LazyBear

Volatility Switch Indicator [LazyBear]

The Volatility Switch (VOLSWITCH) indicator, by Ron McEwan, estimates current volatility in respect to historical data, thus indicating whether the market is trending or in mean reversion mode. Range is normalized to 0 - 1.

When Volatility Switch rises above the 0.5 level, volatility in the market is increasing, thus the price action can be expected to become choppier with abrupt moves. When the indicator falls below the 0.5 level from recent high readings, volatility decreases, which may be considered a sign of trend formation.

Trading strategy as suggested by Ron McEwan is:
- If VOLSWITCH is less than 0.5, volatility decreases, which may be considered a sign of trend formation
- If VOLSWITCH is greater than 0.5, market is in high volatility mode. Can be choppy. Use RSI to look for OB/OS levels.

I have implemented support for 2 lengths (14 and 21) Note that, Pine doesn't support loops. Once it is introduced, I will publish an updated version.

Building a strategy out of this is straightforward (refer to my strategy explanation above), I strongly encourage new Pinescript coders to try to a plotarrow() based overlay indicator to get more familiar with Pine.

More info:
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The Volatility (Regime) Switch Indicator : http://traders.com/Documentation/FEEDbk_...

Complete list of my indicators:
-------------------------------------
https://docs.google.com/document/d/15AGC...

List of my free indicators: http://bit.ly/1LQaPK8
List of my indicators at Appstore: http://blog.tradingview.com/?p=970
開源腳本

本著真正的TradingView精神,該腳本的作者將其開源發布,以便交易者可以理解和驗證它。為作者喝彩吧!您可以免費使用它,但在出版物中重複使用此代碼受網站規則的約束。 您可以收藏它以在圖表上使用。

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想在圖表上使用此腳本?
//
// @author LazyBear 
// List of all my indicators: 
// https://docs.google.com/document/d/15AGCufJZ8CIUvwFJ9WIKns88gkWOKBCvByMEvm5MLo/edit?usp=sharing
//
study(title="Volatility Switch [LazyBear]", shorttitle="VOLSWITCH_LB")
dr= roc(close,1)/sma(close,2)
dummy=input(false, title="------- Choose lengths below ----"), il21=input(true, title="21"), il14=input(false, title="14")

vola21=stdev(dr, 21)
vswitch21=((vola21[1] <= vola21 ) + (vola21[2] <= vola21 ) +   (vola21[3] <= vola21 ) +   
		(vola21[4] <= vola21 ) +  (vola21[5] <= vola21 ) + (vola21[6] <= vola21 ) +   
		(vola21[7] <= vola21 ) +  (vola21[8] <= vola21 ) +  (vola21[9] <= vola21 ) +  
		(vola21[10] <= vola21 ) + (vola21[11] <= vola21 ) +  (vola21[12] <= vola21 ) +  
		(vola21[13] <= vola21 ) +  (vola21[14] <= vola21 ) +  (vola21[15] <= vola21 ) +  
		(vola21[16] <= vola21 ) +  (vola21[17] <= vola21 ) +  (vola21[18] <= vola21 ) +  
		(vola21[19] <= vola21 ) +  (vola21[20] <= vola21 ) + 1) / 21

vola14=stdev(dr, 14)
vswitch14=((vola14[1] <= vola14 ) + (vola14[2] <= vola14 ) +   (vola14[3] <= vola14 ) +   
		(vola14[4] <= vola14 ) +  (vola14[5] <= vola14 ) + (vola14[6] <= vola14 ) +   
		(vola14[7] <= vola14 ) +  (vola14[8] <= vola14 ) +  (vola14[9] <= vola14 ) +  
		(vola14[10] <= vola14 ) + (vola14[11] <= vola14 ) +  (vola14[12] <= vola14 ) +  
		(vola14[13] <= vola14 ) + 1) / 14 
 
hline(0.5, title="Median")
plot(il21?vswitch21:na, color=red, linewidth=2, title="VOLSWITCH_21")
plot(il14?vswitch14:na, color=green, linewidth=2, title="VOLSWITCH_14")