This indictor creates daily Risk Ranges using historical volatility, volatility skew and vol-of-vol.
Информация о релизе
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Bug fixes
Информация о релизе
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I changed the code to use Cornish-Fisher approximation to define the skew of the range using the volatility skew and kurtosis. I also changed the volatility parametre to respond quicker to increases in volatility than decreases in volatility to avoid paying the price for hidden volatility.
@lagobrian23, I see that there are some hard coding numbers in the cumulants i.e. 24 in third term and 36 in fourth term. Why is that the case? I can guess that 6 is 3! and 24 is 4! But I can't seem to figure out 36. Thanks man and great code!
bruitdefond
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thanks. how is this one different from the other script?
lagobrian23
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@bruitdefond , this one is mine and I'll be adding some features soon. The other one was for someone else