Moving CO-covariance (covariance on covariance)
This is Covariance on Covariance. It shows you how much a given covariance period has deviated from it mean over another defined period. Because it is a time series, It can allow you to spot changes in how covariance changes. You can apply trend lines, Fibonacci retracements, etc. This is also volume weighting covariance.
This is not a directional indicator nor is moving covariance. This is used for forecasting volatility. This must be used in conjunction with moving covariance.
This is not a directional indicator nor is moving covariance. This is used for forecasting volatility. This must be used in conjunction with moving covariance.
//Moving Co-Covariance study(title="Co-Covariance", shorttitle="MCCV", overlay=false) src = vwap, len = input(30, minval=1, title="covariance length"), len2 = input(7, minval=1, title="Co-covariance look back length") mean = vwma(src, len) stdev = stdev(src, len) covariance = (stdev/mean) covariancemean = vwma(covariance, len2) cstdev = stdev(covariance, len2) cocovariance = (cstdev/covariancemean) plot(cocovariance, title="covariance on covariance", style = line, color = aqua)