HPotter

Historical Volatility Strategy

Strategy buy when HVol above BuyBand and close position when HVol below CloseBand.
Markets oscillate from periods of low volatility to high volatility
and back. The author`s research indicates that after periods of
extremely low volatility , volatility tends to increase and price
may move sharply. This increase in volatility tends to correlate
with the beginning of short- to intermediate-term moves in price.
They have found that we can identify which markets are about to make
such a move by measuring the historical volatility and the application
of pattern recognition.
The indicator is calculating as the standard deviation of day-to-day
logarithmic closing price changes expressed as an annualized percentage.

Donate (BEP20) 0x55135292d73605c6f4dee8b9733a3e55dec7455e
Script open-source

Dans le véritable esprit de TradingView, l'auteur de ce script l'a publié en open-source, afin que les traders puissent le comprendre et le vérifier. Bravo à l'auteur! Vous pouvez l'utiliser gratuitement, mais la réutilisation de ce code dans une publication est régie par le règlement. Vous pouvez le mettre en favori pour l'utiliser sur un graphique.

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Vous voulez utiliser ce script sur un graphique ?
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 16/07/2014
// Strategy buy when HVol above BuyBand and close position when HVol below CloseBand.
// Markets oscillate from periods of low volatility to high volatility 
// and back. The author`s research indicates that after periods of 
// extremely low volatility, volatility tends to increase and price 
// may move sharply. This increase in volatility tends to correlate 
// with the beginning of short- to intermediate-term moves in price. 
// They have found that we can identify which markets are about to make 
// such a move by measuring the historical volatility and the application 
// of pattern recognition.
// The indicator is calculating as the standard deviation of day-to-day 
// logarithmic closing price changes expressed as an annualized percentage.
////////////////////////////////////////////////////////////
study(title="Historical Volatility")
LookBack = input(20, minval=1)
Annual = input(365, minval=1)
BuyBand = input(20, minval=1)
CloseBand = input(10, minval=1)
hline(0, color=purple, linestyle=dashed)
hline(BuyBand, color=green, linestyle=line)
hline(CloseBand, color=red, linestyle=line)
xPrice = log(close / close[1])
nPer = iff(isintraday or isdaily, 1, 7)
xPriceAvg = sma(xPrice, LookBack)
xStdDev = stdev(xPrice, LookBack)
HVol = (xStdDev * sqrt(Annual / nPer)) * 100
pos =	iff(HVol > BuyBand, 1, 
            iff(HVol < CloseBand, -1, nz(pos[1], 0))) 
barcolor(pos == 1 ? yellow : na)
plot(HVol, color=blue, title="Historical Volatility")