highs and current lows.

Formula / Core Logic

WVF = 100 * (Highest(Close, 22) - Low) / Highest(Close, 22) Panic Bottom Signal when WVF > Upper_Bollinger_Band(WVF, 20, 2.0)

Installation

pip install pandas numpy

williams-vix-fix-market-bottom-detector-python.py

import pandas as pd
import numpy as np

def williams_vix_fix(df, lookback=22, bb_len=20, bb_mult=2.0):
    df = df.copy()
    highest_close = df['Close'].rolling(lookback).max()
    df['WVF'] = ((highest_close - df['Low']) / highest_close) * 100
    
    wvf_sma = df['WVF'].rolling(bb_len).mean()
    wvf_std = df['WVF'].rolling(bb_len).std()
    df['WVF_Upper_BB'] = wvf_sma + (bb_mult * wvf_std)
    df['Panic_Bottom_Buy'] = np.where(df['WVF'] >= df['WVF_Upper_BB'], 1, 0)
    return df

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Frequently Asked Questions

Q: Does Williams VIX Fix work on weekly charts?

Yes, on daily and weekly timeframes it accurately highlights major capitulation wicks for long-term accumulation.