Naive Algo for Volatility Forecast: indicates the percentage of chances for the underlying to make a break through the current straddle price during time remaining from current bar close till the option expiry. Put it on the chart of an underlying, fill the inputs for current straddle price, how many bars of of chart time frame remains till expiry and what window size to use to make a forecast.
ATTENTION! Big numbers in "Bars till expiry" and "Window Size" inputs are a. Useless b. Makes TVW processing indicator very slow because of large number of iterations to perform.
ATTENTION 2! Algo is really naive and simple and based on historical data, but can be of use together with other volatility predicting signals.
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Algorythm rewritten and got many times faster.
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Updated to Pinescript v5 and calculated bars till expiry