OPEN-SOURCE SCRIPT
NY VWAP 2std to 3std Probabilities + Exit Zones
How it works:
Time buckets
Early: 10:30 – 12:00
Mid: 12:00 – 14:00
Late: 14:00 – 16:00
Bands
2σ band (s2up / s2dn) → this is where the “potential breakout” starts.
3σ band (s3up / s3dn) → this is the “target” for the 2→3σ move.
Counting logic
If during a given bucket, the price touches the 2σ band, it counts as a 2σ hit.
If after that, in the same bucket, the price also touches the 3σ band, it counts as a 3σ hit.
Probability calculation
\text{Probability 2→3σ} = \frac{\text{# of 3σ hits}}{\text{# of 2σ hits}} \times 100
For example, if in the late session the lower 2σ band is hit 10 times, and of those 10 times, 6 eventually hit the lower 3σ band, the script will show 60%.
Labels / lines
On the chart, Upper/Lower 2→3σ probabilities are displayed per bucket.
So yes: “Late Lower 2σ → 3σ: 60%” means: if price touches the lower 2σ band in the late session, historically, 60% of those touches continued to the 3σ band.
⚠ Important caveats:
These are historical probabilities, not predictions.
Small sample sizes in a bucket can make percentages unstable early in the day.
The script only counts session NY bars (0930–1600) and ignores pre-10:30 hits to reduce opening volatility noise.
Time buckets
Early: 10:30 – 12:00
Mid: 12:00 – 14:00
Late: 14:00 – 16:00
Bands
2σ band (s2up / s2dn) → this is where the “potential breakout” starts.
3σ band (s3up / s3dn) → this is the “target” for the 2→3σ move.
Counting logic
If during a given bucket, the price touches the 2σ band, it counts as a 2σ hit.
If after that, in the same bucket, the price also touches the 3σ band, it counts as a 3σ hit.
Probability calculation
\text{Probability 2→3σ} = \frac{\text{# of 3σ hits}}{\text{# of 2σ hits}} \times 100
For example, if in the late session the lower 2σ band is hit 10 times, and of those 10 times, 6 eventually hit the lower 3σ band, the script will show 60%.
Labels / lines
On the chart, Upper/Lower 2→3σ probabilities are displayed per bucket.
So yes: “Late Lower 2σ → 3σ: 60%” means: if price touches the lower 2σ band in the late session, historically, 60% of those touches continued to the 3σ band.
⚠ Important caveats:
These are historical probabilities, not predictions.
Small sample sizes in a bucket can make percentages unstable early in the day.
The script only counts session NY bars (0930–1600) and ignores pre-10:30 hits to reduce opening volatility noise.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.