Measuring Intra-day Market Swings with CVIX and Zig Zag

Since mid-October the market has been in a challenging news driven cycle. Since February 28, the Zig Zag and CVIX indicator has surged and has been persistently higher even compared to mid-October through the end of February. The market is getting more volatile intra-day since the beginning of March. This will be the subject of our research. The Portfolio Calculator has a built-in filter that can be used intra-day based on the previous days CVIX (Capstone VIX) levels.

The Zig Zag and CVIX indicators give us an intra-day view of the number of turning points in the market and allow us to quantify the number of turning points. In this case we are measuring the number of 1/3% price moves. This is calculated based on the previous days Close/300. This allows us to measure why the market might be trading different. We can use this type of information to make adjustments, develop strategies to make decisions intra-day based on this indicator, or determine the best strategies to trade when Zig Zag Count is high. We have to determine what the research tells us.

There is always a lot of opportunity in the market, but if the price action changes significantly, we have to make adjustments for strategies that struggle, and consider a regime change while sticking with strategies that are working.