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Helios Volatility Forecast [JOAT]

Helios Volatility Forecast [JOAT]

Helios Volatility Forecast is a Yang-Zhang volatility estimator with regime classification, a volatility cone (historical percentile bands), an HMA-smoothed forecast line, and a position-size suggestion. Volatility is classified into four regimes (LOW / NORMAL / ELEVATED / EXTREME) by percentile rank against its own history. Cross-pane elements paint a soft regime tint and a position-multiplier suggestion onto the price chart.

What makes it different

Most volatility indicators use a simple close-to-close standard deviation, which discards intraday range information and ignores overnight gaps. The Yang-Zhang estimator combines four components — overnight close-to-open variance, intraday open-to-close variance, and a Rogers-Satchell range term — into a single estimator that is more accurate than close-to-close for instruments that gap.
A 4-band volatility cone (5th, 25th, 50th, 75th, 95th percentile of the past 100 bars) is plotted around the current volatility, with gradient fills bracketing tails and the interquartile range.
A 4-regime classifier (LOW / NORMAL / ELEVATED / EXTREME by percentile thresholds at 25, 65, 90) drives a cross-pane tint on the price chart and a numeric position-size multiplier suggestion. The suggestion scales inversely with realized vol — wider sizes in low-vol regimes, halved sizes in extreme-vol regimes.
An HMA forecast line projects the smoothed vol trajectory ahead. Forecast-crossing-realized alerts fire when expansion or contraction is imminent.

How it works

Yang-Zhang formula combines overnight return, intraday return, and Rogers-Satchell range term, weighted by k = 0.34 / (1.34 + (len + 1) / (len - 1)).
Percentile rank of sigma_yz over a 100-bar history equals vol_pct.
Regime classification: LOW below 25, NORMAL 25 to 65, ELEVATED 65 to 90, EXTREME above 90.
HMA of sigma_yz equals the forecast. Forecast direction equals the sign of (forecast minus current).
Position-size multiplier equals clamp(1.5 minus vol_pct / 100, 0.3, 1.5).
Vol-of-vol (stdev of recent realized vol) feeds a regime stickiness indicator.

Reading the chart

In-pane: regime-tinted volatility line (vivid mint for LOW, neutral white for NORMAL, amber for ELEVATED, vivid red for EXTREME), HMA forecast line with direction-color flow, five vol-cone percentile lines.
Cross-pane: soft regime tint background on the price chart, plus a Size x0.50 EXTREME vol label updating each bar.
A vol-of-vol panel as a sub-strip at the top of the pane.
Five right-edge cone percentile labels (p5 / p25 / p50 / p75 / p95).
A current-vol percentile rank label.
Regime change timeline labels on the price chart at each regime transition.
Cross-pane vol-cone touch markers when vol crosses p95 (breakout) or p5 (contraction).
A regime stickiness indicator (how long the regime has been in its current state).
Forward expected-range lines on the price chart (close plus or minus forecast times ATR scalar).

Signals

Regime up / down (any percentile-bucket transition)
Extreme vol entry
Low vol entry
Vol breakout (sigma crosses above p95 of its own history)
Vol contract (sigma crosses below p5)
Vol Z-shock up / down (when vol z-score exceeds plus or minus 2)
Forecast cross up / down (forecast vs realized)

All gated on barstate.isconfirmed or barstate.ishistory. No future references. No lookahead_on.

Inputs

Volatility: Yang-Zhang window, regime percentile lookback, forecast HMA length.
Visual: bullish (low vol) color, bearish (extreme vol) color, elevated (amber) color, cone toggle, forecast toggle, cross-pane candles toggle, regime pulse toggle.
Dashboard: position, size.

How traders use this

Position sizing: scale entries inversely with the regime. Full size in LOW, default in NORMAL, half in ELEVATED, third in EXTREME. The multiplier label provides the suggested factor.
Volatility breakouts: vol crossing above p95 historically precedes large directional moves. Tighten trailing stops or reduce holding time.
Volatility contraction: vol crossing below p5 historically precedes range / chop. Reduce directional bias. Consider mean-reversion strategies.
Regime-aware stops: in ELEVATED or EXTREME regimes, ATR-based stops should be wider. In LOW regimes, tighter. The pos-mult label codifies this implicitly.

Limitations

Yang-Zhang assumes log-normal returns and lognormality breaks down during fat-tail events (it under-estimates vol in true crash regimes).
Percentile classification needs sufficient history. The default 100-bar lookback can be lengthened for stable instruments.
The position-size multiplier is a heuristic, not a portfolio-management recommendation. Combine with your own risk-management framework.
The HMA forecast lags slightly behind real-time changes. Treat as smoothed trend, not pinpoint prediction.

Compatibility
Pine Script v6 open-source indicator (pane plus cross-pane). Any symbol, any timeframe. Cross-pane elements use force_overlay=true. No request.security calls.

Defaults
20-bar Yang-Zhang window, 100-bar regime lookback, 5-bar HMA forecast, mint / red / amber palette, top-right medium dashboard.

Credits

Yang-Zhang estimator from D. Yang and Q. Zhang, Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices, Journal of Business (2000).

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