OPEN-SOURCE SCRIPT
Black Merton Volatility Engine [JOAT]
Black Merton Volatility Engine [JOAT]
Introduction
Black Merton Volatility Engine blends multiple realized-volatility estimators with expected-move rails, cone rank, jump pressure, and tail-state classification.
This open-source indicator is designed as a context tool, not a standalone trading system. It focuses on explaining the current market state with restrained visuals and confirmed-bar logic where signals are used.
Core Concepts
1. Composite Realized Volatility
Close-to-close, Parkinson, Garman-Klass, Rogers-Satchell, and Yang-Zhang-style estimates contribute to the volatility state.
2. Volatility Cone
Current volatility is ranked against a historical cone to identify squeeze and shock conditions.
3. Expected Move Rails
Annualized volatility is converted into a multi-day expected move around price.
4. Tail and Jump Pressure
Large returns, rail breaches, and volatility divergence contribute to tail and jump states.
Pine Script®
Features
Input Parameters
How to Use This Script
Use the rails as volatility context. Squeeze, shock, tail, and jump states describe volatility conditions, not a certain direction.
Limitations
Originality Statement
BMV is original in blending several volatility estimators, cone ranking, jump pressure, and expected-move visualization.
Disclaimer
This indicator is provided for educational and informational purposes only. It is not financial advice, investment advice, or a recommendation to buy or sell any financial instrument. All calculations are derived from historical market data and may produce inaccurate readings in some market conditions. No indicator can predict future market behavior. Use proper risk management and independent judgment.
-Made with passion by jackofalltrades
Introduction
Black Merton Volatility Engine blends multiple realized-volatility estimators with expected-move rails, cone rank, jump pressure, and tail-state classification.
This open-source indicator is designed as a context tool, not a standalone trading system. It focuses on explaining the current market state with restrained visuals and confirmed-bar logic where signals are used.
Core Concepts
1. Composite Realized Volatility
Close-to-close, Parkinson, Garman-Klass, Rogers-Satchell, and Yang-Zhang-style estimates contribute to the volatility state.
2. Volatility Cone
Current volatility is ranked against a historical cone to identify squeeze and shock conditions.
3. Expected Move Rails
Annualized volatility is converted into a multi-day expected move around price.
4. Tail and Jump Pressure
Large returns, rail breaches, and volatility divergence contribute to tail and jump states.
expectedMove = close * realizedVol * math.sqrt(days / 252)
Features
- Composite realized volatility
- Expected-move rails
- Squeeze and shock regimes
- Gamma pin, tail shock, clean expansion, and jump labels
- Movable quant HUD
Input Parameters
- Fast, base, and slow vol windows
- Vol cone window
- Expected move days
- Squeeze and shock percentiles
- Cooldown and display toggles
How to Use This Script
Use the rails as volatility context. Squeeze, shock, tail, and jump states describe volatility conditions, not a certain direction.
Limitations
- The script uses historical OHLCV data and cannot know future prices.
- Signals and states can be late during fast reversals because confirmed-bar logic is used to reduce repainting.
- Model outputs should be interpreted with market context, risk controls, and independent analysis.
- No visual state should be treated as a certain trade outcome.
Originality Statement
BMV is original in blending several volatility estimators, cone ranking, jump pressure, and expected-move visualization.
Disclaimer
This indicator is provided for educational and informational purposes only. It is not financial advice, investment advice, or a recommendation to buy or sell any financial instrument. All calculations are derived from historical market data and may produce inaccurate readings in some market conditions. No indicator can predict future market behavior. Use proper risk management and independent judgment.
-Made with passion by jackofalltrades
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
The AI Trading Ecosystem, Built to win trades 📈
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
The AI Trading Ecosystem, Built to win trades 📈
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.