A simple script to draw a realized volatility forecast, in the form of a box. The script calculates realized volatility using the EWMA method, using a number of periods of your choosing. Using the "periods per year", you can adjust the script to work on any time frame. For example, if you are using an hourly chart with bitcoin, there are 24 periods * 365 = 8760 periods per year. This setting is essential for the realized volatility figure to be accurate as an annualized figure, like VIX.
By default, the settings are set to mimic CBOE volatility indices. That is, 252 days per year, and 20 period window on the daily timeframe (simulating a 30 trading day period).
Inside the box are three figures:
1. The current realized volatility. 2. The rank. E.g. "10%" means the current realized volatility is less than 90% of realized volatility measures. 3. The "accuracy": how often price has closed within the box, historically.
Inputs:
stdevs: the number of standard deviations for the box periods to project: the number of periods to forecast window: the number of periods for calculating realized volatility periods per year: the number of periods in one year (e.g. 252 for the "D" timeframe)
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fixed rank
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- abbreviated terms
Some further settings examples:
Financial futures generally trade 23 hours a day. Grain futures trade about 18 hours a day. For a 30 minute chart, projecting 1 day in the future, with a 20 day window for calculating RV, use:
Financials:
periods to project: 46 window: 920 periods per year: 11592
grains:
periods to project: 36 window: 720 periods per year: 9072
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cleaned up some extraneous code
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added historical projection lines. if the price closed outside the projection, the nearest bound is colored red. otherwise, blue. by default, these lines are disabled. enable them with the "history" input.
@tyler8910, thank you! although, I think the vol cone script is better and makes this one somewhat obsolete
OutsourcE
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Which typo was it?
taylor_o
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@OutsourcE, sorry, i don't remember, and i'm not sure how to check the revision history.
sendk
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excellent ....is the rank basically percentile (over the chosen lookback period) ?
taylor_o
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@sendk, it should be percentile over the whole chart history (an rv value is calculated for every bar). actually there was a bug in the initial version, but it should be fixed now.