Vol Sonar | Deriv Volatility Index Statistical Analysis Terminal
**A specialized statistical analysis and market visualization indicator designed for Deriv Volatility Indices, combining volatility-calibrated equilibrium bands, market regime analysis, multi-horizon directional measurements, historical probability estimates, and forward price distribution mapping.**
Vol Sonar approaches synthetic volatility analysis differently from conventional technical indicators.
Rather than relying on traditional ATR-based volatility signals, volume analysis, or trading sessions, it is designed around a constant-volatility, geometric Brownian motion-style model.
The indicator combines statistical measurements with an advanced visual interface to help traders examine price dispersion, identify unusual market conditions, assess directional behavior, and explore probability-based trading scenarios.
Built with Pine Script v6.
## Key Features
### 1. Volatility-Calibrated Statistical Engine
Vol Sonar uses the selected Volatility Index's nominal annualized volatility to calculate theoretical log-return dispersion across different chart timeframes.
The underlying calculation follows the square-root-of-time relationship:
**σ(bar) = Annualized Volatility × √(Bar Duration / Annualization Period)**
This provides a model-based volatility estimate without requiring traditional ATR calculations.
The indicator supports:
- Automatic identification of supported Volatility Index levels from instrument names.
- Manual volatility selection.
- Custom annualized volatility settings.
- Theoretical or historically measured volatility.
- Configurable annualization periods.
- Automatic tick-interval identification for dashboard display.
A calibration system compares observed volatility against the configured theoretical value and highlights potential mismatches.
### 2. Dynamic Equilibrium & Statistical Diffusion Bands
Vol Sonar calculates a rolling equilibrium using the average logarithmic price and surrounds it with volatility-adjusted bands.
Three configurable deviation levels are available:
- **±1σ Inner Bands:** Moderate deviations from equilibrium.
- **±2σ Outer Bands:** More pronounced price extensions.
- **±3σ Extreme Bands:** Unusually extended price conditions under the selected model.
The bands are transformed back into price space, producing multiplicative rather than fixed-distance boundaries.
Colored zones help distinguish equilibrium conditions from increasingly extended market movements.
These bands measure historical price displacement relative to a rolling reference, not guaranteed reversal levels.
### 3. Multi-Horizon Direction Analysis
The direction engine evaluates price movement across three independently configurable horizons:
- Short-term drift.
- Medium-term drift.
- Long-term drift.
Each measurement is normalized by the expected volatility over its respective observation period.
The indicator then combines these measurements into a directional voting system.
This provides a structured view of whether recent price movement has been consistently upward, consistently downward, or mixed across multiple horizons.
Directional alignment is descriptive and does not independently establish a predictive trading advantage.
### 4. Variance-Ratio Market Regime Detection
Vol Sonar incorporates a variance-ratio calculation inspired by the Lo–MacKinlay random-walk testing framework.
The indicator compares multi-period return variance against the variance implied by single-period returns.
It classifies observed behavior into three broad regimes:
- **Trending:** Variance ratio significantly above the random-walk benchmark.
- **Mean-Reverting:** Variance ratio significantly below the benchmark.
- **Random-Walk-Like:** No sufficiently large deviation detected.
A configurable statistical threshold controls regime classification sensitivity.
The regime assessment provides historical context about serial dependence in price movements.
It does not establish that the detected behavior will persist.
### 5. Adaptive Bullish & Bearish Lean
The indicator combines multi-horizon drift measurements with its variance-ratio regime classification to produce a directional lean.
In trending conditions, the engine emphasizes directional momentum.
In mean-reverting conditions, it evaluates potential movement away from statistically extended prices.
When no strong regime is detected, the engine uses a weaker directional assessment.
The dashboard displays:
- Bullish lean.
- Bearish lean.
- Neutral conditions.
- Momentum or reversion context where applicable.
These states represent rule-based interpretations of observed market behavior, not guaranteed directional forecasts.
### 6. Historical Probability & Evidence Gauge
Vol Sonar measures historical outcomes associated with its directional lean states.
For each state, it evaluates how frequently price was higher after a configurable number of bars.
The dashboard presents:
- Historical upward outcome frequency.
- Historical downward outcome frequency.
- Approximate effective sample size.
- Confidence margin.
- An assessment of the observed statistical imbalance.
The indicator also accounts approximately for overlapping historical observations when evaluating sample strength.
**These percentages are historical, in-sample frequencies, not calibrated probabilities of future market direction.**
Apparent statistical advantages require independent out-of-sample validation.
### 7. Forward Probability Cone
Vol Sonar projects a statistical price distribution into future chart space.
Unlike a conventional linear projection, the cone uses exponential transformations consistent with its log-return model.
The visualization includes:
- **±1σ Range:** Approximately 68% coverage under the assumed normal log-return model.
- **±2σ Range:** Approximately 95% coverage under the same assumptions.
- Configurable projection horizon.
- Upper and lower projected price boundaries.
- A central reference line.
The cone expands over time to illustrate increasing uncertainty.
It does not predict a specific future price or directional outcome.
### 8. Fair-Odds Barrier Planner
The indicator includes a theoretical barrier analysis tool for evaluating potential upper and lower price targets.
Traders can configure barrier distances in units of one-bar standard deviation.
The planner calculates:
- Upper and lower barrier price levels.
- Theoretical probability of reaching either barrier first.
- Expected barrier exit time.
- Break-even win rate incorporating a configurable trading-cost assumption.
These calculations use a driftless diffusion approximation in logarithmic price space.
The planner illustrates how barrier distances and trading costs affect theoretical outcomes.
It is not a complete trade profitability model and does not account for every aspect of execution, financing, or market microstructure.
### 9. Statistical Stretch & Exhaustion Signals
Vol Sonar continuously measures how far price has moved from its rolling equilibrium in normalized volatility units.
When price reaches an extended deviation, the indicator can highlight potential exhaustion conditions.
- **Bullish Exhaustion:** Price re-enters from below the lower stretch threshold with an upward candle.
- **Bearish Exhaustion:** Price re-enters from above the upper stretch threshold with a downward candle.
These markers identify predefined statistical events rather than confirmed reversals.
### 10. Swing Levels, Sweeps & Confluence
The indicator tracks confirmed swing highs and lows and monitors subsequent price interactions.
A sweep occurs when price breaches a swing level by a minimum volatility-adjusted distance and closes back inside.
A separate confluence engine combines:
1. Statistical stretch.
2. Recent swing sweep.
3. Extreme directional candle streak.
When at least two conditions align, the indicator can display a FADE signal.
An optional filter requires a recent statistical stretch.
These signals provide structured market observations for further analysis rather than standalone trade instructions.
### 11. Extreme-Movement Detection
Vol Sonar identifies unusually large single-bar log returns relative to the configured one-bar volatility.
When a movement exceeds the selected threshold, the indicator displays a shock marker.
Under the constant-volatility model, such movements represent tail observations rather than automatic evidence of changing volatility.
The shock threshold is fully customizable.
### 12. Adaptive Statistical Dashboard
Vol Sonar features a comprehensive on-chart information terminal displaying:
- Selected Volatility Index and calibration status.
- Expected volatility per bar.
- Statistical stretch relative to equilibrium.
- Short-, medium-, and long-term drift.
- Variance-ratio regime classification.
- Current directional lean.
- Historical directional outcome frequencies.
- Sample strength and confidence margin.
- Historical drift assessment.
- Upper and lower barrier distances.
- Theoretical barrier probabilities.
- Expected barrier exit time.
- Break-even win rate.
The dashboard supports manual positioning in all four chart corners.
An automatic positioning feature examines visible price activity and attempts to select a relatively unobstructed location.
### 13. Customizable Chart Visualization
Vol Sonar includes extensive visual customization:
- Bullish and bearish color schemes.
- Statistical equilibrium and diffusion bands.
- Dynamic candle coloring.
- Optional background highlighting.
- Swing-level visualization.
- Exhaustion, sweep, confluence, and shock markers.
- Forward probability cone.
- Fair-odds barrier levels.
- Automatic horizontal price grid.
- Dashboard position and text size.
The visual environment is designed to present complex statistical information in a compact and readable format.
## How to Interpret Vol Sonar
**Equilibrium Conditions**
Price remains relatively close to its rolling logarithmic equilibrium, indicating limited displacement under the selected volatility model.
**Extended Conditions**
Price moves beyond the configured deviation threshold, highlighting an unusual displacement from equilibrium.
**Trending Regime**
The variance-ratio measurement indicates positive serial dependence over the selected historical window.
**Mean-Reverting Regime**
The variance-ratio measurement indicates negative serial dependence over the selected window.
**Directional Lean**
The indicator combines regime classification and multi-horizon drift to summarize its current directional assessment.
**Confluence Signals**
FADE markers identify situations where multiple predefined statistical and market structure conditions align.
**Forward Distribution**
The probability cone illustrates possible future price dispersion, while the barrier planner provides theoretical first-passage calculations.
**Historical Evidence**
The bias gauge reports previous outcomes under comparable directional states, including approximate uncertainty measurements.
## Intended Applications
Vol Sonar is designed for traders and analysts interested in:
- Statistical analysis of Deriv Volatility Indices.
- Volatility-normalized market structure.
- Random-walk and diffusion models.
- Multi-horizon directional analysis.
- Variance-ratio regime testing.
- Statistical stretch and exhaustion.
- Probability-based scenario planning.
- Historical outcome measurement.
- Educational exploration of stochastic price processes.
## Important Notes & Limitations
Vol Sonar is built around a constant-volatility, driftless log-return model.
Its theoretical calculations depend on the configured annualized volatility, chart timeframe, and annualization convention.
Users should verify instrument identification and calibration before relying on the displayed measurements.
Variance-ratio classifications and historical directional lean measurements describe past observations and do not establish future predictability.
The historical probability gauge uses in-sample observations and an approximate confidence calculation. It is not a validated forecasting model.
The forward probability cone illustrates theoretical distribution ranges under the selected assumptions, not guaranteed future price boundaries.
The barrier planner uses simplified diffusion mathematics and should not be interpreted as a complete trading strategy.
The indicator does not access order books, actual market liquidity, or institutional positioning.
It does not execute trades, guarantee profitable outcomes, or eliminate trading risk.
**Vol Sonar is intended for technical analysis, statistical visualization, and educational purposes. Its outputs should be interpreted as analytical context rather than financial advice or deterministic trading signals.**
---
**Developed using Pine Script v6.**
**Designed specifically for Deriv Volatility Indices.**
Vol Sonar approaches synthetic volatility analysis differently from conventional technical indicators.
Rather than relying on traditional ATR-based volatility signals, volume analysis, or trading sessions, it is designed around a constant-volatility, geometric Brownian motion-style model.
The indicator combines statistical measurements with an advanced visual interface to help traders examine price dispersion, identify unusual market conditions, assess directional behavior, and explore probability-based trading scenarios.
Built with Pine Script v6.
## Key Features
### 1. Volatility-Calibrated Statistical Engine
Vol Sonar uses the selected Volatility Index's nominal annualized volatility to calculate theoretical log-return dispersion across different chart timeframes.
The underlying calculation follows the square-root-of-time relationship:
**σ(bar) = Annualized Volatility × √(Bar Duration / Annualization Period)**
This provides a model-based volatility estimate without requiring traditional ATR calculations.
The indicator supports:
- Automatic identification of supported Volatility Index levels from instrument names.
- Manual volatility selection.
- Custom annualized volatility settings.
- Theoretical or historically measured volatility.
- Configurable annualization periods.
- Automatic tick-interval identification for dashboard display.
A calibration system compares observed volatility against the configured theoretical value and highlights potential mismatches.
### 2. Dynamic Equilibrium & Statistical Diffusion Bands
Vol Sonar calculates a rolling equilibrium using the average logarithmic price and surrounds it with volatility-adjusted bands.
Three configurable deviation levels are available:
- **±1σ Inner Bands:** Moderate deviations from equilibrium.
- **±2σ Outer Bands:** More pronounced price extensions.
- **±3σ Extreme Bands:** Unusually extended price conditions under the selected model.
The bands are transformed back into price space, producing multiplicative rather than fixed-distance boundaries.
Colored zones help distinguish equilibrium conditions from increasingly extended market movements.
These bands measure historical price displacement relative to a rolling reference, not guaranteed reversal levels.
### 3. Multi-Horizon Direction Analysis
The direction engine evaluates price movement across three independently configurable horizons:
- Short-term drift.
- Medium-term drift.
- Long-term drift.
Each measurement is normalized by the expected volatility over its respective observation period.
The indicator then combines these measurements into a directional voting system.
This provides a structured view of whether recent price movement has been consistently upward, consistently downward, or mixed across multiple horizons.
Directional alignment is descriptive and does not independently establish a predictive trading advantage.
### 4. Variance-Ratio Market Regime Detection
Vol Sonar incorporates a variance-ratio calculation inspired by the Lo–MacKinlay random-walk testing framework.
The indicator compares multi-period return variance against the variance implied by single-period returns.
It classifies observed behavior into three broad regimes:
- **Trending:** Variance ratio significantly above the random-walk benchmark.
- **Mean-Reverting:** Variance ratio significantly below the benchmark.
- **Random-Walk-Like:** No sufficiently large deviation detected.
A configurable statistical threshold controls regime classification sensitivity.
The regime assessment provides historical context about serial dependence in price movements.
It does not establish that the detected behavior will persist.
### 5. Adaptive Bullish & Bearish Lean
The indicator combines multi-horizon drift measurements with its variance-ratio regime classification to produce a directional lean.
In trending conditions, the engine emphasizes directional momentum.
In mean-reverting conditions, it evaluates potential movement away from statistically extended prices.
When no strong regime is detected, the engine uses a weaker directional assessment.
The dashboard displays:
- Bullish lean.
- Bearish lean.
- Neutral conditions.
- Momentum or reversion context where applicable.
These states represent rule-based interpretations of observed market behavior, not guaranteed directional forecasts.
### 6. Historical Probability & Evidence Gauge
Vol Sonar measures historical outcomes associated with its directional lean states.
For each state, it evaluates how frequently price was higher after a configurable number of bars.
The dashboard presents:
- Historical upward outcome frequency.
- Historical downward outcome frequency.
- Approximate effective sample size.
- Confidence margin.
- An assessment of the observed statistical imbalance.
The indicator also accounts approximately for overlapping historical observations when evaluating sample strength.
**These percentages are historical, in-sample frequencies, not calibrated probabilities of future market direction.**
Apparent statistical advantages require independent out-of-sample validation.
### 7. Forward Probability Cone
Vol Sonar projects a statistical price distribution into future chart space.
Unlike a conventional linear projection, the cone uses exponential transformations consistent with its log-return model.
The visualization includes:
- **±1σ Range:** Approximately 68% coverage under the assumed normal log-return model.
- **±2σ Range:** Approximately 95% coverage under the same assumptions.
- Configurable projection horizon.
- Upper and lower projected price boundaries.
- A central reference line.
The cone expands over time to illustrate increasing uncertainty.
It does not predict a specific future price or directional outcome.
### 8. Fair-Odds Barrier Planner
The indicator includes a theoretical barrier analysis tool for evaluating potential upper and lower price targets.
Traders can configure barrier distances in units of one-bar standard deviation.
The planner calculates:
- Upper and lower barrier price levels.
- Theoretical probability of reaching either barrier first.
- Expected barrier exit time.
- Break-even win rate incorporating a configurable trading-cost assumption.
These calculations use a driftless diffusion approximation in logarithmic price space.
The planner illustrates how barrier distances and trading costs affect theoretical outcomes.
It is not a complete trade profitability model and does not account for every aspect of execution, financing, or market microstructure.
### 9. Statistical Stretch & Exhaustion Signals
Vol Sonar continuously measures how far price has moved from its rolling equilibrium in normalized volatility units.
When price reaches an extended deviation, the indicator can highlight potential exhaustion conditions.
- **Bullish Exhaustion:** Price re-enters from below the lower stretch threshold with an upward candle.
- **Bearish Exhaustion:** Price re-enters from above the upper stretch threshold with a downward candle.
These markers identify predefined statistical events rather than confirmed reversals.
### 10. Swing Levels, Sweeps & Confluence
The indicator tracks confirmed swing highs and lows and monitors subsequent price interactions.
A sweep occurs when price breaches a swing level by a minimum volatility-adjusted distance and closes back inside.
A separate confluence engine combines:
1. Statistical stretch.
2. Recent swing sweep.
3. Extreme directional candle streak.
When at least two conditions align, the indicator can display a FADE signal.
An optional filter requires a recent statistical stretch.
These signals provide structured market observations for further analysis rather than standalone trade instructions.
### 11. Extreme-Movement Detection
Vol Sonar identifies unusually large single-bar log returns relative to the configured one-bar volatility.
When a movement exceeds the selected threshold, the indicator displays a shock marker.
Under the constant-volatility model, such movements represent tail observations rather than automatic evidence of changing volatility.
The shock threshold is fully customizable.
### 12. Adaptive Statistical Dashboard
Vol Sonar features a comprehensive on-chart information terminal displaying:
- Selected Volatility Index and calibration status.
- Expected volatility per bar.
- Statistical stretch relative to equilibrium.
- Short-, medium-, and long-term drift.
- Variance-ratio regime classification.
- Current directional lean.
- Historical directional outcome frequencies.
- Sample strength and confidence margin.
- Historical drift assessment.
- Upper and lower barrier distances.
- Theoretical barrier probabilities.
- Expected barrier exit time.
- Break-even win rate.
The dashboard supports manual positioning in all four chart corners.
An automatic positioning feature examines visible price activity and attempts to select a relatively unobstructed location.
### 13. Customizable Chart Visualization
Vol Sonar includes extensive visual customization:
- Bullish and bearish color schemes.
- Statistical equilibrium and diffusion bands.
- Dynamic candle coloring.
- Optional background highlighting.
- Swing-level visualization.
- Exhaustion, sweep, confluence, and shock markers.
- Forward probability cone.
- Fair-odds barrier levels.
- Automatic horizontal price grid.
- Dashboard position and text size.
The visual environment is designed to present complex statistical information in a compact and readable format.
## How to Interpret Vol Sonar
**Equilibrium Conditions**
Price remains relatively close to its rolling logarithmic equilibrium, indicating limited displacement under the selected volatility model.
**Extended Conditions**
Price moves beyond the configured deviation threshold, highlighting an unusual displacement from equilibrium.
**Trending Regime**
The variance-ratio measurement indicates positive serial dependence over the selected historical window.
**Mean-Reverting Regime**
The variance-ratio measurement indicates negative serial dependence over the selected window.
**Directional Lean**
The indicator combines regime classification and multi-horizon drift to summarize its current directional assessment.
**Confluence Signals**
FADE markers identify situations where multiple predefined statistical and market structure conditions align.
**Forward Distribution**
The probability cone illustrates possible future price dispersion, while the barrier planner provides theoretical first-passage calculations.
**Historical Evidence**
The bias gauge reports previous outcomes under comparable directional states, including approximate uncertainty measurements.
## Intended Applications
Vol Sonar is designed for traders and analysts interested in:
- Statistical analysis of Deriv Volatility Indices.
- Volatility-normalized market structure.
- Random-walk and diffusion models.
- Multi-horizon directional analysis.
- Variance-ratio regime testing.
- Statistical stretch and exhaustion.
- Probability-based scenario planning.
- Historical outcome measurement.
- Educational exploration of stochastic price processes.
## Important Notes & Limitations
Vol Sonar is built around a constant-volatility, driftless log-return model.
Its theoretical calculations depend on the configured annualized volatility, chart timeframe, and annualization convention.
Users should verify instrument identification and calibration before relying on the displayed measurements.
Variance-ratio classifications and historical directional lean measurements describe past observations and do not establish future predictability.
The historical probability gauge uses in-sample observations and an approximate confidence calculation. It is not a validated forecasting model.
The forward probability cone illustrates theoretical distribution ranges under the selected assumptions, not guaranteed future price boundaries.
The barrier planner uses simplified diffusion mathematics and should not be interpreted as a complete trading strategy.
The indicator does not access order books, actual market liquidity, or institutional positioning.
It does not execute trades, guarantee profitable outcomes, or eliminate trading risk.
**Vol Sonar is intended for technical analysis, statistical visualization, and educational purposes. Its outputs should be interpreted as analytical context rather than financial advice or deterministic trading signals.**
---
**Developed using Pine Script v6.**
**Designed specifically for Deriv Volatility Indices.**
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📊 Market Insights • Technical Analysis • Trading Education
📈 Exploring global markets through research, analysis and educational content.
⚠️ Trading involves risk. For informational purposes only.
📊 Market Insights • Technical Analysis • Trading Education
📈 Exploring global markets through research, analysis and educational content.
⚠️ Trading involves risk. For informational purposes only.
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.