Just a quick trial at using statistical variance/standard deviation as an indicator. The general idea is that higher variance in the short term tends to indicate more volatility/movement. The other thing is that it can help set probabilistic boundaries for movements (e.g., if you set the bars to be 2 standard deviations, you are visualizing a range that denotes...
This script allows you to screen up to 38 symbols for their beta. It also allows you to compare the list to not only SPY but also CRYPTO10! Features include custom time frame and custom colors.
Here is a refresher on what beta is:
Beta (β) is a measure of the volatility—or systematic risk—of a security or portfolio compared to the market as a whole (usually the...
Generalized Black-Scholes-Merton on Variance Form is an adaptation of the Black-Scholes-Merton Option Pricing Model including Numerical Greeks. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options using variance instead of volatility.
Black- Scholes- Merton on Variance Form
In some...
The following comments and descriptions are from from "Problems in the Application of Jump Detection Tests to Stock Price Data" by Michael William Schwert; Professor George Tauchen, Faculty Advisor.
This indicator applies several jump detection tests to intraday stock price data sampled at various frequencies. It finds that the choice of sampling frequency has an...
The standard deviation is a measure of how much a dataset differs from its mean; it tells us how dispersed the data are. A dataset that’s pretty much clumped around a single point would have a small standard deviation, while a dataset that’s all over the map would have a large standard deviation. You can. use this calculation for other indicators.
Given a sample...
Library "Moments"
Based on Moments (Mean,Variance,Skewness,Kurtosis) . Rewritten for Pinescript v5.
logReturns(src) Calculates log returns of a series (e.g log percentage change)
Parameters:
src : Source to use for the returns calculation (e.g. close).
Returns: Log percentage returns of a series
mean(src, length) Calculates the mean of a...
Inspired by the Brownian Motion ("BM") model that could be applied to conducting Monte Carlo Simulations, this indicator plots out the Drift factor contributing to BM.
Interpretation : If the Drift value is positive, then prices are possibly moving in an uptrend. Vice versa for negative drifts.
**This indicator can be applied to the ticker of your choice (not just BTC)**
Markets are said to be "efficient". An efficient market is by definition unpredictable - no matter the amount of ML, computation, or indicators thrown at it. In particular, in an efficient market, TA will not be of help.
An illustration of efficient markets is the WSJ's longstanding...
These variables can be used in comparison with the implied volatility of options.
Variables:
Realized Volatility
mathematical notation lowercase 'sigma'
Realized Variance
mathematical notation lowercase 'sigma' squared
Realized Beta
mathematical notation lowercase 'beta'
Timeframes:
Yearly = 250 or 365
Quarterly = 50 or 90
Monthly = 20 or...
Portfolio Risk Metrics (Part I):
beta 'β'
The beta coefficient can be interpreted as follows:
β =1 exactly as volatile as the market
β >1 more volatile than the market
β <1>0 less volatile than the market
β =0 uncorrelated to the market
β <0 negatively correlated to the market
excerpt from the Corporate Finance Institute
correlation coefficient 'ρxy'...
The Garch (General Autoregressive Conditional Heteroskedasticity) model is a non-linear time series model that uses past data to forecast future variance.
The Garch (1,1) formula is:
Garch = (gamma * Long Run Variance) + (alpha * Squared Lagged Returns) + (beta * Lagged Variance)
The gamma, alpha, and beta values are all weights used in the Garch calculations....
Return the value of a simple moving average with a period within the range min to max such that the variance of the same period is the smallest available.
Since the smallest variance is often the one with the smallest period, a penalty setting is introduced, and allows the indicator to return moving averages values with higher periods more often, with higher...
█ WARNING
Improvements to the following Pine built-ins have deprecated the vast majority of this publication's functions, as the built-ins now accept "series int" `length` arguments:
ta.wma()
ta.linreg()
ta.variance()
ta.stdev()
ta.correlation()
NOTE
For an EMA function that allows a "series int" argument for `length`, please see `ema2()` in...
An idea I had today morning so I had to write. It seems to detect trends well. It has three phases like a semaphor, painting the chart bars of green, yellow or red.
=== Bar Color Meaning ===
Green: uptrend
Yellow: don't care
Red: downtrend
I think it can be useful!
Thanks!
IDEA is to easily spot the length of a calm periods based on OBV.
Some says that after a longer OBV-calm (but not supercalm) period up or down rallies are somewhat more likely)
METHOD: variance of OBV
ADVISE: cannot be used on its own, just with others (RSI, CCI, Coppock, MACD etc.)
Period shall be adjusted to the market.
PERSONAL: I also use it to evaluate...
![WMT: Generalized Black-Scholes-Merton on Variance Form [Loxx]](https://s3.tradingview.com/s/SHgHh05Y_mid.png "Generalized Black-Scholes-Merton on Variance Form [Loxx]")
![WMT: Barndorff-Nielsen and Shephard Jump Statistic [Loxx]](https://s3.tradingview.com/u/UfCrjo2N_mid.png "Barndorff-Nielsen and Shephard Jump Statistic [Loxx]")
![USDCHF: Variance (Welford) [Loxx]](https://s3.tradingview.com/n/nGelcFY5_mid.png "Variance (Welford) [Loxx]")
![TSLA: Drift Study (Inspired by Monte Carlo Simulations with BM) [KL]](https://s3.tradingview.com/a/aDymGrFx_mid.png "Drift Study (Inspired by Monte Carlo Simulations with BM) [KL]")
![BTCUSD: [BCT] Can BTC be predicted or is it purely random?Variance Ratio](https://s3.tradingview.com/j/jvcnhSsN_mid.png "[BCT] Can BTC be predicted or is it purely random?Variance Ratio")
