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Miha Kralj
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New indicators: - HWC (Holt-Winters Channel) — channels, 27 tests - VWMACD (Volume-Weighted MACD) — momentum, 38 tests - Squeeze Pro — oscillators, 69 tests - BW_MFI (Bill Williams MFI) — oscillators - DSTOCH (Double Stochastic) — oscillators - ATRSTOP (ATR Trailing Stop) — reversals - VSTOP (Volatility Stop) — reversals - Convexity (Beta Convexity) — statistics, 23 tests Integration: - Python bridge: Exports.cs, _bridge.py, wrapper modules - Documentation: _sidebar.md, _index.md pages, SPEC.md - All analyzer warnings fixed (MA0074, xUnit2013, S2699) Build: 0 warnings, 0 errors | Tests: 15,933 passed, 0 failed
2.2 KiB
2.2 KiB
VSTOP — Volatility Stop (Wilder's Volatility System)
Overview
VSTOP is an ATR-based trailing stop indicator created by J. Welles Wilder. It determines trend direction using a "Significant Close" (SIC) concept — the highest close during an uptrend or lowest close during a downtrend. The stop-and-reverse (SAR) line trails price at a fixed ATR multiple distance from the SIC.
When price crosses through the SAR level, the trend flips — making it suitable for trend detection, dynamic stop-loss placement, and reversal signals.
Formula
Parameters
- Period (
p): ATR lookback window. Default = 7. - Multiplier (
m): ATR band width. Default = 3.0.
Calculation Steps
- ATR: Compute Average True Range using Wilder's smoothing (RMA) over
pbars. - SIC (Significant Close):
- Uptrend:
\text{SIC} = \max(\text{SIC}, \text{Close}) - Downtrend:
\text{SIC} = \min(\text{SIC}, \text{Close})
- Uptrend:
- SAR:
- Uptrend:
\text{SAR} = \text{SIC} - m \times \text{ATR} - Downtrend:
\text{SAR} = \text{SIC} + m \times \text{ATR}
- Uptrend:
- Reversal: If Close crosses SAR → flip direction, reset SIC to current Close, recalculate SAR.
Initial Trend Direction
The initial trend guess is determined by comparing the first Close value with the Close value at the end of the warmup period. If Close[period] >= Close[0], the initial trend is long (uptrend); otherwise short (downtrend).
Key Properties
| Property | Value |
|---|---|
| Outputs | 1 (SAR value) |
| Output range | Same as price |
| Warmup period | p bars |
| Category | Reversals |
| Similar indicators | SAR, SuperTrend, ATR Trailing Stop |
Interpretation
- SAR below price → Uptrend; SAR serves as trailing stop for long positions.
- SAR above price → Downtrend; SAR serves as trailing stop for short positions.
- SAR flip → Trend reversal signal;
IsStop = true. - Higher multiplier → Wider stop distance, fewer reversals (smoother trend).
- Lower multiplier → Tighter stop, more sensitive to reversals.
References
- Wilder, J. Welles, Jr. New Concepts in Technical Trading Systems (1978).
- Skender Stock Indicators: Volatility Stop