vol_box

A simple script to draw a realized volatility forecast, in the form of a box. The script calculates realized volatility using the EWMA method, using a number of periods of your choosing. Using the "periods per year", you can adjust the script to work on any time frame. For example, if you are using an hourly chart with bitcoin, there are 24 periods * 365 = 8760 periods per year. This setting is essential for the realized volatility figure to be accurate as an annualized figure, like VIX.

By default, the settings are set to mimic CBOE volatility indices. That is, 252 days per year, and 20 period window on the daily timeframe (simulating a 30 trading day period).

Inside the box are three figures:

1. The current realized volatility.
2. The rank. E.g. "10%" means the current realized volatility is less than 90% of realized volatility measures.
3. The "accuracy": how often price has closed within the box, historically.

Inputs:

stdevs: the number of standard deviations for the box
periods to project: the number of periods to forecast
window: the number of periods for calculating realized volatility
periods per year: the number of periods in one year (e.g. 252 for the "D" timeframe)

Note di rilascio

fixed rank

Note di rilascio

- abbreviated terms

Some further settings examples:

Financial futures generally trade 23 hours a day. Grain futures trade about 18 hours a day. For a 30 minute chart, projecting 1 day in the future, with a 20 day window for calculating RV, use:

Financials:

periods to project: 46
window: 920
periods per year: 11592

grains:

periods to project: 36
window: 720
periods per year: 9072

Note di rilascio

cleaned up some extraneous code

Note di rilascio

added historical projection lines. if the price closed outside the projection, the nearest bound is colored red. otherwise, blue. by default, these lines are disabled. enable them with the "history" input.

Note di rilascio

fixed typo

Script open-source

In pieno spirito TradingView, il creatore di questo script lo ha reso open-source, in modo che i trader possano esaminarlo e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricorda che la ripubblicazione del codice è soggetta al nostro Regolamento.

taylor_o

Declinazione di responsabilità

Le informazioni ed i contenuti pubblicati non costituiscono in alcun modo una sollecitazione ad investire o ad operare nei mercati finanziari. Non sono inoltre fornite o supportate da TradingView. Maggiori dettagli nelle Condizioni d'uso.

Script open-source

taylor_o