Candle-Box RatioVolatility compression/expansion indicator calculated from the ratio of the area of the candles to the area of a rectangle encompassing the candles over n bars.
Generally during a squeeze or compression the ratio between the candles and the rectangular area increases, ie the candles occupy a larger portion of the rectangle, and vice versa during a release/expansion. It is inherently low lag due to the lack of any averaging in the calculation since the start of an expansion/breakout will instantly change the dimensions of the encompassing rectangle and the corresponding ratio. A potential downside is that different lengths will produce significantly different results which will require tuning to optimize for specific instruments and timeframes.
Additional standard deviation bands to identify potential points of volatility change and the option to normalize the output using the stdev bands.
在腳本中搜尋"Volatility"
RSI (w/ Curve and Volatility)This is a centered triple oscillator which measures RSI, RVI (volatility), and Coppock Curve (trend). This is centered so it ranges from negative 50 to positive 50. This indicator is used most accurately when all 3 indicators show above/below 0.
RSI is the bright pink line. RSI determines strength in a direction. When it is above 20 or below -20, a pullback is likely - this could be a prime time to scale out of position. Remember do not enter a trade just because it is oversold, as the strength is still greatly against you.
RVI is the thin lighter line. RVI was created by Donald Dorsey to use in conjunction with other indicators. The instructions for using RVI is to sell/short when below -10 and buy/cover when above 10. Use this indicator to confirm your bias.
The purple area is the Coppock curve . This curve is used to analyze longer term trends in a chart. RSI and RVI struggle to indicate long term trends, use the Coppock curve to confirm your bias. The curve is bullish when above 0 and bearish when below 0. Be cautious when trying to buy or sell it early when its falling. If it is falling and pops back up without reaching 0, it is typically indicate of a big price movement in that direction.
CryptoMedication's Volatility RSI
So, here's what we ended up doing for the most recent one that we created.
1. We took the ATR (Average True Range) - You can read about that here: medium.com
2. Then applied the Bollinger Bands %B to it
3. Then overlayed it with another indicator
Purpose:
The general purpose of this indicator is to identify when there are periods of consolidation or if there were be a large increase in the price (going either way). However, we were able to plug this in so that it connected with the RSI (after cancelling out the noise and smoothing values*making it scaled out evenly), so that it also produces buy/sell signals.
If you're interested to get a more in-depth overview of how this works, visit this link here: medium.com
[tududu] Volatilidade Lenta (Slow Volatility)Um modelo de volatilidade lenta baseado nas bandas de 91 períodos em até 4 desvios padrões. Tenho utilizado esse modelo para identificar oportunidades de alavancagem em condições extremas de mercado. Considero o modelo usual de Bollinger muito suscetível a ruídos e incapaz de lidar com acréscimo súbito de volatilidade, por isso busquei um rastreamento lento mais confiável com sinais de menor frequência. A princípio deve ser utilizado no diário, porém mesmo no intradiário pode ser um indicador mais confiável que as bandas de 20 períodos.
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Slow Volatility model based on 91 SMA up to 4 standard deviations. It can be used as 'leverage indicator' ,pinpointing extreme market conditions that allows safer leverage. Usual Bollinger Bands are way too prone to noise, so this slow variant is much more reliable, albeit it provides much less frequent signals. To be used on daily chart, but feel free to test it on intraday charts.
Price Action Volatility FilterThis creates a none oscillating histogram that shows price action without lower time frame volatility to help show bias for use with macd or entries with other trending indicators.
[RS]Volatility Explosive Measure V0EXPERIMENTAL:
Measures the volatility range of current price range, can help detect squeezes as well explosive moves
yuthavithi volatility based force trade scalper strategyI have converted my volatility based force scalper into strategy. Nice to see it is so profitable. Work best with Heikin Ashi bar.
Vervoort Volatility Bands [LazyBear]This is Mr. Vervoort's take on volatility bands. Sticking to his style, he uses highly smoothed data everywhere, also improves on the way the bands are calculated. Is this better than others? I will let you guys decide :)
More info:
www.traders.com
List of my other indicators:
- Chart:
- GDoc: docs.google.com
FVE (Volatility Modified) This is another version of FVE indicator that we have posted earlier
in this forum.
This version has an important enhancement to the previous one that`s
especially useful with intraday minute charts.
Due to the volatility had not been taken into account to avoid the extra
complication in the formula, the previous formula has some drawbacks:
The main drawback is that the constant cutoff coefficient will overestimate
price changes in minute charts and underestimate corresponding changes in
weekly or monthly charts.
And now the indicator uses adaptive cutoff coefficient which will adjust to
all time frames automatically.
Volatility Inverse Correlation CandleThis is an educational tool that can help you find direct or inverse relations between two assets.
In this case I am using VIX and SPX .
The way it works is the next one :
So I am looking at the current open value of VIX in comparison with the previous close ( if it either above or below) and after on the SPX I am looking into the history and see for example which type of candle we had in respect with the opening value from VIX .
So for example, lets imagine that today is monday, and the weekly open value from VIX was higher than previous friday close value. Now I am going to see with the inverse correlation , if based on this idea, the current weekly candle from SPX finished in a bear candle.
The same can be applied for the bearish situation, so if we had an open from VIX lower than previous close, we are looking to check the SPX bull candle accuracy.
At the same time, for a different type of calculation I have added an internal lookup into heikin ashi values.
If you have any questions please let me know !
Volatility ArbitrageDescription:
This indicator uses rate of change (ROC) indicator and its standard deviations.
ROC values are cycling around zero, i.e. around the mean.
Two standard deviations of the ROC draw the upper and the lower bounds that serve as thresholds.
These capture outliers that can be used as signals.
Volatility InfoThis indicator is an information panel. It shows 4 hours, daily and weekly price changes.
Lookback period and all three resolutions can be change in indicator settings.
It is very easy to add more symbols in the script.
Happy trading.
Volatility based Standarde Deviation and Fib. Pivot PointsThis indicator plots Standard deviation levels and Fib. Pivot Points. I prefer to use only SD levels but Fib. levels also come handy in providing support and resistance.
How to use this indicator:
You have to manually enter instrument's Closing Price / Settlement Price and VIX closing price to draw each day's levels.
For NQ, I use VXN closign price and for ES or RTY, I use VIX closing price.
This indicator can be used on individual stocks and forex pairs.
Trailing Stop Loss SuperTrendThe Trailing Stop Loss SuperTrend indicator is a popular technical analysis tool used by traders to identify trends and determine optimal entry and exit points in financial markets. This indicator combines elements of the SuperTrend indicator and trailing stop loss orders to provide valuable insights into market trends and potential reversals. By incorporating Average True Range (ATR) calculations, it adapts to market volatility, making it suitable for various trading strategies. Let's explore the key use cases and benefits of the Trailing Stop Loss SuperTrend indicator:
Trend Identification:
The primary purpose of the Trailing Stop Loss SuperTrend indicator is to identify market trends. It plots two lines on the chart: an upper band (referred to as the "up" line) and a lower band (referred to as the "dn" line). The direction of these bands helps traders determine the prevailing trend. When the price is above the upper band, it suggests a bullish trend, and when it is below the lower band, it indicates a bearish trend.
Entry and Exit Signals:
The Trailing Stop Loss SuperTrend indicator generates entry and exit signals based on trend changes. When the trend changes from bearish to bullish, a buy signal is triggered, indicating a potential entry point. Conversely, when the trend changes from bullish to bearish, a sell signal is generated, suggesting a possible exit or short-selling opportunity. These signals can be used in conjunction with other trading strategies or indicators to enhance trading decisions.
Trailing Stop Loss Orders:
One of the distinguishing features of the Trailing Stop Loss SuperTrend indicator is its ability to incorporate trailing stop loss orders. Traders can use the indicator's upper and lower bands as trailing stop levels to protect profits and manage risk. For example, in a bullish trend, the stop loss level can be set at the lower band, and as the price rises, the stop loss level trails along with it, locking in profits and reducing potential losses.
Volatility Adaptation:
By incorporating the ATR (Average True Range) calculation, the Trailing Stop Loss SuperTrend indicator adjusts its sensitivity to market volatility. A higher ATR multiplier widens the distance between the price and the bands, accommodating higher volatility, while a lower multiplier tightens the bands during periods of lower volatility. This adaptability makes the indicator versatile and suitable for various market conditions.
Alerts and Notifications:
The Trailing Stop Loss SuperTrend indicator provides the ability to set alerts for specific events, such as trend changes, buy signals, and sell signals. Traders can receive real-time notifications via email, SMS, or on-platform alerts, ensuring they stay informed about potential trading opportunities and important market developments.
Conclusion:
The Trailing Stop Loss SuperTrend indicator is a valuable tool for traders seeking to identify trends, generate entry and exit signals, and effectively manage risk. Its ability to adapt to market volatility and incorporate trailing stop loss orders enhances trading strategies and decision-making. By combining the SuperTrend concept with trailing stop loss functionality, this indicator provides traders with a comprehensive approach to trend analysis and risk management. Whether used in isolation or in conjunction with other indicators, the Trailing Stop Loss SuperTrend indicator offers a powerful tool for navigating the dynamic world of financial markets.
ATR > VXN Alert (5m)ATR > VXN Volatility Divergence Indicator
This custom TradingView indicator monitors real-time volatility divergence between realized volatility (via Average True Range, ATR) and implied volatility (via the CBOE NASDAQ Volatility Index, VXN). It is inspired by the GJR-GARCH (Glosten-Jagannathan-Runkle Generalized Autoregressive Conditional Heteroskedasticity) model, which captures asymmetric volatility dynamics—particularly how markets respond more sharply to negative shocks than to positive ones.
Core Logic:
Chart on NQ (5 minute timeframe)
ATR (5-min) reflects realized intraday volatility of the Nasdaq 100 futures (NQ).
VXN (5-min, delayed) represents forward-looking implied volatility.
The indicator highlights regime shifts in volatility:
ATR < VXN: Volatility compression → potential energy building up (market coiling).
ATR > VXN: Volatility expansion → real movement exceeds expectations → potential breakout zone.
Visuals & Alerts:
Background turns green when ATR crosses above VXN, signaling a bullish expansion regime.
Background turns red when ATR drops below VXN, signaling compression or risk-off environment.
Custom alerts trigger on volatility regime shifts for breakout traders.
Application (Manual GJR-GARCH Strategy):
Similar to how the GJR-GARCH model captures volatility clustering and asymmetry, this indicator identifies when actual price volatility (ATR) begins to spike beyond implied forecasts (VXN), often after periods of contraction—mirroring a conditional variance shock in the GARCH framework.
Traders can align with directional bias using technical confluence (order flow, structure breaks, liquidity zones) once expansion is confirmed.
VolatilityLibrary "Volatility"
Functions for determining if volatility (true range) is within or exceeds normal.
The "True Range" (ta.tr) is used for measuring volatility.
Values are normalized by the volume adjusted weighted moving average (VAWMA) to be more like percent moves than price.
current(len) Returns the current price adjusted volatitlity ratio.
Parameters:
len : Number of bars to get a volume adjusted weighted average price.
normal(len, maxDeviation, level, gapDays, spec, res) Returns the normal upper range of volatility. Compensates for overnight gaps within a regular session.
Parameters:
len : Number of bars to measure volatility.
maxDeviation : The limit of volatility before considered an outlier.
level : The amount of standard deviation after cleaning outliers to be considered within normal.
gapDays : The number of days in the past to measure overnight gap volaility.
spec : session.regular (default), session.extended or other time spec.
res : The resolution (default = '1440').
isNormal(len, maxDeviation, level, gapDays, spec, res) Returns true if the volatility (true range) is within normal levels. Compensates for overnight gaps within a regular session.
Parameters:
len : Number of bars to measure volatility.
maxDeviation : The limit of volatility before considered an outlier.
level : The amount of standard deviation after cleaning outliers to be considered within normal.
gapDays : The number of days in the past to measure overnight gap volaility.
spec : session.regular (default), session.extended or other time spec.
res : The resolution (default = '1440').
severity(len, maxDeviation, level, gapDays, spec, res) Returns ratio of the current value to the normal value. Compensates for overnight gaps within a regular session.
Parameters:
len : Number of bars to measure volatility.
maxDeviation : The limit of volatility before considered an outlier.
level : The amount of standard deviation after cleaning outliers to be considered within normal.
gapDays : The number of days in the past to measure overnight gap volaility.
spec : session.regular (default), session.extended or other time spec.
res : The resolution (default = '1440').
VolatilityCheckerLibrary "VolatilityChecker"
Volatility is judged to be high when the range of one period is greater than the ATR of another period.
is_high(_periods, _smooth, _atr_periods, _atr_times) Return true if the volatility is high.
Parameters:
_periods : Range Period
_smooth : Smoothes the range width.
_atr_periods : ATR Period
_atr_times : Amplify the calculated ATR.
Returns: {Boolean}
is_low()
VIX and SKEW RSI Moving AveragesSKEW and VIX are both indicators of market volatility and risk, but they represent different aspects.
VIX (CBOE Volatility Index) :.
The VIX is a well-known indicator for predicting future market volatility. It is calculated primarily based on S&P 500 options premiums and indicates the degree of market instability and risk.
Typically, when the VIX is high, market participants view the future as highly uncertain and expect sharp volatility in stock prices. It is generally considered an indicator of market fear.
SKEW Index :.
The SKEW is a measure of how much market participants estimate the risk of future declines in stock prices, calculated by the CBOE (Chicago Board Options Exchange) and derived from the premium on S&P 500 options.
If the SKEW is high, market participants consider the risk of future declines in stock prices to be high. This generally indicates a "fat tail at the base" of the market and suggests that the market perceives it as very risky.
These indicators are used by market participants to indicate their concerns and expectations about future stock price volatility. In general, when the VIX is high and the SKEW is high, the market is considered volatile and risky. Conversely, when the VIX is low and the SKEW is low, the market is considered relatively stable and low risk.
Inverse Relationship between SKEW and VIX
It is often observed that there is an inverse correlation between SKEW and VIX. In general, the relationship is as follows
High VIX and low SKEW: When the VIX is high and the SKEW is low, the market is considered volatile while the risk of future stock price declines is low. This indicates that the market is exposed to sharp volatility, but market participants do not expect a major decline.
Low VIX and High SKEW: A low VIX and high SKEW indicates that the market is relatively stable, while the risk of future declines in stock prices is considered high. This indicates that the market is calm, but market participants are wary of a sharp future decline.
This inverse correlation is believed to be the result of market participants' psychology and expectations affecting the movements of the VIX and SKEW. For example, when the VIX is high, it is evident that the market is volatile, and under such circumstances, people tend to view the risk of a sharp decline in stock prices as low. Conversely, when the VIX is low, the market is considered relatively stable and the risk of future declines is likely to be higher.
SKEWVIX RSIMACROSS
In order to compare the trends of the SKEW and VIX, the 50-period moving average of the Relative Strength Index (RSI) was used for verification. the RSI is an indicator of market overheating or overcooling, and the 50-period moving average can be used to determine the medium- to long-term trend. This analysis reveals how the inverse correlation between the SKEW and the VIX relates to the long-term moving average of the RSI.
how to use
Moving Average Direction
Rising blue for VIXRSI indicates increased uncertainty in the market
Rising red for SKEWRSI indicates optimism and beyond
RSI moving average crossing
When the SKEW is dominant, market participants are considered less concerned about a black swan event (significant unexpected price volatility). This suggests that the market is stable and willing to take risks. On the other hand, when the VIX is dominant, it indicates increased market volatility. Investors are more concerned about market uncertainty and tend to take more conservative positions to avoid risk. The direction of the moving averages and the crossing of the moving averages of the two indicators can give an indication of the state of the market.
SKEW>VIX Optimistic/Goldilocks
VIX>SKEW Uncertainty/turbulence
The market can be judged as follows.
BestRegards
