OPEN-SOURCE SCRIPT
Aggiornato Volatility Drag Oscillator
Volatility Drag Oscillator — what is holding exposure costing you, and what does leverage do to it?
Compound growth is g = μ − σ²/2; under leverage, g(L) = L·μ − L²·σ²/2. Return scales with L, drag scales
with L² — which is the whole reason leverage does not raise your probability of success. Volatility is
estimable in hundreds of bars; drift needs decades. So this tool measures only the knowable half:
- DRAG = σ²/2 annualised (Yang-Zhang by default; Close-to-close / Parkinson / Garman-Klass /
Rogers-Satchell selectable to see estimator disagreement = gap-risk information), EWMA-smoothed and
ranked into a percentile so you know if today is a cheap or expensive time to hold.
- DRAG DECOMPOSITION — realised drag split into its exact cumulant pieces: variance (σ²/2) + skew +
excess-kurtosis, shown as "σ² · skw · tail" in %/yr. A fat-tail warning tells you HOW MUCH of your
drag is tails, not just that they exist — and it compares realised drag to its own Gaussian part, so
it can't be fooled by estimator choice.
- LEVERAGE CURVE — drag at 1×/2×/3×, plus break-even L_be = 2μ/σ² and Kelly = μ/σ², shown ONLY as
conditionals on an edge YOU enter. The script never estimates drift, and says why.
READ IT how you like: a familiar 0-100 percentile OSCILLATOR in the pane (cheap<20, expensive>80,
midline 50, like an RSI of holding-cost), or the absolute drag %/yr line. On price, a heat-RIBBON and
green/red regime triangles show cheap→expensive to hold — VOLATILITY regime, direction-agnostic. A red
marker means "expensive, size down", never "go short".
No directional claim and no backtest — there is nothing here to fit. Descriptive risk context, not advice.
Leverage magnifies losses; this shows one cost of it, not all risks.
Compound growth is g = μ − σ²/2; under leverage, g(L) = L·μ − L²·σ²/2. Return scales with L, drag scales
with L² — which is the whole reason leverage does not raise your probability of success. Volatility is
estimable in hundreds of bars; drift needs decades. So this tool measures only the knowable half:
- DRAG = σ²/2 annualised (Yang-Zhang by default; Close-to-close / Parkinson / Garman-Klass /
Rogers-Satchell selectable to see estimator disagreement = gap-risk information), EWMA-smoothed and
ranked into a percentile so you know if today is a cheap or expensive time to hold.
- DRAG DECOMPOSITION — realised drag split into its exact cumulant pieces: variance (σ²/2) + skew +
excess-kurtosis, shown as "σ² · skw · tail" in %/yr. A fat-tail warning tells you HOW MUCH of your
drag is tails, not just that they exist — and it compares realised drag to its own Gaussian part, so
it can't be fooled by estimator choice.
- LEVERAGE CURVE — drag at 1×/2×/3×, plus break-even L_be = 2μ/σ² and Kelly = μ/σ², shown ONLY as
conditionals on an edge YOU enter. The script never estimates drift, and says why.
READ IT how you like: a familiar 0-100 percentile OSCILLATOR in the pane (cheap<20, expensive>80,
midline 50, like an RSI of holding-cost), or the absolute drag %/yr line. On price, a heat-RIBBON and
green/red regime triangles show cheap→expensive to hold — VOLATILITY regime, direction-agnostic. A red
marker means "expensive, size down", never "go short".
No directional claim and no backtest — there is nothing here to fit. Descriptive risk context, not advice.
Leverage magnifies losses; this shows one cost of it, not all risks.
Note di rilascio
minor changeScript open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.