OPEN-SOURCE SCRIPT

Prometheus Volatility EMA

The Prometheus Volatility EMA is an indicator that calculates an Exponential Moving Average with the historical volatility as how we decide how sensitive to make the indicator to the most recent data.

A traditional EMA is calculated like this:
EMA = alpha * source + (1 - alpha) * EMA[1], where alpha = 2 / (length + 1)
Sourced from TradingView’s ta.ema built in function.

We see that the alpha value is used to determine how sensitive the EMA will be to the most recent prices, and it is derived from how many bars back are used in the calculation.

Prometheus is using the annualized historical volatility, for a specified period as the “alpha” value. The reason for this is that on more volatile assets, the EMA will follow price more closely to give you a better idea of when price may change direction.

Historical Volatility calculation:


EMA calculation:


Let's explain some charts to better understand this tool!

ảnh chụp nhanh

We see on a 1 year SHY chart, the moving average is far from the price. This makes sense as SHY has a range of 2.85% from the low to the high for this period in the photo above. It is not very volatile.

ảnh chụp nhanh

In this chart of BTCUSD we see that the EMA follows price very closely, way closer than it does on SHY. This is because BTCUSD is much more volatile. BTCUSD has a range of 196% from the low to the high in this photo. Way more than SHY.

We see it change on the same asset here looking at QQQ. In the small period with the drop we see the EMA follow more closely as volatility picks up, then it quickly allows price to get far as volatility leaves.

ảnh chụp nhanh

This is the perspective we aim to provide. We encourage traders to not follow indicators blindly. No indicator is 100% accurate. This one can give you a different perspective of price strength with volatility. We encourage any comments about desired updates or criticism!
Candlestick analysisChart patternsCycles

Mã nguồn mở

Theo tinh thần TradingView thực sự, tác giả của tập lệnh này đã xuất bản dưới dạng nguồn mở để các nhà giao dịch có thể hiểu và xác minh. Chúc mừng tác giả! Bạn có thể sử dụng miễn phí. Tuy nhiên, bạn cần sử dụng lại mã này theo Quy tắc nội bộ. Bạn có thể yêu thích nó để sử dụng nó trên biểu đồ.

Bạn muốn sử dụng tập lệnh này trên biểu đồ?


Ngoài ra, trên:

Thông báo miễn trừ trách nhiệm