Within Standard Deviation Bounds Probability

2月11日

This indicator calculates the probability of the closing price remaining within the upper and lower bounds defined by the mean and standard deviation of historical percent changes. It also plots the probability line and a horizontal line at 68%, which would be the expected probability for a normal distribution. It is designed to be used with my other indicator "Mean and Standard Deviation Lines.

Inputs:

period (Days): This defines the number of bars used to calculate the mean and standard deviation.

Calculations:

Percent change: Calculates the daily percentage change between closing prices.
Mean and standard deviation: Calculates the mean and standard deviation of the percent changes over the specified period.
Bounds: Calculates the upper and lower bounds by adding/subtracting the standard deviation from the mean, multiplied by the closing price.
Crossover tracking: Iterates through bars and counts crosses above and below the bounds.
Probability calculation: Calculates the total crossover probability as a percentage of the period.
Plotting: Plots the probability line and the horizontal line at 68%.

Limitations:

Assumes a normal distribution of price changes, which may not be accurate in real markets.

Overall:

This indicator provides a way to visualize the probability of the price staying within calculated bounds based on historical volatility. However, it's important to be aware of its limitations and interpret the results within the context of your trading strategy and risk management.

2月15日

リリースノート

added Probability of up/down crossings within the last period.

2月15日

リリースノート

Changed display order to match the Mean and Standard Devialtion Lines indicator

2月18日

リリースノート

added probability of closing above the mean
added horizontal line at 50%

3月7日

リリースノート

change some colors and added the probability to close below the current price as a red line.

3月11日

リリースノート

added horizontal lines at 5% and 95%

3月17日

リリースノート

updated the math. This indicator is a work in progress so be careful when you use it.

5月4日

リリースノート

added probability of the mean to occur with the bar range in purple and changed the default period to 100.

7月2日

リリースノート

copyright notice and cleanup.

8月15日

リリースノート

Cleaned things up to be consistent with the title of the script. The script calculates the probability the close will remain within the bounds shown in mean and standard deviation lines script within the specified period.

10月17日

リリースノート

Updated the script to use built-in functions to calculation sample statistics.
Added separate variables to calculate sample mean and standard deviation.
Added a variable to control probability calculation window.

10月31日

リリースノート

updated the license to Creative Commons BY-NC-ND 4.0