OPEN-SOURCE SCRIPT

Multi Brownian Forecast

157
📊 Multi Brownian Forecast (Time-Adaptive, Probabilistic)

This indicator uses a sophisticated Geometric Brownian Motion (GBM) Monte Carlo simulation to project future price paths. It adapts to any chart timeframe and provides quantitative, multi-period probability signals.

---

🧠 Core Mathematical Methodology

The model relies on GBM, which is a continuous-time stochastic process that models asset prices.

1. Historical Analysis (Drift & Volatility):
* The script first calculates Logarithmic Returns over a user-defined Historical Lookback (Hours).
* Drift ($\mu$): Computed as the average of the log returns.
* Volatility ($\sigma$): Computed as the standard deviation of the log returns.
* These values are then time-adapted to an hourly step, compensating for the chart's current timeframe (e.g., 5-minute, 1-hour).

2. Monte Carlo Simulation:
* It runs a specified Number of Simulations (e.g., 1000).
* For each simulation, the price is stepped forward hourly using the GBM formula, which incorporates the calculated drift and a random shock drawn from a normal distribution (generated via the Box-Muller transform).

---

✨ Key Features

  • Probabilistic Quartile Forecast: Plots a dynamic "cone" of probability on the chart. It shows key price percentiles (Q1, Q2/Median, Q3, and Q4/Outer Bound) at the forecast's expiration, visualizing the expected range of price outcomes based on the simulations.
  • Multi-Period Probability Signals: This is the core signal feature. Users can define multiple, independent forecast periods (e.g., 4h, 16h, 48h) in a comma-separated list.
    * For each period, a Probability Up and Probability Down is calculated based on hitting a custom Target Price Change (%) (e.g., 2%) at a certain confidence level given a simulation over the historical backlook.
    * The probabilities are displayed in a chart table. The cell text turns white if the calculated probability exceeds the user-defined Signal Confidence (%).
  • Conditional Fibonacci Retracement: Optionally displays a Fibonacci Retracement on the chart. This feature is only activated when one of the multi-period signals reaches its minimum confidence threshold, providing a contextual technical level when a probabilistic edge is found.

Clause de non-responsabilité

Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.