Dual Window Volatility-Scaled Forecast Fan
Dual Window Volatility-Scaled Forecast Fan
This indicator draws a probabilistic forecast fan into the future using a volatility-scaled Monte Carlo simulation of recent log returns, optionally tilted by the current trend so the fan angles upward in an uptrend and downward in a downtrend.
It is a visualization tool for exploring possible price ranges and their relative likelihoods based on recent historical behavior. It is **not** a neural-network model (the original Kronos approach runs outside TradingView) and it does **not** predict the future.
How it works
- Recent log returns are collected over a user-defined context window.
- Hundreds of simulated paths are generated (Bootstrap resampling or Gaussian draws) and scaled to recent volatility. Volatility can optionally mean-revert toward the longer-term level.
- An optional trend tilt (slope of a linear regression on log prices) is added as a per-candle drift. The tilt can be strength-adjusted, capped relative to volatility, and faded over time.
- Two independent windows (short and long) can be run simultaneously, each with its own colors and path count.
- From the simulated paths the script calculates and draws:
- A glowing median path
- Probability bands (roughly p25–p75 and p10–p90)
- Dashed p90 (high case) and p10 (low case) lines
- Faded individual paths (opacity reflects how common similar ending prices are)
- A smoothed end-price histogram showing the distribution of terminal prices
- A “NOW” pane marking the present and the forecast zone
- A table summarizes median, percentage chance up/down, p90/p10 levels, 80% spread, rough coverage of historical 80% bands, regime (trending vs choppy), and a simple trend-following accuracy/edge check on past data.
How to use
1. Add the script to any chart.
2. Adjust the two horizons, number of simulated paths, lookback, volatility window, and sampling method under the Forecast group.
3. Tune the Trend group if you want the fan to follow (or ignore) the measured slope. The optional “trend gate” can flatten the fan when recent trend-following accuracy has been poor.
4. Style options control which elements are drawn, colors for each window, path opacity, histogram bins, etc.
5. The table updates on the last bar and shows results for both windows when the second window is enabled.
Limitations and important notes
- Simulations are based solely on recent historical returns and a simple trend tilt. Markets can (and do) change regime; past volatility and trend behavior are not guaranteed to continue.
- Paths are random samples — more paths produce smoother statistics but cost computation time. Only a limited number of paths are drawn for visual clarity; all are used for the percentages.
- TradingView drawing limits apply (roughly 500 bars into the future). The histogram automatically shrinks if there is not enough room.
- The coverage and trend-accuracy numbers are rough guides calculated on overlapping past forecasts; they are not formal statistical tests.
- The script is computationally heavy on lower timeframes or with very high path counts.
- This is an educational / visualization tool only. It is **not financial advice**. Past simulated ranges do not predict future results.
The script combines a dual-horizon volatility-scaled Monte Carlo of returns, optional trend-tilt with fade and safety caps, likelihood-faded paths, a kernel-smoothed end-price histogram, and built-in historical coverage / trend-edge diagnostics into a single overlay fan. These elements and their visual presentation are original to this publication.
Not financial advice. Use at your own risk.
This indicator draws a probabilistic forecast fan into the future using a volatility-scaled Monte Carlo simulation of recent log returns, optionally tilted by the current trend so the fan angles upward in an uptrend and downward in a downtrend.
It is a visualization tool for exploring possible price ranges and their relative likelihoods based on recent historical behavior. It is **not** a neural-network model (the original Kronos approach runs outside TradingView) and it does **not** predict the future.
How it works
- Recent log returns are collected over a user-defined context window.
- Hundreds of simulated paths are generated (Bootstrap resampling or Gaussian draws) and scaled to recent volatility. Volatility can optionally mean-revert toward the longer-term level.
- An optional trend tilt (slope of a linear regression on log prices) is added as a per-candle drift. The tilt can be strength-adjusted, capped relative to volatility, and faded over time.
- Two independent windows (short and long) can be run simultaneously, each with its own colors and path count.
- From the simulated paths the script calculates and draws:
- A glowing median path
- Probability bands (roughly p25–p75 and p10–p90)
- Dashed p90 (high case) and p10 (low case) lines
- Faded individual paths (opacity reflects how common similar ending prices are)
- A smoothed end-price histogram showing the distribution of terminal prices
- A “NOW” pane marking the present and the forecast zone
- A table summarizes median, percentage chance up/down, p90/p10 levels, 80% spread, rough coverage of historical 80% bands, regime (trending vs choppy), and a simple trend-following accuracy/edge check on past data.
How to use
1. Add the script to any chart.
2. Adjust the two horizons, number of simulated paths, lookback, volatility window, and sampling method under the Forecast group.
3. Tune the Trend group if you want the fan to follow (or ignore) the measured slope. The optional “trend gate” can flatten the fan when recent trend-following accuracy has been poor.
4. Style options control which elements are drawn, colors for each window, path opacity, histogram bins, etc.
5. The table updates on the last bar and shows results for both windows when the second window is enabled.
Limitations and important notes
- Simulations are based solely on recent historical returns and a simple trend tilt. Markets can (and do) change regime; past volatility and trend behavior are not guaranteed to continue.
- Paths are random samples — more paths produce smoother statistics but cost computation time. Only a limited number of paths are drawn for visual clarity; all are used for the percentages.
- TradingView drawing limits apply (roughly 500 bars into the future). The histogram automatically shrinks if there is not enough room.
- The coverage and trend-accuracy numbers are rough guides calculated on overlapping past forecasts; they are not formal statistical tests.
- The script is computationally heavy on lower timeframes or with very high path counts.
- This is an educational / visualization tool only. It is **not financial advice**. Past simulated ranges do not predict future results.
The script combines a dual-horizon volatility-scaled Monte Carlo of returns, optional trend-tilt with fade and safety caps, likelihood-faded paths, a kernel-smoothed end-price histogram, and built-in historical coverage / trend-edge diagnostics into a single overlay fan. These elements and their visual presentation are original to this publication.
Not financial advice. Use at your own risk.
⚡️ Request a trial or subscribe to our premium🛠️tools at ➡️DCAlpha.net
All scripts & content provided by DCAChampion are for informational & educational purposes only.
All scripts & content provided by DCAChampion are for informational & educational purposes only.
إخلاء المسؤولية
لا يُقصد بالمعلومات والمنشورات أن تكون، أو تشكل، أي نصيحة مالية أو استثمارية أو تجارية أو أنواع أخرى من النصائح أو التوصيات المقدمة أو المعتمدة من TradingView. اقرأ المزيد في شروط الاستخدام.
⚡️ Request a trial or subscribe to our premium🛠️tools at ➡️DCAlpha.net
All scripts & content provided by DCAChampion are for informational & educational purposes only.
All scripts & content provided by DCAChampion are for informational & educational purposes only.
إخلاء المسؤولية
لا يُقصد بالمعلومات والمنشورات أن تكون، أو تشكل، أي نصيحة مالية أو استثمارية أو تجارية أو أنواع أخرى من النصائح أو التوصيات المقدمة أو المعتمدة من TradingView. اقرأ المزيد في شروط الاستخدام.