Description: Drawdown was a tool to measure historical risk, derived from measuring current wealth from its previous peak, casually from portfolio construction (weights allocation), will consider to having a minimum drawdown. In this indicator, the drawdown for individual assets is utilized to measure its value or percentage from its trailing peak (default to...
What is the Indicator? • The indicator is a visualization of maximum price in which the respective index can go up to in comparison with it's Volatility Index or VIX. Who to use? • Intraday • Swing • Position • Long term Investors • Futures • Options • Portfolio Managers • Mutual Fund Managers • Index Traders • Volatility based Traders • Long term Investors...
view on 1m chart, vol is calculated from previous 1440 1m closes
OVERVIEW The Average True Range Moving Average (ATRMA) is a technical indicator that gauges the amount of volatility currently present in the market, relative to the historical average volatility that was present before. It adds a moving average to the Average True Range (ATR) indicator. This indicator is extremely similar to the VOXI indicator, but instead of...
Volatility is the most common measure of risk. Volatility in this sense can either be historical volatility (one observed from past data), or it could implied volatility (observed from market prices of financial instruments.) The main objective of EWMA is to estimate the next-day (or period) volatility of a time series and closely track the volatility as it...
█ OVERVIEW This indicator serves to measure the volatility of the price in relation to the average. It serves four purposes: 1. Identify abnormal prices, extremely stretched in relation to an average; 2. Identify acceptable prices in the context of the main trend; 3. Identify market crashes; 4. Identify divergences. █ CONCEPTS The LS Volatility Index ...
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...
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...
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...