Predictive Period Risk Range

This script produces a band range that uses a stochastic volatility process to come up with maximum and minimum price ranges over the specified period (using the length variable).

The sample used to predict volatility can be modified using the VolLength parameter, and the extremes can be modified using the VolInflator parameter.

For example, a VolLength of 30 uses the prior thirty days to predict volatility , but that volatility prediction is then adjusted to the period of Length and still only applied to that range

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Note di rilascio:

adds in volume weights to certain calculations

Note di rilascio:

Removes VolInflator multiplier

replaces conventional methods with Mandelbrot method for establishing ranges in certain calculations

Note di rilascio:

Adds AllowBandBreach input to allow price to travel and close beyond the bands

Note di rilascio:

Bug fix to get better precision on instruments with prices under $10

Note di rilascio:

Bug fix for better precision for prices under $10