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Miha Kralj
15f4bb90f3
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
52 lines
2.2 KiB
Markdown
52 lines
2.2 KiB
Markdown
# VSTOP — Volatility Stop (Wilder's Volatility System)
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## Overview
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**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.
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When price crosses through the SAR level, the trend flips — making it suitable for trend detection, dynamic stop-loss placement, and reversal signals.
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## Formula
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### Parameters
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- **Period** (`p`): ATR lookback window. Default = 7.
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- **Multiplier** (`m`): ATR band width. Default = 3.0.
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### Calculation Steps
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1. **ATR**: Compute Average True Range using Wilder's smoothing (RMA) over `p` bars.
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2. **SIC (Significant Close)**:
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- Uptrend: $\text{SIC} = \max(\text{SIC}, \text{Close})$
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- Downtrend: $\text{SIC} = \min(\text{SIC}, \text{Close})$
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3. **SAR**:
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- Uptrend: $\text{SAR} = \text{SIC} - m \times \text{ATR}$
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- Downtrend: $\text{SAR} = \text{SIC} + m \times \text{ATR}$
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4. **Reversal**: If Close crosses SAR → flip direction, reset SIC to current Close, recalculate SAR.
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### Initial Trend Direction
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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).
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## Key Properties
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| Property | Value |
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|:---------|:------|
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| **Outputs** | 1 (SAR value) |
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| **Output range** | Same as price |
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| **Warmup period** | `p` bars |
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| **Category** | Reversals |
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| **Similar indicators** | SAR, SuperTrend, ATR Trailing Stop |
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## Interpretation
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- **SAR below price** → Uptrend; SAR serves as trailing stop for long positions.
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- **SAR above price** → Downtrend; SAR serves as trailing stop for short positions.
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- **SAR flip** → Trend reversal signal; `IsStop = true`.
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- **Higher multiplier** → Wider stop distance, fewer reversals (smoother trend).
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- **Lower multiplier** → Tighter stop, more sensitive to reversals.
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## References
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- Wilder, J. Welles, Jr. *New Concepts in Technical Trading Systems* (1978).
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- Skender Stock Indicators: [Volatility Stop](https://dotnet.stockindicators.dev/indicators/VolatilityStop/)
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