Best Volatility CalculatorHello traders,
This indicator shows the average volatility, of last N Periods, for the selected time frames.
You can select up to 2 timeframes with this version
Volatility is defined as the close of current candle - close of the previous N candle
Presented as Currency, Pip, percentage labels in a panel below.
Will calculate in real-time only for the current instrument on the chart.
The indicator is coded to not be repainting
Example
In the indicator screenshot, I used a lookback period of 1.
That compares the current candle close versus the previous one for the daily and weekly timeframe
Showing how the results are calculated for the weekly calculations
Enjoy :)
Best regards
Dave
Tìm kiếm tập lệnh với "Volatility"
% volatility - JDA small script to quickly scan through coins based on % volatility, eg. for AB-trading.
Both lookback length of the number of bars and the minimum volatility threshold can be changed.
JD.
Volatility after Momentum/SMA crossThis indicator can be used in conjunction with alerts to detect Momentum crosses, which usually occur before volatility . ATR is included as a measurement of past volatility after crosses.
Special thanks to Washdil whom discovered this reoccurring theme in many of the major pairs.
Happy trading!
Realized VolatilityRealized Volatility, using the 21 period Average True Range formula with a log scaling of source input values.
Designed to match the CBOE's Volatility indexes across all timeframes and instruments.
XeL Volatility BANDSDISCLAIMER:
The Following indicator/code IS NOT intended to be a formal investment advice or recommendation by the author, nor should be construed as such. Users will be fully responsible by their use regarding their own trading vehicles/assets.
The following indicator was made for NON LUCRATIVE ACTIVITIES and must remain as is following TradingView's regulations. Use of indicator and their code are published by Invitation Only. All access granted over it, their use, copy or re-use should mention authorship and origin.
WARNING NOTICE!
THE INCLUDED FUNCTION MUST BE CONSIDERED AS DEBUGING CODE The models included in the function have been taken from openly sources on the web so they could have some errors as in the calculation scheme and/or in it's programatic scheme. Debugging are welcome.
WHAT'S THIS...?
Work derived by previous own research in favour of this main fields of study:
BUY TO SELL PRESSURES: Given current limitations and rise of prices for Market-Data fees, trying to count "real" market moves tick-by-tick is a real pain. I was very focused to measure this by estimation of Buyers against Sellers (or viceversa) just by playing around with the Range given of time-compression (OHLCv) data and trying to use accepted statistical methods like maximum-minimum count.
VOLATILITY ESTIMATION: From the previous point, my concern was trying to found an Historical Volatiilty Estimator that can individually count Bullish moves (Minimum from previous close to current price) and Bearish ones (Maximum from previous close to current price) and estimate them by filtering deviations selectable from Square of Returns or Absolute Returns with an Elastic Volatility-Weighted Average Method. (First Order Impulse Response Filter against PriceVolume cumulatives over time.)
BANDS: Two zones are mainly shadowed from derivations of Deviations: A BULL area and a BEAR area. This areas usually define cyclical regimes of asset price.
NOTES:
This version DO NOT INCLUDE ALERTS.
This version DO NOT INCLUDE STRATEGY: Feedback to write are welcome
CHEERS!
@XeL_Arjona 2018.
ADX Volatility Moving AverageThe ADXVMA is a volatility based moving average with the volatility being determined by the value of the ADX. The ADXVMA provides levels of support during uptrends and resistance during downtrends. Original NT indicator by Fat Tails on futures.io, just ported it to pinescript
Chaikin Volatility StrategyChaikin's Volatility indicator compares the spread between a security's
high and low prices. It quantifies volatility as a widening of the range
between the high and the low price.
You can use in the xPrice1 and xPrice2 any series: Open, High, Low, Close, HL2,
HLC3, OHLC4 and ect...
Chaikin Volatility Chaikin's Volatility indicator compares the spread between a security's
high and low prices. It quantifies volatility as a widening of the range
between the high and the low price.
You can use in the xPrice1 and xPrice2 any series: Open, High, Low, Close, HL2,
HLC3, OHLC4 and ect...
Bullish Bearish volatility analysisThis script is used to analyse Bullish/Bearish volatility direction based on volumes and moving average.
Volatility Visualizer by Oddbeaker LLCUse this to determine if a crypto pair has volatility suitable for your Oddbeaker Synthetic Miner. Draws entry/exit lines over the candles.
"Show me every place on the chart where I could have made X percent gains in Y days or less."
Inputs :
Percent Gain : Minimum percent gains to show on the chart.
Scan Bars : Maximum number of bars allowed to reach the profit target.
Notes :
Lines drawn on the chart indicate the entry and exit times and prices to reach the exact profit target.
The indicator only uses the low price of each candle to determine entry. It does not show every possible entry point.
When counting lines, count any group of lines that cross each other as one. Also, count any group of lines that do not cross but overlap in price over the same time period as one.
Tips :
For best results, set Percent Gain to double the amount of the sum of Min Profit and Min Stash on your Synth Miner. Example: If you have minProfit=5 and minStash=5, 5+5=10, so percentGain should be 20 on the chart.
Use a daily chart and set Scan Bars to 7 or less on highly volatile pairs.
Look for charts with the highest number of lines that don't overlap.
Use this indicator combined with the Synthetic Mining Channel for best results.
Logarithmic Volatility Direction Index [IkkeOmar]The LVDI is a Mean-Reversion Indicator. it doesn't detect trends and does not give a signal per se.
What it does is tell you if we have a flashcrash based on the price action and volume that is available. It is not always easy to see with the naked eye, so this indicator can help you DCA into an asset in a smarter way, if you couple it with other trend systems.
Think of this indicator like a form of a volatility index.
Inputs:
len and lenWMA are integers representing different lengths for calculations, and src is the data source
Keep in mind that "Length" is the lookback for the WMA, and the Length smooting is the lookback for the SMA of the "volume_weighted".
WMA Calculation
wma_basic = math.log10(ta.wma(src, len))
This calculates the logarithm (base 10) of the Weighted Moving Average (WMA) of the source data over len periods. WMA is a type of moving average giving more importance to recent data. The reason I use log10, is to make it transformative over a longer timeframe. This makes it easier to see the growth direction. I like to use this for crypto, since there is asymetric upside.
Volume Filter:
average_volume = ta.sma(volume, lenWMA)
volume_weighted = math.log10(wma_basic * (volume / math.log10(average_volume)))
Here, the script first calculates the Simple Moving Average (SMA) of the trading volume over lenWMA periods. Then, it computes a volume-weighted value of the WMA, adjusted by the logarithmic ratio of current volume to average volume.
Distance and Score Calculation:
distance = math.log10(src) - math.log10(volume_weighted)
score = math.sign(distance) * math.pow(math.abs(distance), 2)
The script calculates the logarithmic difference between the source data and the volume-weighted WMA. The score is determined by the sign of this distance multiplied by its square. This potentially amplifies the impact of larger distances.
Plotting:
plot(volume_weighted, title="Volume Weighted WMA", color=color.blue, linewidth = 2)
plot(ta.sma(volume_weighted, lenWMA), title="Volume Weighted WMA", color=color.rgb(189, 160, 0))
Mathematical concepts
Weighted Moving Average (WMA):
WMA is a moving average that assigns more weight to recent data points. The idea is that recent prices are more relevant to the current trend than older prices.
Logarithms:
The use of log10 (logarithm base 10) is interesting. Logarithms help in normalizing data and can make certain patterns more visible, especially when dealing with exponential growth or decay.
Volume Weighting:
Multiplying the WMA by the ratio of current volume to average volume (both logarithmic) integrates volume into the analysis. High trading volume can signify stronger market interest and can thus validate price movements.
Distance and Score:
The distance measures how far the current price is from the volume-weighted WMA on a logarithmic scale. The score squares this distance, potentially highlighting large divergences.
Case example
In the case above (which is a low timeframe that shouldn't be your main system) we see the blue line going up before going below the moving average line (orange). This indicates a local bottom zone. Does that mean that we wont go lower? No! What you can do is calculate a zone range.
We have an average line, you can get that from the POC with the VRVP.
Then you take the low and high of that zone and take the average:
(3.17% + 2.33%) / 2 = 2.75%
This means that we expect that the price can fall an additional 2.75%! Low and behold. When you check the same chart as above:
Hope it makes sense!
Stay safe everyone!
Don't hesitate to ask any questions if you have any!
Fibonacci Ratios with Volatility(Weekly Time Frame.)Script is based on weekly time Frame. Fib ratios are drawn at the Open of the Market. Open price is compared with Previous week High , low and close. If weekly open is above Previous week high or low, Fib 0 % is plotted above High or the low as the case may be . If weekly open is between previous week high and low Fib 0% is equal to previous week Close and other fib ratios are plotted accordingly. As its vol based, works fantastically. This script is inspired by Fibonacci and Volatility script by PB GHOSH.
ATR and IV Volatility TableThis is a volatility tool designed to get the daily bottom and top values calculated using a daily ATR and IV values.
ATR values can be calculated directly, however for IV I recommend to take the values from external sources for the asset that you want to trade.
Regarding of the usage, I always recommend to go at the end of the previous close day of the candle(with replay function) or beginning of the daily open candle and get the expected values for movements.
For example for 26April for SPX, we have an ATR of 77 points and the close of the candle was 4296.
So based on ATR for 27 April our TOP is going to be 4296 + 77 , while our BOT is going to be 4296-77
At the same time lets assume the IV for today is going to be around 25% -> this is translated to 25 / (sqrt (252)) = 1.57 aprox
So based on IV our TOP is going to be 4296 + 4296 * 0.0157 , while our BOT is going to be 4296 - 4296 * 0.0157
I found out from my calculations that 80-85% of the times these bot and top points act as an amazing support and resistence points for day trading, so I fully recommend you to start including them into your analysis.
If you have any questions let me know !
BitMEX BTC Volatility IndexThis indicator displays the BitMEX BTC Volatility Index ( BVOL24H ) as an indicator and it can be compared to the VIX of the cryptocurrencies.
more information about how BVOL24H is calculated can be found here: www.bitmex.com
Symbol can be changed in the parameters
Previous Earnings Volatility v1 by RMThis study checks previous Stock trends (volatility) before Earnings announcements. This indicator is used to gauge the stock personality before earnings. Some are consistently better than others.
The range to be analysed before earnings is modified in "Candles before EA to plot Trend" , and the total period under study (how many Earnings periods) is set by "Date From" and "Date To" parameters.
The indicator shows closing values for the periods analysed and presents a tables with the summary, how many are up and down.
Used part of this code as published by @PineCoders and Public Library, This script is based on previous work from several people like Sushil Kothawade and other open source coders:
in.tradingview.com
Disclaimer: This is not a Financial advisory tool. For education purposes only. * Use at your own risk *
Chonky Hourly Volatility StatsShows a table of the average volatility per hour of day.
Can inform about the more/less opportune times to trade a particular asset.
Gaps are not accounted for; ranges only consist of high - low.
Use on the hourly time frame only.
Percentage Volume VolatilityI was looking for a script similar to ATR that would show percentage point volatility relative to current price. It's way easier to compare 2 different tickers, with similar entry conditions, and judge witch one has bigger gains predisposition than calculating everything with just ATR value.
Unfortunately I haven't found any, so there is one I've composed out of ATR and VWAP. First choice is self explanatory, the VWAP on the other choice in my opinion shows more faithful average price than SMAs or EMAs. Feel free to adjust the script if You feel like it.
Cheers - Mizer.
Volatility Dispersion EnvelopesThe Volatility Dispersion Envelope Indicator (VDE) is a custom forward-looking indicator developed by Macro Ops. This indicator is best used to identify when price action is reaching statistical points of reversal within the next five to seven days.
An operator can conceptualize the VDE as a vacuum, out to absorb all of the speculators (dispersive outlooks). When the bounds of the VDE are at their maximum divergence, this points to a likely trend reversal, as there is a maximum amount of speculators caught offsides. A reversal off the first lower-bound band is common, while a reversal off of a second or third lower-bound band is rare. A reversal is confirmed when the slope of the VDE bands change direction, or support has been established when price fails to break below a VDE band multiple times.
Realized Volatility (annualized for any time frame)Plots standard deviation of returns (realized volatility), and annualizes it for the selected timeframe. Suitable for forex/cryptocurrencies which trade 24/7.
[ProfitTrailer:Feeder] Up Down VolatilityUpside & DownSide Volatility is commonly used in the ProfitTrailer:Feeder community scene, so I decided to create a script for it.
Please 'follow & like' if you like this script! Thanks
[HM] HORIZONTAL GRID ROUNDED (VOLATILITY BASED)The purpose of this indicator is to draw a horizontal grid having in mind:
- rounded price levels instead tradingview standard grid, zoom-based;
- calculated by volatility, using daily ATR;
- independent of timeframe in use, locked to DAILY calculations.
Further improvements are intended.
Wish this could be useful. Any questions, feel free to comment.
Historical exponential volatilityIndicator of Historical volatility according to the exponential model with an additional moving average for CME , NYMEX futures
Window - the number of periods for calculating HV
WindowAdg - the number of periods for calculating the moving average for HV
Индикатор исторической волатильности по экспоненциальной модели с дополнительной скользящей средней. Оптимизирован под фьючерсы CME , NYMEX
Window - количество периодов расчета HV
WindowAdg - количество периодов расчета скользящей средней для HV
Day of the week VolatilityPlots a particular day's volatility for the past x weeks' data. Default is set at 100 weeks, but it can be modified
