Probability Of Expiring Cone

28 thg 7, 2021

This script attempts to give forecasts over the range of the closed price based on the exponentially weighted volatility.

Overall, with the assumption of normal distribution of log return, which might not always hold true, it calculates the approximate/ estimated probability that the current candles will close within the plotted shape. One, two, and three sigma will give the probability of around 68%, 95% and 99% respectively.

This can be used to give you a better sense of what is likely with the current level of volatility, thus assist in risk management and position sizing.

May you be on the right side of the trade.

5 thg 10, 2021

Phát hành các Ghi chú

Migration to Pine V5

10 thg 11, 2021

Phát hành các Ghi chú

Important Updates:
- Add the option to allow the cone to scale with drifts in returns, making it directionally biased
- Add the option to customize the exact numeric probability value
- Increase from 32 forecast series to 64.
- Replace with EWMA Volatility Model with an approximation of GARCH.