Volatility Ranges [MTF]

Description This indicator is a comprehensive Volatility Analysis tool that calculates and projects the statistical expected ranges for the current Day, Week, and Month. It is designed to help traders identify potential exhaustion points, breakouts, and dynamic Support & Resistance levels based on historical volatility.

Underlying Concepts & Methodology The script calculates the Average True Range (ATR) equivalent for three distinct timeframes:

ADR (Average Daily Range): Calculates the average volatility of the last X days (default 22).

AWR (Average Weekly Range): Calculates the average volatility of the last X weeks (default 13).

AMR (Average Monthly Range): Calculates the average volatility of the last X months (default 6).

Calculation Logic:

Range Calculation: It computes the True Range (High - Low, accounting for gaps) for the specified lookback period and applies a Simple Moving Average (SMA) to smooth the data.

Projection: These calculated ranges are then projected from a reference point (usually the Open price of the respective period).

Key Levels: The script plots not just the 100% range, but also intermediate levels (25%, 50%, 75%) and expansion levels (up to 200%) to gauge the intensity of the trend.

Scales: It features a unique option to switch between Linear and Logarithmic scaling, ensuring accuracy for assets with large percentage moves.

How to Use

Exhaustion: When price reaches the 100% (High/Low) lines, it implies the asset has fulfilled its average statistical move for the period, often leading to consolidation or reversal.

Breakouts: Closing consistently beyond the 100% level indicates a high-momentum "Expansion Day/Week".

Confluence: Look for areas where Daily, Weekly, and Monthly lines overlap to find strong support/resistance zones.

Settings

Fully customizable colors and line styles for each timeframe.

Toggle independent visibility for ADR, AWR, and AMR.

Option to extend lines into the future for predictive analysis.