VIX Spike/Drop Tracker

What It Does
Core Functionality:

Monitors daily VIX percentage changes and identifies significant spikes (fear increases) and drops (fear decreases)
Backtests historical SPY performance following VIX events across multiple timeframes (1-day, 2-day, 3-day, and 1-week)
Calculates win rates and average returns for each scenario
Provides real-time VIX statistics including percentile rankings, distance from moving average, and momentum

Key Features:

Historical Analysis: Analyzes up to 2,500 bars of historical data to build robust statistical profiles
Dual Event Tracking: Separate statistics for VIX spikes (fear events) and VIX drops (fear subsiding)
Performance Metrics: Shows average SPY returns and win rates at 1, 2, 3, and 5-day intervals
VIX Context: Real-time VIX level, daily change, moving average distance, percentile rank, and 3-day momentum
Smart Predictions: Context-aware signals based on VIX patterns and consecutive spike/drop days
Visual Alerts: Chart annotations and background highlighting for significant events

How to Use It
Setup:

Add the indicator to your chart (works on any timeframe, but analyzes daily data)
Adjust the VIX threshold (default 10%) to define what constitutes a "significant" move
Set the historical lookback period (500 bars = ~2 years of data)

Reading the Statistics Table:

Left side: Statistics for VIX spikes (when fear increases)
Right side: Statistics for VIX drops (when fear decreases)
D1/D2/D3/Wk columns: Average SPY returns 1, 2, 3, and 5 days after the VIX event
Win %: Percentage of time SPY was positive at each interval
n: Sample size (number of historical events analyzed)
Bottom row: Current VIX statistics and market positioning

Interpreting Predictions:

🔴 "FEAR SPIKE - SPY LIKELY DOWN": VIX spiking, historical data shows negative SPY tendency
🟢 "FEAR SUBSIDING - SPY LIKELY UP": VIX dropping, historical data shows positive SPY tendency
🟠 "VIX ELEVATED - MEAN REVERSION DUE": VIX extended above its moving average
🟡 "VIX SUPPRESSED - COMPLACENCY RISK": VIX unusually low, potential volatility expansion ahead

Best Practices

Use this as a statistical context tool, not a standalone trading signal
Combine with your own technical analysis and risk management
Pay attention to win rates alongside average returns for edge assessment
Monitor consecutive spike/drop days for potential mean reversion setups
Higher sample sizes (n) provide more reliable statistics

Customization
Fully customizable colors, threshold levels, table size, and VIX moving average period. Enable/disable chart labels based on your preference for clean charts.

This indicator provides historical statistical context and does not guarantee future performance. Past results do not predict future outcomes.