OPEN-SOURCE SCRIPT
Daily Move Percentile + StdDev
Daily Move Percentile + Standard Deviation
Quantifies how unusual today's price move is relative to historical norms, combining percentile ranking with standard deviation analysis. Designed for volatile assets like biotech where contextualizing moves against typical volatility is essential.
How it works:
Calculates daily percentage change
Ranks today's move against the historical distribution (percentile)
Measures how many standard deviations from the mean (z-score)
Displays average volatility so you can contextualize whether a move is normal for this specific stock
Color coding:
Teal: 95th+ percentile up move — rare upside
Red: 95th+ percentile down move — rare downside
Lime: 80th-95th percentile up move — notable upside
Orange: 80th-95th percentile down move — notable downside
Gray: Normal volatility — nothing unusual
Information table (top right):
Today's move (%)
Percentile rank (how unusual)
Standard deviations (z-score)
Average volatility (typical daily move for this stock)
1 Std Dev (baseline volatility measure)
Use cases:
Identify statistically significant moves worth investigating
Contextualize moves against stock-specific volatility (a -5% day means different things for different stocks)
Spot potential mean-reversion setups after extreme moves
Monitor portfolio names for unusual activity
Recommended settings:
30-60 day lookback for volatile biotech
252 day lookback for stable, large-cap names
Quantifies how unusual today's price move is relative to historical norms, combining percentile ranking with standard deviation analysis. Designed for volatile assets like biotech where contextualizing moves against typical volatility is essential.
How it works:
Calculates daily percentage change
Ranks today's move against the historical distribution (percentile)
Measures how many standard deviations from the mean (z-score)
Displays average volatility so you can contextualize whether a move is normal for this specific stock
Color coding:
Teal: 95th+ percentile up move — rare upside
Red: 95th+ percentile down move — rare downside
Lime: 80th-95th percentile up move — notable upside
Orange: 80th-95th percentile down move — notable downside
Gray: Normal volatility — nothing unusual
Information table (top right):
Today's move (%)
Percentile rank (how unusual)
Standard deviations (z-score)
Average volatility (typical daily move for this stock)
1 Std Dev (baseline volatility measure)
Use cases:
Identify statistically significant moves worth investigating
Contextualize moves against stock-specific volatility (a -5% day means different things for different stocks)
Spot potential mean-reversion setups after extreme moves
Monitor portfolio names for unusual activity
Recommended settings:
30-60 day lookback for volatile biotech
252 day lookback for stable, large-cap names
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.