Регистрация

Поиск скриптов по запросу "Volatility"

ATR Volatility Spectrum This indicator estimates price volatility and it is based on ATR only. The advantage of this indicator is that it can be used with any pair, any time frame. The fluctuations of a short period ATR with respect to a gently ATR with high period are calculated. The only parameters are the periods of the reference ATR and fast ATR, which could be safely let untouched and modified by experts. RED areas depict low volatility GREEN areas depict high volatility. When the clouds are outside the region delimited by the aqua lines we have extreme conditions: Extremely low volatility = red cloud outside the aqua bands Extremely high volatility = green cloud outside the aqua bands Vitelot/yanez/Vts December 2018. Hitting the like button is free act of gratitude
Индикатор Pine Script®
от vitelot
2
Black-Scholes Probability Model with Time-Based VolatilityI developed this tool to automate probability calculations and to verify if Polymarkets accurately reflects Bitcoin's value. The indicator uses a modified Black-Scholes model to estimate the likelihood of Bitcoin exceeding or falling below a $97,000 strike price by a specified end date, providing a "fair value" probability. Key Features: - Timeframe Control: Displays data only between a defined start and end date, ensuring relevance during the prediction period. - Dynamic Volatility Calculation: Offers a choice between manual input and auto-calculated annualized volatility. The auto-calculation derives historical volatility from recent price data over a selected lookback period and adjusts it based on the time remaining until expiration. More time implies greater expected price movement; less time indicates a narrower expected range. - Probability Estimation: Calculates an adjusted parameter (d1) and applies a normal cumulative distribution function (CDF) to determine: - "Yes" (Green Line): Probability that Bitcoin will exceed $97,000. - "No" (Red Line): Probability that Bitcoin will remain below $97,000. When Bitcoin's price is exactly $97,000, the tool sets the probabilities to a balanced 50/50 split, indicating fair value. - Fair Value Indicator: Includes a static white reference line at 50% probability. A 50/50 probability suggests Bitcoin is fairly valued at $97,000; deviations indicate potential overvaluation or undervaluation. - Polymarkets Tracking & Trading Strategy: I use Polymarkets to access cost-effective, high-leverage long call options on Bitcoin. However, these options don't always mirror Bitcoin's price movements precisely. For instance, if I anticipate Bitcoin rising from $95,000 to $97,000 by day's end, the tool might show a fair value probability of 50%. If Polymarkets quotes a 50% chance, the alignment indicates a fair trade. In such cases, I can avoid an unfavorable trade or exploit the difference as an arbitrage opportunity. - Personal Motivation: This indicator eliminates the need for manual calculations and ensures I can quickly assess when Polymarkets' pricing aligns with Bitcoin's actual value, leading to more informed trading decisions. This tool automates probability and fair value assessments, serving as a practical resource for verifying and potentially capitalizing on discrepancies in Polymarkets' Bitcoin pricing. It helps identify when there's a mismatch between the market's implied probability and the calculated fair value, allowing me to avoid unnecessary premiums on high-leverage options.
Индикатор Pine Script®
от UnknownUnicorn39270088
Ultimate Volatility Scanner by NHBprod - Requested by Client!Hey Everyone! I created another script to add to my growing library of strategies and indicators that I use for automated crypto and stock trading! This strategy is for BITCOIN but can be used on any stock or crypto. This was requested by a client so I thought I should create it and hopefully build off of it and build variants! This script gets and compares the 14-day volatility using the ATR percentage for a list of cryptocurrencies and stocks. Cryptocurrencies are preloaded into the script, and the script will show you the TOP 5 coins in terms of volatility, and then compares it to the Bitcoin volatility as a reference. It updates these values once per day using daily timeframe data from TradingView. The coins are then sorted in descending order by their volatility. If you don't want to use the preloaded set of coins, you have the option of inputting your own coins AND/OR stocks! Let me know your thoughts.
Индикатор Pine Script®
от nhbprod
VARS 2.0: Volatility Adapted Relative StrengthVARS 2.0 (Volatility Adapted Relative Strength) Basically, my VARS 2.0 indicator uses a stock's alpha in comparison to the SPX to determine whether there is relative strength on an volatility adjusted basis. The idea for this indicator owes quite obviously to Matt Caruso . In this indicator I combine his Alpha Bars indicator with my interpretation of his CARS indicator, whose calculations are unknown to me. The goal of this indicator is to give a representation of an asset's relative strength adjusted to its volatility. To find out if this is not only theoretically superior to a more simple representation such as by means of the classic RS Line , but also practically , this indicator is build. I made this indicator freely available, so that everyone can make up his own mind about it. The representation with the alpha bars also offers the possibility to keep an eye on the daily relative strength, which is a complement to my former version of it. This time I limited myself to only one alpha timeframe because I believe the strength of the RS can be more clearly captured based on the EMAs. I also believe that the absolute strength of VARS is not the key point for traders, but rather its duration, as this is a sign of institutional accumulation. Have fun and success trying it out! Btw. The variables such as alpha and beta and the EMAs, which are used to calculate VARS, are largely freely definable. The default values are to be considered as suggestions.
Индикатор Pine Script®
от Quuh
3
(JS) S&P 500 Volatility Oscillator For OptionsThe idea for this started here: www.tradingview.com with the user @dime This should only be used on SPX or SPY (though you could use it on other things for correlation I suppose) given that the instrument used to create this calculation is derived from the S&P 500 (thank you VIX). There's a lot of moving parts here though, so allow me to explain... First: The main signal is when Implied Volatility (from VIX) drops beneath Historical Volatility - which is what you want to see so you aren't purchasing a ton of premium on long options. Green and above 0 means that IV% has dropped lower than Historical Volatility. (this signal, for example, would suggest using a Long Call or Put depending on your sentiment) Second: The green line running underneath zero is the bottom portion of the "Average True Range" derived from the values used to create the oscillator. the closer the bottom histogram is to the green line, the more "normal" IV% is. Obviously, if this gets far away from the line then it could be setting up nicely to short options and sell the IV premium to someone else. (this signal, for example, would suggest using something like a Bull Put Spread) Third: The red background along with the white line that drops down below zero signals when (and how far) the IV% from 3 months out (from VIX3M) is less than the current IV%. This would signal the current environment has IV way too high, a signal to short options once again (and don't take any long option positions!). Tried to make this simple, yet effective. If you trade options on SPX, SPY, even ES1! futures - this is a tool tailored specifically for you! As I said before, if you want you can use it for correlation on other securities. Any other ideas or suggestions surrounding this, please let me know! Enjoy!
Индикатор Pine Script®
от J-Streak
3
Relative Volatility Index The RVI is a modified form of the relative strength index (RSI). The original RSI calculation separates one-day net changes into positive closes and negative closes, then smoothes the data and normalizes the ratio on a scale of zero to 100 as the basis for the formula. The RVI uses the same basic formula but substitutes the 10-day standard deviation of the closing prices for either the up close or the down close. The goal is to create an indicator that measures the general direction of volatility. The volatility is being measured by the 10-days standard deviation of the closing prices.
Индикатор Pine Script®
от HPotter
3
ATR SpikesVolatility Spike Indicator (ATR based) I read some of Adam Grimes' work and found he uses a tool called sigma spikes, his concept is to mark significance to daily bars that have returns over x standard deviations of a 20 period average of returns. I have adapted this idea for intra day trading. I've used an ATR and marked significance to any bar with a range greater than 4 standard deviations of the ATR, this results in attention being drawn to bars with strong momentum behind them and often results in strong follow through. Additionally, I have included a MA crossover (fast/slow) filter to the indicator, this removes any signals that are counter- short term trend/momentum. This is a powerful tool for momentum traders as it clearly shows points when the market has significant volatility.
Индикатор Pine Script®
от MINDEET
4
FVE Volatility color-coded Volume bar The FVE is a pure volume indicator. Unlike most of the other indicators (except OBV), price change doesn?t come into the equation for the FVE (price is not multiplied by volume), but is only used to determine whether money is flowing in or out of the stock. This is contrary to the current trend in the design of modern money flow indicators. The author decided against a price-volume indicator for the following reasons: - A pure volume indicator has more power to contradict. - The number of buyers or sellers (which is assessed by volume) will be the same, regardless of the price fluctuation. - Price-volume indicators tend to spike excessively at breakouts or breakdowns. This study is an addition to FVE indicator. Indicator plots different-coloured volume bars depending on volatility.
Индикатор Pine Script®
от HPotter
2
Hawkes Volatility Exit IndicatorOverview The Hawkes Volatility Exit Indicator is a powerful tool designed to help traders capitalize on volatility breakouts and exit positions when momentum fades. Built on the Hawkes process, it models volatility clustering to identify optimal entry points after quiet periods and exit signals during volatility cooling. Designed to be helpful for swing traders and trend followers across markets like stocks, forex, and crypto. Key Features Volatility-Based Entries: Detects breakouts when volatility spikes above the 95th percentile (adjustable) after quiet periods (below 5th percentile). This indicator is probably better on exits than entries. Smart Exit Signals: Triggers exits when volatility drops below a customizable threshold (default: 30th percentile) after a minimum hold period. Hawkes Process: Uses a decay-based model (kappa) to capture volatility clustering, making it responsive to market dynamics. Visual Clarity: Includes a volatility line, exit threshold, percentile bands, and intuitive markers (triangles for entries, X for exits). Status Table: Displays real-time data on position (LONG/SHORT/FLAT), volatility regime (HIGH/LOW/NORMAL), bars held, and exit readiness. Customizable Alerts: Set alerts for breakouts and exits to stay on top of trading opportunities. How It Works Quiet Periods: Identifies low volatility (below 5th percentile) that often precede significant moves. Breakout Entries: Signals bullish (triangle up) or bearish (triangle down) entries when volatility spikes post-quiet period. Exit Signals: Suggests exiting when volatility cools below the exit threshold after a minimum hold (default: 3 bars). Visuals & Table: Tracks volatility, position status, and signals via lines, shaded zones, and a detailed status table. Settings Hawkes Kappa (0.1): Adjusts volatility decay (lower = smoother, higher = more sensitive). Volatility Lookback (168): Sets the period for percentile calculations. ATR Periods (14): Normalizes volatility using Average True Range. Breakout Threshold (95%): Volatility percentile for entries. Exit Threshold (30%): Volatility percentile for exits. Quiet Threshold (5%): Defines quiet periods. Minimum Hold Bars (3): Ensures positions are held before exiting. Alerts: Enable/disable breakout and exit alerts. How to Use Entries: Look for triangle markers (up for long, down for short) and confirm with the status table showing "ENTRY" and "LONG"/"SHORT." Exits: Exit on X cross markers when the status table shows "EXIT" and "Exit Ready: YES." Monitoring: Use the status table to track position, bars held, and volatility regime (HIGH/LOW/NORMAL). Combine: Pair with price action, support/resistance, or other indicators for better context. Tips : Adjust thresholds for your market: lower breakout thresholds for more signals, higher exit thresholds for earlier exits. Test on your asset to ensure compatibility (best for markets with volatility clustering). Use alerts to automate signal detection. Limitations Requires sufficient data (default: 168 bars) for reliable signals. Check "Data Status" in the table. Focuses on volatility, not price direction—combine with trend tools. May lag slightly due to the smoothing nature of the Hawkes process. Why Use It? The Hawkes Volatility Exit Indicator offers a unique, data-driven approach to timing trades based on volatility dynamics. Its clear visuals, customizable settings, and real-time status table make it a valuable addition to any trader’s toolkit. Try it to catch breakouts and exit with precision! This indicator is based on neurotrader888's python repo. All credit to him. All mistakes mine. This conversion published for wider attention to the Hawkes method.
Индикатор Pine Script®
от bearbearbull23
Market Volatility and Price Momentum @MaxMaserati 2.0# Market Volatility and Price Momentum MaxMaserati 2.0 (MVPM 2.0) ## Overview MVPM 2.0 is a premium multi-factor technical analysis system that combines momentum evaluation, volatility band analysis, trend filtering, and price action to identify high-probability trading opportunities. This advanced indicator uses a proprietary algorithm to measure market sentiment through four distinct technical components, providing clear visual signals through gradient bar coloring and special equilibrium markers. ## Key Features ### Multi-Factor Analysis System The indicator evaluates four critical market components: - **Momentum (M)**: Analyzes the relationship between momentum lines to detect directional bias - **Volatility (V)**: Measures price position relative to adaptive volatility bands - **Trend (T)**: Uses a sophisticated two-pole filter to determine trend direction - **Price Action (P)**: Tracks price movement relative to momentum lines ### Innovative Tick-Based Calculation - **Mathematical Precision**: Uses market-relevant tick size (0.25) as the foundational unit for indicator calculations - **Configurable Tick Separation**: Adjust the number of ticks between momentum and signal lines (0.1-10.0) to fine-tune sensitivity - **Adaptive Calibration**: Lower tick values create earlier, more sensitive signals; higher values provide stronger confirmation - **Market-Specific Optimization**: Perfect for customizing across different instruments, timeframes, and volatility conditions - **Technical Edge**: The tick-based approach ensures mathematically precise signals that respect each market's natural price structure ### Dual Volatility Band Modes - **Long Term Trend Mode**: Volatility bands calculated independently from momentum lines, providing broader market context - **Short Term Trend Mode**: Volatility bands anchored to momentum signal line, offering more precise trading ranges ### Visual Signals - **Color-Gradient Bars**: Displays signal strength (1-4) through color intensity - Deeper green/lime: Strong bullish conviction (more factors aligned) - Deeper red: Strong bearish conviction (more factors aligned) - Yellow: Market equilibrium (equal bullish and bearish factors) - Black Circle Markers**: Special signals that appear at equilibrium of price which means ranging/consolidation/pause points ### Customizable Information Table - **Fully Configurable Display**: Toggle individual rows on/off - **Positioning & Sizing**: Adjust table location and size to fit your chart layout ## Price Position Interpretation ### Directional Bias Determination - **Strong Bullish**: Price above all indicator lines (momentum, signal, and volatility bands) - **Strong Bearish**: Price below all indicator lines - **Consolidation/Neutral**: Price between indicator lines, especially within volatility bands ### Market Participation Assessment - **Inside Volatility Bands**: Insufficient market participants to establish clear direction - **Short-Term Volatility Mode Advantage**: More clearly defines the neutral zone where price is caught between momentum lines and volatility bands - **Consolidation Identification**: When price fluctuates between all indicator lines, market is seeking equilibrium Trading Strategies Momentum Breakouts Wait for price to break above/below all the lines with a body close. Green for Bullish and Red for Bearish For Short Term Mode: Look for the first retest of any of the indicator lines (momentum or signal lines) Wait for a reaction with body close candle (a candle that remains green/red is significantly more reliable) Confirm that the reaction candle's body closes below/above all indicator lines Enter after this precise line test and reaction sequence Bearish Example Bullish example For Long Term Mode: Look for the first retest of the Bullish/bearish volatility lines without closing above/below these lines Wait for a reaction with body close candle (a candle that remains green/red is significantly more reliable) Confirm that the reaction candle's body closes below/above all indicator lines Enter after this precise volatility band test and reaction sequence. Bearish example Bullish Example NO ENTRY EXAMPLE Volatility Band Mean Reversion Identify when price is near or beyond volatility bands Look for reversal candlestick patterns or divergence Enter when price begins moving back toward momentum lines Exit when price reaches the opposite volatility band or momentum line Post-Breakout Continuation After price crosses all indicator lines, wait for a pullback Enter when price retests but respects any indicator line as support/resistance Confirm with multi-factor alignment (3-4 strength) in the breakout direction Trail stops behind retested indicator lines as trade progresses Tick Optimization Strategy Start with default tick separation (1.0) For ranging markets: Increase tick separation (2.0-3.0) to reduce false signals For trending markets: Decrease tick separation (0.5-0.8) for earlier entries Fine-tune tick values for each specific instrument based on its volatility profile Conclusion MVPM 2.0 provides traders with a comprehensive market analysis system that identifies high-probability setups through multi-factor confirmation. The groundbreaking tick-based calculation method, dual volatility band modes, and price position analysis work together to create a powerful edge in any market condition. By understanding the relationships between price and the indicator's lines, traders can precisely identify insufficient market participation zones, optimal breakout points, and high-probability continuation setups. The configurable tick separation feature allows for unprecedented customization, making this indicator adaptable to any trading style, instrument, or timeframe. Whether you're a trend trader, reversal hunter, or breakout specialist, MVPM 2.0 delivers the technical precision and visual clarity needed for consistent trading performance across all market conditions.
Индикатор Pine Script®
от MaxMaserati
1
EMA Volatility Channel [QuantAlgo]EMA Volatility Channel 🌊📈 The EMA Volatility Channel by QuantAlgo is an advanced technical indicator designed to capture price volatility and trend dynamics through adaptive channels based on exponential moving averages. This sophisticated system combines EMA-based trend analysis with dynamic volatility-adjusted bands to help traders and investors identify trend direction, potential reversals, and market volatility conditions. By evaluating both price momentum and volatility together, this tool enables users to make informed trading decisions while adapting to changing market conditions. 💫 Dynamic Channel Architecture The EMA Volatility Channel provides a unique framework for assessing market trends through a blend of exponential moving averages and volatility-based channel calculations. Unlike traditional channel indicators that use fixed-width bands, this system incorporates dynamic volatility measurements to adjust channel width automatically, helping users determine whether price movements are significant relative to current market conditions. By combining smooth EMA trends with adaptive volatility bands, it evaluates both directional movement and market volatility, while the smoothing parameters ensure stable yet responsive channel adjustments. This adaptive approach allows users to identify trending conditions while remaining aware of volatility expansions and contractions, enhancing both trend-following and reversal strategies. 📊 Indicator Components & Mechanics The EMA Volatility Channel is composed of several technical components that create a dynamic channel system: EMA Midline: Calculates a smoothed exponential moving average that serves as the channel's centerline, providing a clear reference for trend direction. Volatility Measurement: Computes average price movement to determine dynamic channel width, adapting to changing market conditions automatically. Smooth Band Calculation: Applies additional smoothing to the channel bands, reducing noise while maintaining responsiveness to significant price movements. 📈 Key Indicators and Features The EMA Volatility Channel combines various technical tools to deliver a comprehensive analysis of market conditions. The indicator utilizes exponential moving averages with customizable length and smoothing parameters to adapt to different trading styles. Volatility calculations are applied to determine channel width, providing context-aware boundaries for price movement. The trend detection component evaluates price action relative to the channel bands, helping validate trends and identify potential reversals. The indicator incorporates multi-layered visualization with color-coded channels and bars to signal both trend direction and market position. These adaptive visual cues, combined with programmable alerts for channel breakouts, help traders and investors track both trend changes and volatility conditions, supporting both trend-following and mean-reversion strategies. ⚡️ Practical Applications and Examples ✅ Add the Indicator: Add the indicator to your TradingView chart by clicking on the star icon to add it to your favorites ⭐️ 👀 Monitor Channel Position: Watch the price position relative to the channel bands to identify trend direction and potential reversals. When price moves outside the channel, consider potential trend changes or extreme conditions. 🔔 Set Alerts: Configure alerts for channel breakouts and trend changes, ensuring you can act on significant technical developments promptly. 🌟 Summary and Tips The EMA Volatility Channel by QuantAlgo is a versatile technical tool, designed to support both trend following and volatility analysis across different market environments. By combining smooth EMA trends with dynamic volatility-based channels, it helps traders and investors identify significant price movements while measuring market volatility, providing reliable technical signals. The tool's adaptability across timeframes makes it suitable for both trend-following and reversal strategies, allowing users to capture opportunities while maintaining awareness of changing market conditions.
Индикатор Pine Script®
от QuantAlgo
7
Statistical Volatility Injections [neo.|]Introduction: The Statistical Volatility indicator is a versatile tool designed to help traders gauge market volatility over time. By analyzing historical data through a customizable lookback period, it highlights zones of high and low volatility using intuitive colored gradients. This indicator enables traders to make informed decisions by identifying patterns in price movement or volume fluctuations, helping to optimize entries, exits, and overall trading strategy. Description: Volatility plays a critical role in financial markets, influencing price movements and trader behavior. This indicator calculates historical volatility using two approaches: Ranges: Evaluates the price movement by measuring the high-to-low range of candles relative to their closing price. Volume: Considers trading activity by analyzing the volume associated with each candle. By mapping out periods of high and low volatility, the indicator provides traders with actionable insights into time where potential breakouts, reversals, or consolidations are more likely to happen. High volatility zones may indicate strong market movements, while low volatility zones often precede significant price action, giving traders a valuable edge. Key Features: Compare time based volatility between assets: Adaptive display will calculate intraday volatility when under the 1h timeframe, and weekly volatility if on the 1h timeframe or above: OANDA:GBPJPY On the 5min timeframe: OANDA:GBPJPY On the 1h timeframe: Display modes allow the volatility to be viewed as ranges and as bars: How It Works: Data Collection: The script analyzes historical candles using the user-defined lookback period and calculation type. Data Processing: Each candle’s volatility is calculated and stored, enabling comparisons across the selected timeframe. Visual Representation: Using a gradient color scheme, the indicator overlays the results on your chart, highlighting areas of interest based on historical volatility levels. How to Use: Setup: Add the indicator to your chart. Adjust the lookback period, gradient colors, and choose your preferred calculation mode (Ranges or Volume). Interpretation: Look for red zones to identify high-volatility periods—potential breakout or reversal areas. Use yellow zones to anticipate consolidation or low-activity phases. Customization: Enable "Display ranges" to see box height variations reflecting volatility intensity. Use the "Use Table" feature to summarize volatility data for quick reference. Advanced Settings: Adjust style options such as color gradients and overlapping controls for a cleaner chart view.
Индикатор Pine Script®
от neommxm
Low Volatility Range Breaks [BigBeluga]Low Volatility Range Breaks The Low Volatility Range Breaks indicator is an advanced technical analysis tool designed to identify periods of low volatility and potential breakout opportunities. By visualizing low volatility ranges as ranges and tracking subsequent price movements, this indicator helps traders spot potential high-probability trade setups. 🔵 KEY FEATURES ● Low Volatility Detection Identifies periods of low volatility based on highest and lowest periods and user-defined sensitivity Uses a combination of highest/lowest price calculations and ATR for dynamic adaptation ● Volatility Box Visualization Creates a box to represent the low volatility range Box height is adjustable based on ATR multiplier Includes a mid-line for reference within the box ● Breakout Detection Identifies when price breaks above or below the volatility box Labels breakouts as "Break Up" or "Break Dn" on the chart Changes box appearance to indicate a completed breakout ● Probability Tracking Counts the number of closes above and below the box's mid-line Displays probability counters for potential upward and downward moves Resets counters after a confirmed breakout 🔵 HOW TO USE ● Identifying Low Volatility Periods Watch for the formation of volatility boxes on the chart These boxes represent periods where price movement has been confined ● Anticipating Breakouts Monitor price action as it approaches the edges of the volatility box Use the probability counters to gauge the likely direction of the breakout ● Trading Breakouts Consider posible entering trades when price breaks above or below the volatility box Use the breakout labels ("Break Up" or "Break Dn") as a trading opportunity ● Managing Risk Use the opposite side of the volatility box as a potential invalidation level Consider the box height for position sizing and risk management ● Trend Analysis Multiple upward breakouts may indicate a developing uptrend Multiple downward breakouts may suggest a forming downtrend Use in conjunction with other trend indicators for confirmation 🔵 CUSTOMIZATION The Low Volatility Box Breaks indicator offers several customization options: Adjust the volatility length to change the period for highest/lowest price calculations Modify the volatility level to fine-tune the sensitivity of low volatility detection Adjust the box height multiplier to change the size of volatility boxes By fine-tuning these settings, traders can adapt the indicator to various market conditions and personal trading strategies. The Low Volatility Range Breaks indicator provides a unique approach to identifying potential breakout opportunities following periods of consolidation. By visually representing low volatility periods and tracking subsequent price movements, it offers traders a powerful tool for spotting high-probability trade setups. This indicator can be particularly useful for traders focusing on breakout strategies, mean reversion tactics, or those looking to enter trades at the beginning of new trends. The combination of visual cues (boxes and breakout labels) and quantitative data (probability counters) provides a comprehensive view of market dynamics during and after low volatility periods. As with all technical indicators, it's recommended to use the Low Volatility Range Breaks indicator in conjunction with other forms of analysis and within the context of a well-defined trading strategy. While this indicator can provide valuable insights into potential breakouts, it should be considered alongside other factors such as overall market trends, volume, and fundamental analysis when making trading decisions.
Индикатор Pine Script®
от BigBeluga
4