Quantitative Price Forecasting - The Quant Science

This script is a quantitative price forecasting indicator that forecasts price changes for a given asset.

The model aims to forecast future prices by analyzing past data within a selected time period. Mathematical probability is used to calculate whether starting from time X can lead to reaching prices Y1 and Y2. In this context, X represents the current selected time period, Y1 represents the selected percentage decrease, and Y2 represents the selected percentage increase. The probabilities are estimated using the simple average.

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The simple average is displayed on the chart, showing in red the periods where the price is below the average and in green the periods where the price is above the average.

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This powerful tool not only provides forecasts of future prices but also calculates the distribution of variations around the average. It then takes this information and creates an estimate of the average price variation around the simple average.

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Using a mean-reverting logic, buying and selling opportunities are highlighted.

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We recommend turning off the display of bars on your chart for a better experience when using this indicator.

Unlock the full potential of your trading strategy with our powerful indicator. By analyzing past price data, it provides accurate forecasts and calculates the probability of reaching specific price targets. Its mean-reverting logic highlights buying and selling opportunities, while the simple moving average displayed on the chart shows periods where the price is above or below the average. Additionally, it estimates the average variation of price around the simple average, giving you valuable insights into price movements. Don't miss out on this valuable tool that can take your trading to the next level

ملاحظات الأخبار

Added a function to adjust the average deviation calculation. Now the indicator modify the deviation data by calculating only the time period selected by the user interface.

ملاحظات الأخبار

Fixed Targets by Cycle Duration: at the start of each cycle, the data is frozen. It no longer changes with each bar.
True Probability Calculation: the denominator is now the total number of cycles started. The percentage of cases in which no target is reached by the time limit is also displayed.
Use of High/Low Prices: target hits use high and low prices (instead of close prices), capturing the actual levels reached intraday during the cycle.
Single Drop-Down Menu Input: the four Boolean checkboxes have been replaced with a clean drop-down menu, preventing conflicts.
Error Handling: checks for division by zero have been added, along with a clean table interface to the right of the chart.

Description Update | 2026
Automatically calculates the statistical deviation of the price from an average and estimates the percentage probability that the price will reach a specific upside or downside target within a fixed number of bars.

💭 🔑 This code is a statistical quantitative indicator that answers a fundamental question for traders: “When the price begins a new cycle, what is the probability that it will move X% higher or X% lower before the time limit expires?”

What exactly does it do?
It reads the time frame of your chart and determines the duration of a “test cycle.”
On the Daily chart: a cycle lasts 30 days.
On the 1-Hour chart: a cycle lasts 24 hours.
❌ Important: It is programmed to work only on the Daily and 1-Hour time frames.

It locks in the targets at the start of each cycle
At the start of the cycle, it takes the current closing price and calculates two fixed levels (which do not change until the end of the cycle):
Bullish Targets: Price +1% +2% +3% +4%
Bearish Targets: Price -1% -2% -3% -4%

Monitors the market in real time
In the subsequent bars (until the cycle duration is complete), it checks what happens first:

Does the price hit the Bullish Target? → It scores a point for the uptrend and closes the cycle.
Does the price hit the Bearish Target? → It scores a point for the downtrend and closes the cycle.
Does the cycle time expire without the price touching either target? → Record that the cycle ended as “No Target.”

Calculate the Actual Statistics and Display a Table
Display a table to the right of the chart with aggregated data from hundreds of past cycles:

Target+1%: % of total cycles in which the price rose before falling.
Target -1%: % of total cycles in which the price fell before rising.
No Target: % of cycles in which the price remained within a range without touching the thresholds.

Extreme Bands and Moving Average
On the chart, draw a Simple Moving Average (SMA) that changes color depending on the trend.
Two dotted lines (Extreme Up / Down) calculate the historical average price deviation to show you when the market is in an overbought or oversold zone.

Practical Use Cases
Assessing realistic Take Profit levels: if the table shows that, on the 1-hour chart, the probability of reaching +3% within 24 hours is only 5%, you know that setting such a high target for an intraday trade is statistically disadvantageous.
Understanding an asset’s volatility and directionality: allows you to see if a security tends to exhibit asymmetry (e.g., it reaches the bullish target more often than the bearish one during the analyzed period).
Filtering trading signals: can use the Extreme Up/Down lines to avoid buying when the price is too far from its historical average.

For easier reading of the chart, we recommend removing wicks and borders from the chart settings.

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thequantscience

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نص برمجي مفتوح المصدر

thequantscience

🔥 Unlock the power of Symbiosis, the first Python XGBoost model natively built for Pine Script. Grab the last available spots on Patreon: patreon.com/c/xgboost_symbiosis