With the usage of ATR, applied on the close of the daily candle, I am calculated the volatility channels for the TOP and BOTTOM Based on this logic, we can estimate, with a huge confidence factor, where the prices are going to be compressed for the trading day. Having said that, lets take a look at the data gathered among the most important financial...
This 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...
Shows the percentage difference between the High and Low of the price bar expressed as a percent of the Open of that bar. In the settings, you can change to Price Change instead of percent change. This will show the price change between the High and Low for each price bar. It can be used on any time frame. I use it on the daily chart . I note the daily figure,...
ENGLISH This indicator (V-R-P) calculates the (one month) Volatility Risk Premium for GOLD and SILVER. V-R-P is the premium hedgers pay for over Realized Volatility for GOLD and SILVER options. The premium stems from hedgers paying to insure their portfolios, and manifests itself in the differential between the price at which options are sold (Implied...
Statistics for assisting with intraday bond trading, using five minute periods and one hour ranges. There are two tables, a volatility table and a correlation table. The correlation table shows the correlation of five minute returns (absolute) between the four different bond contracts that trade on the CME. The volatility table shows for each contract: - The...
I wrote this script to give me a few metrics I follow and to quickly identify if they have the strength and momentum I am looking for. The metrics are used by StockBee and Qullamaggie to distinguish fast moving stocks gaining momentum. The measures are: Average Daily Range similar to TradingView's Monthly Volatility is above 5% Intermediate moving average is...
ENGLISH This indicator (V-R-P) calculates the (one month) Volatility Risk Premium for S&P500 and Nasdaq-100. V-R-P is the premium hedgers pay for over Realized Volatility for S&P500 and Nasdaq-100 index options. The premium stems from hedgers paying to insure their portfolios, and manifests itself in the differential between the price at which options are sold...
█ OVERVIEW This indicator reports the historical probabilities of the price trading past its Average True Range (ATR). █ CONCEPTS It is common knowledge that the market is not likely to trade past 1x ATR. Is this true? How much unlikely exactly? The indicator reports the data in a table and tells you precisely how often the price made it past x times...
Initial Balance with Extensions. Other traders have posted similar indicators. I wrote my own because I wanted additional features. Features: Supports up to 9 extensions. Default = 3. Each extension is filled using an automatic gradient. Fill can be disabled if you like. IB levels extend into the future to the end of the current session. By default only the...
This indicator has three main components: Days of Week Separators , User-Customized Reminder Notes , and Projected Lines . Each component is explained and demonstrated how it could be used as a trading tool. The basis of this indicator is to analyze past price movements and then project them as a reminder for traders that previously, at that particular...
While coding some filters into another indicator for Long/Short I noticed that ta.nearest.percentile might be the most useful tool in pinescript I've ever encountered. While percentile_nearest can be used for all kind of things I decided to code moving averages from it and made bands for bottom percentage and top percentage. The indicator will calculate the top %...
This indicator aims to compare between two charts if trader isn't sure which one is more active and powerful, it does NOT show entries or help your chart analysis directly. The main features of this indicator is to show vitality and range of any given chart. Volatility: it calculates the average profit of every swing in the range and the final result will be...
The Percentage Range Indicator is useful for assessing the volatility of pairs for percentage-based grid bots. The higher the percentage range for a given time period, the more trades a grid bot is likely to generate in that period. Conversely, a grid bot can be optimised by using grids that are less than the Percentage Range Indicator value. I have been using...
This script performs the basic Shannon entropy on the closing value of the stock. Additionally, it performs the trailing first and second derivatives of the Shannon Entropy, giving you more information about its movement. You can change the "Source" to be whatever value you like.
The main purpose of this indicator is to facilitate backtesting, but it may also be useful for traders to easily identify the current active/open trading sessions on lower-timeframe charts. This indicator also tracks the session high/low difference and plots it as a label on the last candle of the session once the last bar of that session has finished printing...
This script provides realized volatility (rv), implied volatility (iv), and volatility risk premium (vrp) information for each of CBOE's volatility indices. The individual outputs are: - Blue/red line: the realized volatility. This is an annualized, 20-period moving average estimate of realized volatility--in other words, the variability in the instrument's...
Function: - Can be used to evaluate the performance of a portfolio containing 2 assets over a set time interval - Shows the % return of the portfolio over the time interval defined by the user - Includes a threshold rebalancing algorithm to show the effects that rebalancing has on the portfolio over the long term - Created to evaluate of the performance of...
Sara Strat Sniper 50% Rule Evaluator █ OVERVIEW This indicator is based on Sara Strat Sniper's - 50% Rule for trading Outside Bars and helps you to evaluate the historical success rate of that rule. █ FEATURES Calculation • You can choose to evaluate only the current bar to see if it forms an outside bar (success) or not (fail), but you can also...