Volatilidade Histórica

Intraday Mean Reversion Main The Intraday Mean Reversion Indicator works well on certain stocks. It should be used for day trading stocks but need to be applied on the Day to Day timeframe. The logic behind the indicator is that stocks that opens substantially lower than yesterdays close, very often bounces back during the day and closes higher than the open price, thus the name Intraday Mean reversal. The stock so to speak, reverses to the mean. The indicator has 7 levels to choose from: 0.5 * standard deviation 0.6 * s

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por RandomWalker

Volatility patterns / Flowly Indicators - Overview Volatility patterns detect various forms of indecisive price action, on a larger scale as a compressed range and on a smaller scale as indecision candles. Indecisive and volatility suppressing price action can be thought of as a spring being pressed down. The more suppression, the more tension is built and eventually released as a spike or series of spikes in volatility. Each volatility pattern is assigned an influence period, during which average and peak relative volatility is rec

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por FlowlyIndicators

Historical Volatility This script calculates the historical volatility of a given market using the standard deviation of its returns over a specified lookback period. The indicator also includes a volatility Simple Moving Average (SMA), a VIX SMA, and the VIX index as reference market. The script uses the inputs from the user to adjust the calculation, such as lookback period, volatility SMA period, and reference market. The Historical Volatility indicator can be a useful tool for traders and investors who want t

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por rodopacapital

Fixed Volatility Oscillator A fixed volatility plotter set to a 0-100 range - Plots the current volatility % using the formula to calculate volatility and stdev (standard deviation) based on the candle lookback. The indicator is Fixed, which means that regardless of the chart, the volatility will be plotted on a percentage of 0% - 100% with a 101% threshold set to indicate a volatility reset. While the volume of volatility will change depending on the chart, the volatility will ALWAYS stay within this range. if a plot ex

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por creksar_stock

Nonfarm [TjnTjn]This indicator will draw a line on your chart to show the Nonfarm announcement date and a line showing the Nonfarm announcement time for that day. Because normally the Nonfarm announcement date is not simply the first Friday of the month. Because there are days Nonfarm days can be 8 or 9 or 10. By checking the entire history of nonfarm announcements, I found some more rules such as if the first Friday of the month hits a holiday, the nonfarm day will be the friday of the following week. The prev

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Historical Volatility Scale [ChartPrime]This indicator outputs a visual scale representing the level of volatility in the market relative to the timeframe selected on the users chart. The method of volatility used is "historical volatility" which is calculated by taking the standard deviation of a series of "x" length which contains the current closing price divided by the previous closing price for all nodes. The output of the volatility is standardized by also running an additional percentrank calculation over the raw volatility val

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Inter-Exchanges Crypto Price Spread Clouds (Tartigradia)Display variations in min-max and median values of high, low and close across exchanges. It's a kind of realized volatility indicator, as the idea is that in times of high volatility (high emotions, fear, uncertainty), it's more likely that market inefficiencies will appear for the same asset between different market makers, ie, the price can temporarily differ a lot. This indicator will catch these instants of high differences between exchanges, even if they lasted only an instant (because we u

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por tartigradia

Volatility Gap Tracker The Volatility Gap Tracker ( *VGT ) indicator calculates the historical volatility of an asset using the standard deviation of the natural logarithm of the closing price relative to the previous period's closing price. *VGT visualizes the HV with gap lines to highlight when the current HV has increased or decreased significantly compared to the previous period, and adds labels to show the HV value for each of those bars. Low HV calculated by *VGT can potentially signify a potential move up or d

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Implied and Historical Volatility v4 There is a famous option strategy📊 played on volatility📈. Where people go short on volatility, generally, this strategy is used before any significant event or earnings release. The basic phenomenon is that the Implied Volatility shoots up before the event and drops after the event, while the volatility of the security does not increase in most of the scenarios. 💹 I have tried to create an Indicator using which you can analyse the historical change in Implied Volatility Vs Historic Volatility.

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por Aziz_PactionTrader

BTC Performance Table / BTC Seasonality Visualization This script visualizes Bitcoins "seasonality", in form of a colored table (based on the idea from "BigBangTheory") The history table shows you which months do statistically perform better/worse in comparison to other months. How to use this script: Choose ticker "BLX" ("BraveNewCoin Liquid Index for Bitcoin"). Set the charts time frame to weekly or daily. Tables position on the screen and its colors are configurable. Table explanation: Cells show whether a gain or a loss occured from month t

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Cryptos Pump Hunter[liwei666]🔥 Cryptos Pump Hunter captured high volatility symbols in real-time, Up to 40 symbols can be monitored at same time. Help you find the most profitable symbol with excellent visualization. 🔥 Indicator Design logic 🎯 The core pump/dump logic is quite simple 1. calc past bars highest and lowest High price, get movement by this formula " movement = (highest - lowest) / lowest * 100 " 2. order by 'movement' value descending, you will get a volatility List 3. use Table tool display List, T

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Average True Range Percent When writing the Quickfingers Luc base scanner (Marvin) script, I wanted a measure of volatility that would be comparable between charts. The traditional Average True Range (ATR) indicator calculates a discrete number providing the average true range of that chart for a specified number of periods. The ATR is not comparable across different price charts. Average True Range Percent (ATRP) measures the true range for the period, converts it to a percentage using the average of the period's range

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OHLC Tool OHLC Tool allows you to display Current or Historical OHLC Values as horizontal lines that extend to the right on your chart. Features Variable Lookback to display a specific historical bar's values. Default = 1 (Previous Candle) Customizable Timeframe to view HTF Candle values. Custom Line Colors, Styles, and Thicknesses. Price Scale Value Display Capability. For displaying the line values and labels on the price scale you will need to enable: "Indicator and financials name labe

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Volatility Compression Ratio by M-Carlo Hello traders. I created this simple indicator to use as a FILTER. He does not provide any operational signals but tells us if we are in a period of volatility compression or expansion and it can work on all market. This filter works great for all strategies that work on breakouts The concept is this: I will enter at breakout of a price level that I consider important, only if there is a volatility compression and not in the case of expansion of volatility. Technically the calculation is very s

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Seasonal tendency: week-on-week % change and 10yr Averages -shows week-on-week % change, and 10yr averages of these % changes -scan across the 10yr averages to get a good idea of the seasonality of an asset -best used on commodities with strong seasonal tendencies (Gold, Wheat, Coffee, Lean hogs etc) -works only on daily timeframe -by default it will compare SMA(length) in the following way, BTC: Sunday cf previous Sunday | ES/Gold: Monday cf previous Monday -for most assets, 5 daily bars in a week (SMA(5)) => that's the default. For BTC can change thi

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Average True Range Refurbished 💡 Objective This script is a rebuild of the pre-existing ATR indicator, with improvements and fine-tuning. 🪄Improvements 1. Normalization option (range 0 to 100) 2. Optional calculation of the ratio between current volatility and average volatility 3. Optional smoothing 4. Show a moving average 5. Show Bollinger Bands with 3 bands 6. Change bar colors according to ATR and Bollinger Bands 📚 Definition 'The Average True Range (ATR) is a tool used in technical analysis to measure

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Visible Range A quick and easy "at a glance" display for the viewable candles. It does repaint, but that is a non-issue, as it is simply a quick and handy tool to visually see a quick peek at the visible range. The highest, lowest, and average are displayed, with labels for the percentage distance from the current close value and total range. Automatic color for each based on relative distance for consistency in stable or volatile conditions.

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Implied Volatility Suite (TG Fork)Displays the Implied Volatility, which is usually calculated from options, but here is calculated indirectly from spot price directly, either using a model or model-free using the VIXfix. The model-free VIXfix based approach can detect times of high volatility, which usually coincides with panic and hence lowest prices. Inversely, the model-based approach can detect times of highest greed. Forked and updated by Tartigradia to fix some issues in the calculations, convert to pinescript v5 and re

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por tartigradia

Asymmetric Dispersion High Low dear fellows, this indicator is an effort to determine the range where the prices are likely to fall within in the current candle. how it is calculated 1. obtain a. gain from the open to the high b. loss from the open to the low in the last 20 (by default) candles and in the last 200 (10*20 by default) candles 2. perform a. the geometric average (sma of the log returns) over these gains and losses b. their respective standard deviation 3. plot from the open of each candle a. the average + 2

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por greenfield_br

HMA w/ SSE-Dynamic EWMA Volatility Bands [Loxx]This indicator is for educational purposes to lay the groundwork for future closed/open source indicators. Some of thee future indicators will employ parameter estimation methods described below, others will require complex solvers such as the Nelder-Mead algorithm on log likelihood estimations to derive optimal parameter values for omega, gamma, alpha, and beta for GARCH(1,1) MLE and other volatility metrics. For our purposes here, we estimate the rolling lambda (λ) value used to calculate EWM

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Reset Strike Options-Type 2 (Gray Whaley) [Loxx]For a reset option type 2, the strike is reset in a similar way as a reset option 1. That is, the strike is reset to the asset price at a predetermined future time, if the asset price is below (above) the initial strike price for a call (put). The payoff for such a reset call is max(S - X, 0), and max(X - S, 0) for a put, where X is equal to the original strike X if not reset, and equal to the reset strike if reset. Gray and Whaley (1999) have derived a closed-form solution for the price of Euro

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Writer Extendible Option [Loxx]These options can be exercised at their initial maturity date /I but are extended to T2 if the option is out-of-the-money at ti. The payoff from a writer-extendible call option at time T1 (T1 < T2) is (via "The Complete Guide to Option Pricing Formulas") c(S, X1, X2, t1, T2) = (S - X1) if S>= X1 else cBSM(S, X2, T2-T1) and for a writer-extendible put is c(S, X1, X2, T1, T2) = (X1 - S) if S< X1 else pBSM(S, X2, T2-T1) Writer-Extendible Call c = cBSM(S, X1, T1) + Se^(b-r)T2 * M(Z1, -Z2;

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Reset Strike Options-Type 1 [Loxx]In a reset call (put) option, the strike is reset to the asset price at a predetermined future time, if the asset price is below (above) the initial strike price. This makes the strike path-dependent. The payoff for a call at maturity is equal to max((S-X)/X, 0) where is equal to the original strike X if not reset, and equal to the reset strike if reset. Similarly, for a put, the payoff is max((X-S)/X, 0) Gray and Whaley (1997) x have derived a closed-form solution for such an option. For a call

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Fade-in Options [Loxx]A fade-in call has the same payoff as a standard call except the size of the payoff is weighted by how many fixings the asset price were inside a predefined range (L, U). If the asset price is inside the range for every fixing, the payoff will be identical to a plain vanilla option. More precisely, for a call option, the payoff will be max(S(T) - X, 0) X 1/n Sum(n(i)), where n is the total number of fixings and n(i) = 1 if at fixing i the asset price is inside the range, and n(i) = 0 otherwise.

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