VCRIX Oscillator

VCRIX Oscillator: Normalized Volatility Index for Crypto

A normalized (0-100) version of the VCRIX (Volatility Cryptocurrency Index) based on Kim, Trimborn, and Härdle's research. Transforms complex volatility calculations into an easy-to-read oscillator format.

### Indicator Specifications
• Type: Oscillator
• Timeframe: 1D recommended (4H minimum)
• Scale: 0-100
• Overlay: No
• Assets: Cryptocurrency

### Key Levels
• Overbought Zone (>80)
- Extreme market volatility
- Potential reversal points
- Risk management zone

• Normal Range (20-80)
- Standard trading conditions
- Trending phases
- Healthy volatility

• Oversold Zone (<20)
- Low volatility periods
- Potential breakout setup
- Accumulation zones

### Input Parameters
• Lookback Period: 30 days
• Kernel Bandwidth: 0.3
• Jump Threshold: 4.0
• Normalization Period: 252 days

### Signals
1. Overbought/Oversold:
- Cross above 80 = Extreme volatility alert
- Cross below 20 = Low volatility alert

2. Trend Analysis:
- Rising oscillator = Increasing volatility
- Falling oscillator = Decreasing volatility

3. Divergences:
- Price making highs, oscillator making lows = Potential trend weakness
- Price making lows, oscillator making highs = Potential trend strength

### Trading Applications
1. Risk Management:
- Reduce position sizes when > 80
- Increase positions when < 20
- Use normal sizing 20-80

2. Entry/Exit Timing:
- Look for breakouts when oscillator < 20
- Consider taking profits when > 80
- Watch for divergences at extremes

### Formula Components
• Raw VCRIX calculation using:
- Log returns with jump detection
- Gaussian kernel smoothing
- Bi-power variation
• Normalized to 0-100 scale using yearly high/low
• 10-period smoothing overlay

### Notes
- More effective on higher timeframes
- Use with trend confirmation
- Consider market context
- Built-in alerts at extreme levels

Based on: "VCRIX - A Volatility Index for Crypto-Currencies" by Kim, Trimborn, and Härdle (2019)