INVITE-ONLY SCRIPT
Updated Expected Move Cone [AGPro Series]
Expected Move Cone [AGPro Series]
🧠 Core Idea
This market — how far can it realistically travel in the next N bars, and is your target inside that range or a fantasy?
📌 Overview / What it does
Expected Move Cone projects a forward volatility cone from the current bar. Using the symbol's realized volatility, it draws a 1σ and 2σ envelope that fans out over the next N bars — the probabilistic price range the market is statistically likely to stay inside. It brings the option-trader concept of an "expected move" to spot and crypto charts, where it is rarely available.
On top of the cone, the script runs a decision engine. It reads where price currently sits inside its recent range (stretched-high, mid, or stretched-low), scores whether your chosen target distance fits within the expected move (a 0–100 Move Realism score), and prints a clear verdict and next action in a compact panel.
It does NOT predict direction, generate buy/sell signals, or automate trades. It frames the realistic distance of a move so you can judge a target before you take it.
🎯 Purpose & Design Philosophy
Most charts are full of tools that find setups but say nothing about how far price can realistically go. Traders set targets by drawing a line where they "want" price to reach, with no reference to the symbol's actual volatility. The result is targets that look reasonable but sit two or three standard deviations away — statistically unlikely within the planned horizon.
Expected Move Cone was built to close that gap. It gives a volatility-anchored frame of reference: a cone that says "this is the realistic envelope," and a realism score that says "your target is inside it" or "your target is a stretch." It is designed for traders who plan trades on probabilities rather than hope, and who want a fast, honest read on whether a target is reachable in the time they have.
⚡ Why This Script Is Different
Most volatility tools look backward or sit static on the current bar — regression channels, percentile bands, mean-reversion corridors. They describe where price has been.
This script does NOT draw a backward channel and does NOT claim to know direction.
Instead, it projects forward. It scales per-bar volatility by the square root of the horizon to build a true expanding cone, then measures your target against it. The combination of a forward standard-deviation cone, a log-normal envelope that never produces negative prices, and an on-chart target-realism read is what sets it apart from the typical band or channel indicator.
⚙️ Methodology
1. Volatility Estimation
Per-bar volatility is measured either as the standard deviation of log returns (classic expected-move math) or as ATR as a percentage of price.
2. Cone Projection
For each step k from 1 to N, the band half-width scales as σ × √k. Levels are projected log-normally (close × e^±σ√k), so the upper and lower boundaries expand smoothly and the lower band always stays above zero.
3. Location Read
Price's position inside its recent high–low range is classified as stretched-high, mid, or stretched-low to provide fade-vs-trend context.
4. Target Realism
Your target distance (a multiple of ATR) is converted to return space and compared against the horizon sigma, producing a 0–100 score and a verdict.
5. Visual Output
The cone, sigma badges, target lines, location tag, and a decision panel are rendered cleanly on the last bar.
🗺️ How to Read the Chart
• Cone (shaded envelope) = the realistic price range for the next N bars. Inner band ≈ 1σ, outer band ≈ 2σ.
• Sigma badges (+1σ / +2σ / −1σ / −2σ) = the exact price levels of the cone edges at the horizon.
• TARGET tag = your target distance, expressed in sigmas. If it sits inside the cone, it is realistic; if it floats above the 2σ edge, it is a stretch.
• Location tag (◆) = where price sits now: stretched-high, mid, or stretched-low.
• Panel = the full decision: realized volatility, expected 1σ / 2σ ranges, location, realism score, calibration, verdict, and next action.
🚦 Signals & States
• Within 1σ → target sits inside the typical move — realistic.
• Within 2σ → target sits inside the expected move — reachable.
• Beyond 2σ → target is a statistical stretch for the horizon.
• Stretched-high / Stretched-low → price at a range edge — fade context.
• Mid → price mid-range — trend / continuation context.
These are interpretive states, not trade instructions.
🔔 Alerts Logic
• Target turned realistic → Move Realism crossed above 60.
• Target became a stretch → Move Realism crossed below 40.
• Stretched-high entered → price reached the upper range — fade-short context.
• Stretched-low entered → price reached the lower range — fade-long context.
Alerts are attention markers, not signals to act.
🧩 Confluence Logic
The read strengthens when factors align: a target within 1σ + price stretched against the trade direction = a high-quality fade context. A target within 1σ + price mid-range = a continuation context. When the realism score, location, and verdict agree, the context is cleaner than any single value alone.
📊 When to Use
• Planning a target and wanting to know if it fits the symbol's volatility.
• Sizing expectations on the timeframe you actually trade — intraday to daily is where the cone is most actionable.
• Reading whether price is stretched (fade) or mid-range (continuation) before committing.
⚠️ When NOT to Use
• In illiquid symbols where volatility estimates are unstable.
• Immediately around scheduled high-impact events, where realized volatility can jump far beyond the recent sample.
• On very high timeframes (monthly), where the compounded expected move becomes extremely wide and less practical for planning.
🎛️ Key Inputs
• Volatility method → log returns or ATR %.
• Volatility length → how reactive the estimate is.
• Forward horizon (N) → how many bars the cone projects.
• Inner / Outer band (σ ×) → the 1σ and 2σ multipliers.
• Your target (ATR ×) → the target distance tested for realism.
• Location lookback → the range used for the stretched / mid read.
• Visual and panel settings → theme, position, font size, and element toggles.
🖥️ Interface & Visual Design
The panel opens with a single merged header and reads top-to-bottom as a decision: context first (volatility, expected ranges, location), then judgement (realism, calibration, verdict), then the next action. On-chart, every value sits on a solid badge for readability, and the cone uses a restrained palette so the structure stays clear. A dark and light theme are both included.
🧪 Practical Usage Workflow
1. Read the panel: how volatile is this symbol now, and what is the expected range?
2. Check location: is price stretched or mid-range?
3. Place your target and read the TARGET tag against the cone.
4. Confirm the verdict and next action before committing.
🔍 Interpretation Guidelines
Treat the cone as a probability frame, not a forecast. A target inside 1σ is reachable often; a target beyond 2σ is reachable rarely within the horizon. The 1σ Cover (calibration) value shows how often price historically stayed within the 1σ band — a well-calibrated symbol reads near the textbook ~68%. Use these as context for your own decision, never as a guarantee.
🚫 What This Script Is NOT
• Not a prediction engine — it does not know future direction.
• Not financial advice.
• Not an automated trading system.
• Not a source of guaranteed signals.
⚠️ Limitations & Transparency
Volatility is estimated from a trailing sample, so the cone reflects recent conditions and will lag sudden regime changes. Different timeframes produce different cone widths, and on very high timeframes the cone can become extremely wide — a correct but less practical reflection of long-horizon volatility. The example below shows this honestly on the monthly chart.
🔐 Non-Promise Statement
This script makes no promises about outcomes. A target inside the cone is not a guarantee of reaching it, and a stretch target is not impossible — only less likely within the chosen horizon.
📉 Risk Disclosure
Trading involves substantial risk. This script is an analytical and visualization tool for educational purposes only. It does not provide financial advice or guaranteed results. All trading decisions, and their consequences, remain entirely your own responsibility.
📚 Educational Note
The expected move is a core concept in options and volatility trading. This tool brings that framework to any chart, helping you think about distance and probability — not just direction — when you plan a trade.
🧠 Core Idea
This market — how far can it realistically travel in the next N bars, and is your target inside that range or a fantasy?
📌 Overview / What it does
Expected Move Cone projects a forward volatility cone from the current bar. Using the symbol's realized volatility, it draws a 1σ and 2σ envelope that fans out over the next N bars — the probabilistic price range the market is statistically likely to stay inside. It brings the option-trader concept of an "expected move" to spot and crypto charts, where it is rarely available.
On top of the cone, the script runs a decision engine. It reads where price currently sits inside its recent range (stretched-high, mid, or stretched-low), scores whether your chosen target distance fits within the expected move (a 0–100 Move Realism score), and prints a clear verdict and next action in a compact panel.
It does NOT predict direction, generate buy/sell signals, or automate trades. It frames the realistic distance of a move so you can judge a target before you take it.
🎯 Purpose & Design Philosophy
Most charts are full of tools that find setups but say nothing about how far price can realistically go. Traders set targets by drawing a line where they "want" price to reach, with no reference to the symbol's actual volatility. The result is targets that look reasonable but sit two or three standard deviations away — statistically unlikely within the planned horizon.
Expected Move Cone was built to close that gap. It gives a volatility-anchored frame of reference: a cone that says "this is the realistic envelope," and a realism score that says "your target is inside it" or "your target is a stretch." It is designed for traders who plan trades on probabilities rather than hope, and who want a fast, honest read on whether a target is reachable in the time they have.
⚡ Why This Script Is Different
Most volatility tools look backward or sit static on the current bar — regression channels, percentile bands, mean-reversion corridors. They describe where price has been.
This script does NOT draw a backward channel and does NOT claim to know direction.
Instead, it projects forward. It scales per-bar volatility by the square root of the horizon to build a true expanding cone, then measures your target against it. The combination of a forward standard-deviation cone, a log-normal envelope that never produces negative prices, and an on-chart target-realism read is what sets it apart from the typical band or channel indicator.
⚙️ Methodology
1. Volatility Estimation
Per-bar volatility is measured either as the standard deviation of log returns (classic expected-move math) or as ATR as a percentage of price.
2. Cone Projection
For each step k from 1 to N, the band half-width scales as σ × √k. Levels are projected log-normally (close × e^±σ√k), so the upper and lower boundaries expand smoothly and the lower band always stays above zero.
3. Location Read
Price's position inside its recent high–low range is classified as stretched-high, mid, or stretched-low to provide fade-vs-trend context.
4. Target Realism
Your target distance (a multiple of ATR) is converted to return space and compared against the horizon sigma, producing a 0–100 score and a verdict.
5. Visual Output
The cone, sigma badges, target lines, location tag, and a decision panel are rendered cleanly on the last bar.
🗺️ How to Read the Chart
• Cone (shaded envelope) = the realistic price range for the next N bars. Inner band ≈ 1σ, outer band ≈ 2σ.
• Sigma badges (+1σ / +2σ / −1σ / −2σ) = the exact price levels of the cone edges at the horizon.
• TARGET tag = your target distance, expressed in sigmas. If it sits inside the cone, it is realistic; if it floats above the 2σ edge, it is a stretch.
• Location tag (◆) = where price sits now: stretched-high, mid, or stretched-low.
• Panel = the full decision: realized volatility, expected 1σ / 2σ ranges, location, realism score, calibration, verdict, and next action.
🚦 Signals & States
• Within 1σ → target sits inside the typical move — realistic.
• Within 2σ → target sits inside the expected move — reachable.
• Beyond 2σ → target is a statistical stretch for the horizon.
• Stretched-high / Stretched-low → price at a range edge — fade context.
• Mid → price mid-range — trend / continuation context.
These are interpretive states, not trade instructions.
🔔 Alerts Logic
• Target turned realistic → Move Realism crossed above 60.
• Target became a stretch → Move Realism crossed below 40.
• Stretched-high entered → price reached the upper range — fade-short context.
• Stretched-low entered → price reached the lower range — fade-long context.
Alerts are attention markers, not signals to act.
🧩 Confluence Logic
The read strengthens when factors align: a target within 1σ + price stretched against the trade direction = a high-quality fade context. A target within 1σ + price mid-range = a continuation context. When the realism score, location, and verdict agree, the context is cleaner than any single value alone.
📊 When to Use
• Planning a target and wanting to know if it fits the symbol's volatility.
• Sizing expectations on the timeframe you actually trade — intraday to daily is where the cone is most actionable.
• Reading whether price is stretched (fade) or mid-range (continuation) before committing.
⚠️ When NOT to Use
• In illiquid symbols where volatility estimates are unstable.
• Immediately around scheduled high-impact events, where realized volatility can jump far beyond the recent sample.
• On very high timeframes (monthly), where the compounded expected move becomes extremely wide and less practical for planning.
🎛️ Key Inputs
• Volatility method → log returns or ATR %.
• Volatility length → how reactive the estimate is.
• Forward horizon (N) → how many bars the cone projects.
• Inner / Outer band (σ ×) → the 1σ and 2σ multipliers.
• Your target (ATR ×) → the target distance tested for realism.
• Location lookback → the range used for the stretched / mid read.
• Visual and panel settings → theme, position, font size, and element toggles.
🖥️ Interface & Visual Design
The panel opens with a single merged header and reads top-to-bottom as a decision: context first (volatility, expected ranges, location), then judgement (realism, calibration, verdict), then the next action. On-chart, every value sits on a solid badge for readability, and the cone uses a restrained palette so the structure stays clear. A dark and light theme are both included.
🧪 Practical Usage Workflow
1. Read the panel: how volatile is this symbol now, and what is the expected range?
2. Check location: is price stretched or mid-range?
3. Place your target and read the TARGET tag against the cone.
4. Confirm the verdict and next action before committing.
🔍 Interpretation Guidelines
Treat the cone as a probability frame, not a forecast. A target inside 1σ is reachable often; a target beyond 2σ is reachable rarely within the horizon. The 1σ Cover (calibration) value shows how often price historically stayed within the 1σ band — a well-calibrated symbol reads near the textbook ~68%. Use these as context for your own decision, never as a guarantee.
🚫 What This Script Is NOT
• Not a prediction engine — it does not know future direction.
• Not financial advice.
• Not an automated trading system.
• Not a source of guaranteed signals.
⚠️ Limitations & Transparency
Volatility is estimated from a trailing sample, so the cone reflects recent conditions and will lag sudden regime changes. Different timeframes produce different cone widths, and on very high timeframes the cone can become extremely wide — a correct but less practical reflection of long-horizon volatility. The example below shows this honestly on the monthly chart.
🔐 Non-Promise Statement
This script makes no promises about outcomes. A target inside the cone is not a guarantee of reaching it, and a stretch target is not impossible — only less likely within the chosen horizon.
📉 Risk Disclosure
Trading involves substantial risk. This script is an analytical and visualization tool for educational purposes only. It does not provide financial advice or guaranteed results. All trading decisions, and their consequences, remain entirely your own responsibility.
📚 Educational Note
The expected move is a core concept in options and volatility trading. This tool brings that framework to any chart, helping you think about distance and probability — not just direction — when you plan a trade.
Release Notes
🔧 UPDATE NOTES - V1.1.1This focused maintenance update improves mathematical consistency, calibration transparency, neutral interpretation, and interface behavior while preserving the original Expected Move Cone concept.
The script still projects a forward log-normal volatility cone, maps an ATR-based symmetric target against that cone, describes recent-range location, and presents the result through chart objects, a compact panel, and alerts.
This script continues to function as an analytical and visualization tool. It does not attempt to predict price direction or provide guaranteed outcomes.
------------------------
What Changed
------------------------
• Ordered cone multipliers
The effective outer multiplier is now automatically kept at least 0.1σ wider than the inner multiplier. Overlapping user inputs therefore cannot invert or collapse the outer cone.
• Correct log-normal percentage display
The panel now reports the actual downside and upside percentages of each log-normal band. It no longer presents asymmetric log-normal levels as a single symmetric ± percentage.
• Conservative two-sided target fit
The target assessment now evaluates both the upper and lower symmetric ATR targets in log-return space and uses the more demanding distance. This prevents the score from being biased by measuring only the upside target.
• ATR sigma-equivalent conversion
ATR % mode now converts normalized ATR into an approximate per-bar sigma-equivalent with sqrt(pi/8). The tooltip clearly identifies this as a range-based approximation rather than option-implied volatility.
• Multiplier-aware calibration
Expected terminal containment is calculated from the selected inner-band multiplier. The calibration color now reflects absolute deviation from that expected coverage instead of treating every high coverage reading as favorable.
• Confirmed, neutral alerts
Alerts are evaluated on confirmed bar closes and use neutral language for target-fit changes and upper/lower range-extension entries.
------------------------
Visual Improvements
------------------------
• Replaced the visible Target Realism wording with Target Fit.
• Replaced Realistic / Reachable / Stretch verdicts with neutral band-location states:
TARGET INSIDE INNER BAND
TARGET INSIDE OUTER BAND
TARGET BEYOND OUTER BAND
• Replaced Next Action with Context in the panel.
• Replaced directional fade language with neutral upper-range, mid-range, and lower-range context.
• Moved the location badge away from candle extremes using an ATR-based offset and adaptive label orientation.
• Updated the target badge to show TARGET FIT and the conservative maximum sigma distance.
------------------------
Interface & Usability
------------------------
• Show Panel remains enabled by default.
• Panel position, Dark / Light theme, panel font size, label size, and all existing visual toggles remain configurable.
• The panel now clears immediately when disabled so stale table content cannot remain on the chart.
• The merged blue panel header remains intact and contains only AG Pro Expected Move Cone.
• Tooltips now explain terminal containment, ATR conversion, conservative target fit, and neutral location context more precisely.
------------------------
Behavior Notes
------------------------
The core analytical concept is unchanged.
Log Returns mode estimates realized per-bar volatility from trailing log returns. ATR % mode is an approximate range-based sigma-equivalent. Neither method is option-implied volatility.
The projected levels are terminal horizon bands generated from the current close with log-normal compounding. They are not a guarantee that price will remain inside the cone at every intermediate bar.
Target Fit is a distance-to-band score. It is not the probability that a target will be reached, and it does not estimate direction.
Calibration uses non-overlapping historical horizon samples and compares realized inner-band containment with the theoretical containment implied by the active inner multiplier.
------------------------
Limitations Reminder
------------------------
The script remains a rule-based analytical tool.
Trailing volatility can lag sudden regime changes. Timeframe, liquidity, gaps, volatility clustering, non-normal returns, and the amount of available history can materially affect the cone and calibration sample.
The normal-return reference is a benchmark, not a promise about future distributions.
------------------------
Risk Reminder
------------------------
This script is for educational and analytical purposes only.
It does not provide financial advice, automated trading, guaranteed signals, or guaranteed outcomes.
Users remain responsible for their own analysis and decisions.
Release Notes
🔧 UPDATE NOTES - V1.1.2• Refreshed the publication and access routing information.
• Core expected-move cone logic, panel behavior, inputs, alerts, visuals, and outputs remain unchanged.
Release Notes
🔧 UPDATE NOTES - V1.2.0This update focuses on analytical usefulness, calibration transparency, target flexibility, and first-glance readability.
The forward cone remains the core visual model. This release turns the existing projection into a more complete volatility review workflow by separating the projected windows, user-defined target context, dual-band calibration, and sample maturity.
This script remains an analytical and visualization tool. It does not predict future price or guarantee containment.
------------------------
What Changed
------------------------
• Added Manual Price target mode
Users can now evaluate one explicit price level against the projected volatility window instead of relying only on a symmetric ATR envelope.
• Preserved ATR Envelope mode
The original symmetric ATR-distance workflow remains available and is still the default.
• Added dual-band historical calibration
The panel now reports observed and normal-reference terminal coverage for both the inner and outer projected windows.
• Added Model Fit
Calibration error and sample maturity are combined into a transparent 0–100 model-fit score.
• Added evidence maturity
The model state shows whether historical evidence is still building or has reached a more useful sample base.
• Added the AGPro core-question row
The panel now asks: “HOW WIDE IS THE ACTIVE MOVE WINDOW?”
------------------------
Visual Improvements
------------------------
• Renamed σ badges as INNER and OUTER for faster interpretation
• Replaced the ambiguous target badge with mode-specific ATR ENVELOPE or MANUAL TARGET text
• Reduced outer-cone fill dominance while preserving the distinctive cone geometry
• Added alternating panel rows for clearer scanning
• Reduced the number of fully highlighted panel rows so important states carry more visual weight
• Preserved contrast-safe text across Dark and Light themes
• Replaced translucent alternating panel rows with opaque theme-specific rows, preventing chart-background bleed-through on light charts
------------------------
Interface & Usability
------------------------
• Target Mode now switches between ATR Envelope and Manual Price
• Target Distance displays both sigma distance and percentage distance
• Inner Cover and Outer Cover show observed versus expected containment
• Model State includes the resolved calibration sample count
• Panel visibility, location, theme, panel font size, and label font size remain adjustable
------------------------
Behavior Notes
------------------------
Cone geometry continues to use the selected per-bar volatility estimate and square-root-of-time scaling.
Log-normal upper and lower prices remain strictly positive.
Calibration samples remain confirmed-bar and non-overlapping. Each sample is evaluated only after the selected forward horizon has elapsed.
Manual targets are evaluated as one explicit price level. ATR Envelope mode remains a conservative symmetric review.
------------------------
Limitations Reminder
------------------------
The cone is based on realized volatility, not option-implied volatility.
Normal-reference coverage is a calibration benchmark, not a guarantee.
Volatility clustering, gaps, structural breaks, liquidity changes, and timeframe selection can materially affect realized containment.
Manual targets and ATR envelopes are contextual references; they are not trade instructions.
------------------------
Risk Reminder
------------------------
This script is for educational and analytical purposes only.
It does not provide financial advice, automated trading, or guaranteed outcomes.
Users remain responsible for their own decisions and risk management.
Release Notes
Version 1.3.0 – Owned Cone Rails and Target CardThis release improves cone-edge ownership, collision resistance, and target-fit readability while preserving the realized-volatility projection, dual-band calibration, target-fit scoring, location model, evidence layer, and alert conditions.
• Rebuilt the four horizon sigma badges as owned rail labels with short connector segments linking every displayed badge back to its exact inner or outer cone price.
• Added ATR-aware and font-aware vertical lane separation when the upper or lower inner and outer bands become too close for clean publication.
• Moved all sigma badges beyond the cone horizon so the projected geometry remains visible and the price labels no longer sit directly on its terminal edge.
• Replaced the long single-line ATR Envelope label with a compact two-line target-fit card showing target mode, target multiple, fit score, and sigma distance.
• Applied the same compact target-card hierarchy to Manual Price mode while retaining the exact manual target rail.
• Shifted the target card deeper into the forward cone so it no longer competes with the upper inner-band badge in normal volatility conditions.
• Increased the ATR offset used by stretched-high and stretched-low location badges to improve separation from candle bodies and wicks.
• Preserved cone geometry, ordered multipliers, conservative two-sided target fit, non-overlapping calibration samples, model-fit evidence, and all four confirmed alerts without analytical changes.
Invite-only script
Only users approved by the author can access this script. You'll need to request and get permission to use it. This is typically granted after payment. For more details, follow the author's instructions below or contact AGProLabs directly.
TradingView does NOT recommend paying for or using a script unless you fully trust its author and understand how it works. You may also find free, open-source alternatives in our community scripts.
Author's instructions
Request access to Expected Move Cone [AGPro Series]:
https://www.agprolabs.com/product/expected-move-cone/
🧠 Trading Suite - Flagship Workflow
tradingview.com/script/XJmX3p98-Trading-Suite-AGPro-Series/
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tradingview.com/script/LgVRo7Ql-Crypto-Setup-Planner-AGPro-Series/
tradingview.com/script/XJmX3p98-Trading-Suite-AGPro-Series/
🔷 Crypto Setup Planner - Multi-Symbol Planner
tradingview.com/script/LgVRo7Ql-Crypto-Setup-Planner-AGPro-Series/
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Invite-only script
Only users approved by the author can access this script. You'll need to request and get permission to use it. This is typically granted after payment. For more details, follow the author's instructions below or contact AGProLabs directly.
TradingView does NOT recommend paying for or using a script unless you fully trust its author and understand how it works. You may also find free, open-source alternatives in our community scripts.
Author's instructions
Request access to Expected Move Cone [AGPro Series]:
https://www.agprolabs.com/product/expected-move-cone/
🧠 Trading Suite - Flagship Workflow
tradingview.com/script/XJmX3p98-Trading-Suite-AGPro-Series/
🔷 Crypto Setup Planner - Multi-Symbol Planner
tradingview.com/script/LgVRo7Ql-Crypto-Setup-Planner-AGPro-Series/
tradingview.com/script/XJmX3p98-Trading-Suite-AGPro-Series/
🔷 Crypto Setup Planner - Multi-Symbol Planner
tradingview.com/script/LgVRo7Ql-Crypto-Setup-Planner-AGPro-Series/
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.