GX Volatility Cone - Expected Range with Self-Calibration
GX Volatility Cone draws the range price has typically stayed within over the next N bars, sized from the symbol's own volatility, and grades itself: a table shows how often past cones actually contained price.
The cone is a statistical range, not a prediction of direction. Its center is the current price. There are no buy or sell signals.
HOW TO READ IT
• The upper half (green) is the room above the current price, the lower half (red) the room below. The colors show the side only; both halves are the same size. • Darker inner band: about 68% of past N-bar outcomes ended inside it. Lighter outer band: about 90%. • Labels at the end of the cone show the price and % change at each edge. • Use it to judge whether a target or stop distance is ordinary or unusual compared with recent volatility.
HOW THE CONE IS BUILT
• Volatility (σ) is the standard deviation of 1-bar log returns over the last 100 bars. • At h bars ahead, the bands are price × e^(±z·σ·√h), so the cone widens with the square root of time. • Band width (z) has two modes: – Empirical (default): z is taken from how far price really moved over N bars in the last 500 checks, measured in units of the volatility known at the time. This adapts to fat tails. – Normal: bell-curve values (1.0 for 68%, 1.645 for 90%). • Empirical uses Normal until 500 checks are available.
SELF-CALIBRATION
On every bar the script looks at the cone drawn N bars earlier and checks whether the close landed inside it, using only data that existed when that cone was drawn. Over the last 500 checks the table shows: • Inside 68% / Inside 90% — the real hit rate versus the target. ✓ means within 5 points, "too narrow" means the cone was smaller than real moves, "too wide" means larger. • Broke above / below — how often the close ended above or below the outer band. A strong imbalance means the symbol trended during that period, which a symmetric cone does not capture.
REPAINTING
• The cone is anchored on the last closed bar and only changes when a new bar closes. • Calibration uses only data available when each past cone was drawn. • No request.security calls and no lookahead.
SETTINGS
Cone range — horizon (10 bars), volatility lookback (100), band width mode, inner and outer levels (68% / 90%), calibration window (500).
Display — cone, center line, outer band on/off, price labels, previous cone, colors, table.
Alerts — unusual bar size in σ (3.0), plain text or Discord webhook JSON.
ALERTS
• Unusual bar: a closed bar moved more than 3σ. • Outside range: the close is outside the outer band of the cone drawn N bars earlier (first bar only). • Messages describe what price did. They are not instructions to buy or sell.
LIMITS
• The cone is symmetric; it does not model drift or skew. • On intraday charts, N bars can span the overnight session. • Volatility can change suddenly, for example around news and earnings; the cone reacts only as new bars arrive.
DISCLAIMER
Educational tool, not investment advice. The cone is a statistical range calculated from past price data and does not forecast the direction or level of future prices. Past behavior does not predict future price movement. Trading involves risk of loss; you are responsible for your own decisions.
The cone is a statistical range, not a prediction of direction. Its center is the current price. There are no buy or sell signals.
HOW TO READ IT
• The upper half (green) is the room above the current price, the lower half (red) the room below. The colors show the side only; both halves are the same size. • Darker inner band: about 68% of past N-bar outcomes ended inside it. Lighter outer band: about 90%. • Labels at the end of the cone show the price and % change at each edge. • Use it to judge whether a target or stop distance is ordinary or unusual compared with recent volatility.
HOW THE CONE IS BUILT
• Volatility (σ) is the standard deviation of 1-bar log returns over the last 100 bars. • At h bars ahead, the bands are price × e^(±z·σ·√h), so the cone widens with the square root of time. • Band width (z) has two modes: – Empirical (default): z is taken from how far price really moved over N bars in the last 500 checks, measured in units of the volatility known at the time. This adapts to fat tails. – Normal: bell-curve values (1.0 for 68%, 1.645 for 90%). • Empirical uses Normal until 500 checks are available.
SELF-CALIBRATION
On every bar the script looks at the cone drawn N bars earlier and checks whether the close landed inside it, using only data that existed when that cone was drawn. Over the last 500 checks the table shows: • Inside 68% / Inside 90% — the real hit rate versus the target. ✓ means within 5 points, "too narrow" means the cone was smaller than real moves, "too wide" means larger. • Broke above / below — how often the close ended above or below the outer band. A strong imbalance means the symbol trended during that period, which a symmetric cone does not capture.
REPAINTING
• The cone is anchored on the last closed bar and only changes when a new bar closes. • Calibration uses only data available when each past cone was drawn. • No request.security calls and no lookahead.
SETTINGS
Cone range — horizon (10 bars), volatility lookback (100), band width mode, inner and outer levels (68% / 90%), calibration window (500).
Display — cone, center line, outer band on/off, price labels, previous cone, colors, table.
Alerts — unusual bar size in σ (3.0), plain text or Discord webhook JSON.
ALERTS
• Unusual bar: a closed bar moved more than 3σ. • Outside range: the close is outside the outer band of the cone drawn N bars earlier (first bar only). • Messages describe what price did. They are not instructions to buy or sell.
LIMITS
• The cone is symmetric; it does not model drift or skew. • On intraday charts, N bars can span the overnight session. • Volatility can change suddenly, for example around news and earnings; the cone reacts only as new bars arrive.
DISCLAIMER
Educational tool, not investment advice. The cone is a statistical range calculated from past price data and does not forecast the direction or level of future prices. Past behavior does not predict future price movement. Trading involves risk of loss; you are responsible for your own decisions.
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.
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.