Bridge Bands (doc)This is a documented version of the Bridge Bands indicator published by @calebsandfort under the Mozilla Public License.
My 'enhancement' here is simply to add documentation to the code to assist new users in their understanding.
Riskranges
Bridge Bands [joecat808]Bridge Bands are an implementation of the work done by Joe Catanzaro (joecat808) to produce a risk range for a security.
The basic idea is to calculate Mandelbrot's "Bridge Range". (Pg. 179 of Misbehavior of Markets)
It then calculates Bollinger Bands.
Then next step is to calculate the Hurst Exponent.
The last step is to merge the Bridge Range and the Bollinger Bands. The basic concept is if H = .5 we use the Bollinger Bands and the farther away we move from .5 in either direction the Bridge Range takes more precedent.
There is a Trend value that is the mid-point of a 3 month Donchian Channel. If price is above we're bullish, if price is below we're bearish.
Lastly, there is also an option info box with data regarding the underlying's position within the range, as well as an experimental position size calculation.
Daily Risk RangesThis indictor creates daily Risk Ranges using historical volatility, volatility skew and vol-of-vol.
