OPEN-SOURCE SCRIPT
更新済 vol_signal
Note: This description is copied from the script comments. Please refer to the comments and release notes for updated information, as I am unable to edit and update this description.
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USAGE
This script gives signals based on a volatility forecast, e.g. for a stop
loss. It is a simplified version of my other script "trend_vol_forecast", which incorporates a trend following system and measures performance. The "X" labels indicate when the price touches (exceeds) a forecast. The signal occurs when price crosses "fcst_up" or "fcst_down".
There are only three parameters:
- volatility window: this is the number of periods (bars) used in the
historical volatility calculation. smaller number = reacts more
quickly to changes, but is a "noisier" signal.
- forecast periods: the number of periods for projecting a volatility
forecast. for example, "21" on a daily chart means the plots will
show the forecast from 21 days ago.
- forecast stdev: the number of standard deviations in the forecast.
for example, "2" means that price is expected to remain within
the forecast plot ~95% of the time. A higher number produces a
wider forecast.
The output table shows:
- realized vol: the volatility over the previous N periods, where N =
"volatility window".
- forecast vol: the realized volatility from N periods ago, where N =
"forecast periods"
- up/down fcst (level): the price level of the forecast for the next
N bars, where N = "forecast periods".
- up/down fcst (%): the difference between the current and forecast
price, expressed as a whole number percentage.
The plots show:
- blue/red plot: the upper/lower forecast from "forecast periods" ago.
- blue/red line: the upper/lower forecast for the next
"forecast periods".
- red/blue labels: an "X" where the price touched the forecast from
"forecast periods" ago.
+ NOTE: pinescript only draws a limited number of labels.
They will not appear very far into the past.
----------
USAGE
This script gives signals based on a volatility forecast, e.g. for a stop
loss. It is a simplified version of my other script "trend_vol_forecast", which incorporates a trend following system and measures performance. The "X" labels indicate when the price touches (exceeds) a forecast. The signal occurs when price crosses "fcst_up" or "fcst_down".
There are only three parameters:
- volatility window: this is the number of periods (bars) used in the
historical volatility calculation. smaller number = reacts more
quickly to changes, but is a "noisier" signal.
- forecast periods: the number of periods for projecting a volatility
forecast. for example, "21" on a daily chart means the plots will
show the forecast from 21 days ago.
- forecast stdev: the number of standard deviations in the forecast.
for example, "2" means that price is expected to remain within
the forecast plot ~95% of the time. A higher number produces a
wider forecast.
The output table shows:
- realized vol: the volatility over the previous N periods, where N =
"volatility window".
- forecast vol: the realized volatility from N periods ago, where N =
"forecast periods"
- up/down fcst (level): the price level of the forecast for the next
N bars, where N = "forecast periods".
- up/down fcst (%): the difference between the current and forecast
price, expressed as a whole number percentage.
The plots show:
- blue/red plot: the upper/lower forecast from "forecast periods" ago.
- blue/red line: the upper/lower forecast for the next
"forecast periods".
- red/blue labels: an "X" where the price touched the forecast from
"forecast periods" ago.
+ NOTE: pinescript only draws a limited number of labels.
They will not appear very far into the past.
リリースノート
- Changed some variable names around (see comments).- Added fcst_up_pct/fcst_down_pct as plots for emitting as alerts.
- Fixed table label cells/coloring.
オープンソーススクリプト
TradingViewの精神に則り、この作者はスクリプトのソースコードを公開しているので、その内容を理解し検証することができます。作者に感謝です！無料でお使いいただけますが、このコードを投稿に再利用する際にはハウスルールに従うものとします。
免責事項
これらの情報および投稿は、TradingViewが提供または保証する金融、投資、取引、またはその他の種類のアドバイスや推奨を意図したものではなく、またそのようなものでもありません。詳しくは利用規約をご覧ください。
オープンソーススクリプト
TradingViewの精神に則り、この作者はスクリプトのソースコードを公開しているので、その内容を理解し検証することができます。作者に感謝です！無料でお使いいただけますが、このコードを投稿に再利用する際にはハウスルールに従うものとします。
免責事項
これらの情報および投稿は、TradingViewが提供または保証する金融、投資、取引、またはその他の種類のアドバイスや推奨を意図したものではなく、またそのようなものでもありません。詳しくは利用規約をご覧ください。