OPEN-SOURCE SCRIPT
Black Merton Volatility Engine [JOAT]
Black Merton Volatility Engine [JOAT]
Introduction
Black Merton Volatility Engine blends multiple realized-volatility estimators with expected-move rails, cone rank, jump pressure, and tail-state classification.
This open-source indicator is designed as a context tool, not a standalone trading system. It focuses on explaining the current market state with restrained visuals and confirmed-bar logic where signals are used.
Core Concepts
1. Composite Realized Volatility
Close-to-close, Parkinson, Garman-Klass, Rogers-Satchell, and Yang-Zhang-style estimates contribute to the volatility state.
2. Volatility Cone
Current volatility is ranked against a historical cone to identify squeeze and shock conditions.
3. Expected Move Rails
Annualized volatility is converted into a multi-day expected move around price.
4. Tail and Jump Pressure
Large returns, rail breaches, and volatility divergence contribute to tail and jump states.
Pine Script®
Features
Input Parameters
How to Use This Script
Use the rails as volatility context. Squeeze, shock, tail, and jump states describe volatility conditions, not a certain direction.
Limitations
Originality Statement
BMV is original in blending several volatility estimators, cone ranking, jump pressure, and expected-move visualization.
Disclaimer
This indicator is provided for educational and informational purposes only. It is not financial advice, investment advice, or a recommendation to buy or sell any financial instrument. All calculations are derived from historical market data and may produce inaccurate readings in some market conditions. No indicator can predict future market behavior. Use proper risk management and independent judgment.
-Made with passion by jackofalltrades
Introduction
Black Merton Volatility Engine blends multiple realized-volatility estimators with expected-move rails, cone rank, jump pressure, and tail-state classification.
This open-source indicator is designed as a context tool, not a standalone trading system. It focuses on explaining the current market state with restrained visuals and confirmed-bar logic where signals are used.
Core Concepts
1. Composite Realized Volatility
Close-to-close, Parkinson, Garman-Klass, Rogers-Satchell, and Yang-Zhang-style estimates contribute to the volatility state.
2. Volatility Cone
Current volatility is ranked against a historical cone to identify squeeze and shock conditions.
3. Expected Move Rails
Annualized volatility is converted into a multi-day expected move around price.
4. Tail and Jump Pressure
Large returns, rail breaches, and volatility divergence contribute to tail and jump states.
expectedMove = close * realizedVol * math.sqrt(days / 252)
Features
- Composite realized volatility
- Expected-move rails
- Squeeze and shock regimes
- Gamma pin, tail shock, clean expansion, and jump labels
- Movable quant HUD
Input Parameters
- Fast, base, and slow vol windows
- Vol cone window
- Expected move days
- Squeeze and shock percentiles
- Cooldown and display toggles
How to Use This Script
Use the rails as volatility context. Squeeze, shock, tail, and jump states describe volatility conditions, not a certain direction.
Limitations
- The script uses historical OHLCV data and cannot know future prices.
- Signals and states can be late during fast reversals because confirmed-bar logic is used to reduce repainting.
- Model outputs should be interpreted with market context, risk controls, and independent analysis.
- No visual state should be treated as a certain trade outcome.
Originality Statement
BMV is original in blending several volatility estimators, cone ranking, jump pressure, and expected-move visualization.
Disclaimer
This indicator is provided for educational and informational purposes only. It is not financial advice, investment advice, or a recommendation to buy or sell any financial instrument. All calculations are derived from historical market data and may produce inaccurate readings in some market conditions. No indicator can predict future market behavior. Use proper risk management and independent judgment.
-Made with passion by jackofalltrades
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Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, alım satım veya diğer türden tavsiye veya öneriler anlamına gelmez ve teşkil etmez. Kullanım Koşulları bölümünde daha fazlasını okuyun.
Açık kaynak kodlu komut dosyası
Gerçek TradingView ruhuyla, bu komut dosyasının mimarı, yatırımcıların işlevselliğini inceleyip doğrulayabilmesi için onu açık kaynaklı hale getirdi. Yazarı tebrik ederiz! Ücretsiz olarak kullanabilseniz de, kodu yeniden yayınlamanın Topluluk Kurallarımıza tabi olduğunu unutmayın.
The AI Trading Ecosystem, Built to win trades 📈
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
Get Full Access 👇
jackofalltrades.vip 🌐
t.me/jackofalltradesvip 🃏
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, alım satım veya diğer türden tavsiye veya öneriler anlamına gelmez ve teşkil etmez. Kullanım Koşulları bölümünde daha fazlasını okuyun.