Within Standard Deviation Bounds Probability

2024년 2월 11일

This indicator calculates the probability of the closing price remaining within the upper and lower bounds defined by the mean and standard deviation of historical percent changes. It also plots the probability line and a horizontal line at 68%, which would be the expected probability for a normal distribution. It is designed to be used with my other indicator "Mean and Standard Deviation Lines.

Inputs:

period (Days): This defines the number of bars used to calculate the mean and standard deviation.

Calculations:

Percent change: Calculates the daily percentage change between closing prices.
Mean and standard deviation: Calculates the mean and standard deviation of the percent changes over the specified period.
Bounds: Calculates the upper and lower bounds by adding/subtracting the standard deviation from the mean, multiplied by the closing price.
Crossover tracking: Iterates through bars and counts crosses above and below the bounds.
Probability calculation: Calculates the total crossover probability as a percentage of the period.
Plotting: Plots the probability line and the horizontal line at 68%.

Limitations:

Assumes a normal distribution of price changes, which may not be accurate in real markets.

Overall:

This indicator provides a way to visualize the probability of the price staying within calculated bounds based on historical volatility. However, it's important to be aware of its limitations and interpret the results within the context of your trading strategy and risk management.

2024년 2월 15일

릴리즈 노트

added Probability of up/down crossings within the last period.

2024년 2월 15일

릴리즈 노트

Changed display order to match the Mean and Standard Devialtion Lines indicator

2024년 2월 18일

릴리즈 노트

added probability of closing above the mean
added horizontal line at 50%

2024년 3월 7일

릴리즈 노트

change some colors and added the probability to close below the current price as a red line.

2024년 3월 11일

릴리즈 노트

added horizontal lines at 5% and 95%

2024년 3월 17일

릴리즈 노트

updated the math. This indicator is a work in progress so be careful when you use it.

2024년 5월 4일

릴리즈 노트

added probability of the mean to occur with the bar range in purple and changed the default period to 100.

2024년 7월 2일

릴리즈 노트

copyright notice and cleanup.

2024년 8월 15일

릴리즈 노트

Cleaned things up to be consistent with the title of the script. The script calculates the probability the close will remain within the bounds shown in mean and standard deviation lines script within the specified period.

2024년 10월 17일

릴리즈 노트

Updated the script to use built-in functions to calculation sample statistics.
Added separate variables to calculate sample mean and standard deviation.
Added a variable to control probability calculation window.

2024년 10월 31일

릴리즈 노트

updated the license to Creative Commons BY-NC-ND 4.0