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.
Remove from Favorite Scripts Add to Favorite Scripts
////////////////////////////////////////////////////////////
//  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")
DONATE/TIP

BTC: 1Lo1GoTNsPbrjGAgPgF4MYZPhBFdoVHaTm
I really enjoy using this indicator Harry Potter. Can I send you a Bitcoin tip?
Reply
HPotter PRO DallasMav
Thank you )))) I do not use a Bitcoin.
Reply
United States
United Kingdom
India
Deutschland
España
France
Italia
Polska
Brasil
Россия
Türkiye
Indonesia
Malaysia
日本
한국
简体
繁體
Home Stock Screener Forex Signal Finder Cryptocurrency Signal Finder Economic Calendar How It Works Chart Features House Rules Moderators Website & Broker Solutions Widgets Stock Charting Library Priority Support Feature Request Blog & News FAQ Help & Wiki Twitter
Profile Profile Settings Account and Billing Priority Support Ideas Published Followers Following Private Messages Chat Sign Out