VCRIX (Volatility Cryptocurrency Index)

Based on the academic research paper by Kim, Trimborn, and Härdle, this indicator implements a sophisticated measure of cryptocurrency market volatility.

Indicator Type: Volatility/Momentum
Timeframe: 1D recommended (can be used on 4H)
Asset Class: Crypto
Chart Type: Separate Window

Key Volatility Levels:
8000: Extreme Volatility - Major market events/crashes
6000: High Volatility - Significant market stress
4000: Normal Volatility - Standard trading conditions
2000: Low Volatility - Market accumulation phases
Features:

Adaptive volatility calculation using Gaussian kernel estimation
Jump detection for extreme price movements
Exponential weighting system for recent price action
Moving average overlay for trend identification

Trading Applications:

Risk Management:

Scale positions based on volatility regime
Adjust stop losses according to volatility level
Time entries/exits at volatility extremes


Market Phase Identification:



8000: Extreme market stress, potential bottoms


6000-8000: Major market turns likely
4000-6000: Normal trading conditions
<4000: Accumulation/low volatility breakout potential

Settings:

Lookback Period: 30 (adjustable)
Jump Threshold: 4.0 (filtration sensitivity)
Kernel Bandwidth: 0.3 (smoothing factor)

Formula:
The VCRIX implements sophisticated volatility estimation:

Log-return calculation with jump detection
Bi-power variation analysis
Gaussian kernel smoothing
Exponential weighting of results

Notes:

More effective on higher timeframes (1D recommended)
Best used in conjunction with trend analysis
Consider market context for level interpretation
Lower readings more common in mature market phases

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