vol_box

2 août 2022

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)

2 août 2022

Notes de version

fixed rank

8 août 2022

Notes de version

- 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

9 août 2022

Notes de version

cleaned up some extraneous code

27 août 2022

Notes de version

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.

29 août 2022

Notes de version

fixed typo