Drawdown from 22-Day High (Daily Anchored)

그저께

This Pine Script indicator, titled "Drawdown from 22-Day High (Daily Anchored)," is designed to plot various drawdown levels from the highest high over the past 22 days. This helps traders visualize the performance and potential risk of the security in terms of its recent high points.

Key Features:
Daily High Data:

Fetches daily high prices using the request.security function with a daily timeframe.

Highest High Calculation:

Calculates the highest high over the last 22 days using daily data. This represents the highest price the security has reached in this period.

Drawdown Levels:

Computes various drawdown levels from the highest high:

2% Drawdown

5% Drawdown

10% Drawdown

15% Drawdown

25% Drawdown

45% Drawdown

50% Drawdown

Dynamic Line Coloring:

The color of the 2% drawdown line changes dynamically based on the current closing price:

Green (#02ff0b) if the close is above the 2% drawdown level.

Red (#ff0000) if the close is below the 2% drawdown level.

Plotting Drawdown Levels:

Plots each drawdown level on the chart with specific colors and line widths for easy visual distinction:

2% Drawdown: Green or Red, depending on the closing price.

5% Drawdown: Orange.

10% Drawdown: Blue.

15% Drawdown: Maroon.

25% Drawdown: Purple.

45% Drawdown: Yellow.

50% Drawdown: Black.

Labels for Drawdown Levels:

Adds labels at the end of each drawdown line to indicate the percentage drawdown:

Labels display "2% WVF," "5% WVF," "10% WVF," "15% WVF," "25% WVF," "45% WVF," and "50% WVF" respectively.

The labels are positioned dynamically at the latest bar index to ensure they are always visible.

Explanation of Williams VIX Fix (WVF)
The Williams VIX Fix (WVF) is a volatility indicator designed to replicate the behavior of the VIX (Volatility Index) using price data instead of options prices. It helps traders identify market bottoms and volatility spikes.

Key Aspects of WVF:
Calculation:

The WVF measures the highest high over a specified period (typically 22 days) and compares it to the current closing price.

It is calculated as:

WVF
=
highest high over period
−
current close
highest high over period
×
100
This formula provides a percentage measure of how far the price has fallen from its recent high.

Interpretation:

High WVF Values: Indicate increased volatility and potential market bottoms, suggesting oversold conditions.

Low WVF Values: Suggest lower volatility and potentially overbought conditions.

Usage:

WVF can be used in conjunction with other indicators (e.g., moving averages, RSI) to confirm signals.

It is particularly useful for identifying periods of significant price declines and potential reversals.

In the script, the WVF concept is incorporated into the drawdown levels, providing a visual representation of how far the price has fallen from its 22-day high.

Example Use Cases:
Risk Management: Quickly identify significant drawdown levels to assess the risk of current positions.

Volatility Monitoring: Use the WVF-based drawdown levels to gauge market volatility.

Support Levels: Utilize drawdown levels as potential support levels where price might find buying interest.

This script offers traders and analysts an efficient way to visualize and track important drawdown levels from recent highs, helping in better risk management and decision-making. The dynamic color and label features enhance the readability and usability of the indicator.