With the usage of ATR, applied on the close of the daily candle, I am calculated the volatility channels for the TOP and BOTTOM
Based on this logic, we can estimate, with a huge confidence factor, where the prices are going to be compressed for the trading day.
Having said that, lets take a look at the data gathered among the most important financial markets:
SPX TOP CROSSES : 2116 BOT CROSSES : 1954 Total Daily Candles : 18908 Occurance ratio = 0.215
NDX TOP CROSSES : 1212 BOT CROSSES : 1183 Total Daily Candles : 9386 Occurance ratio = 0.255
DIA TOP CROSSES : 759 BOT CROSSES : 769 Total Daily Candles : 6109 Occurance ratio = 0.25
DXY TOP CROSSES : 1597 BOT CROSSES : 1598 Total Daily Candles : 13156 Occurance ratio = 0.243
DAX TOP CROSSES : 1878 BOT CROSSES : 1848 Total Daily Candles : 13155 Occurance ratio = 0.283
BTC USD TOP CROSSES : 416 BOT CROSSES : 417 Total Daily Candles : 4290 Occurance ratio = 0.194
ETH USD TOP CROSSES : 247 BOT CROSSES : 268 Total Daily Candles : 2452 Occurance ratio = 0.21
EUR USD TOP CROSSES : 820 BOT CROSSES : 805 Total Daily Candles : 7489 Occurance ratio = 0.217
GOLD TOP CROSSES : 1722 BOT CROSSES : 1569 Total Daily Candles : 13747 Occurance ratio = 0.239
USOIL TOP CROSSES : 1077 BOT CROSSES : 1089 Total Daily Candles : 10231 Occurance ratio = 0.212
US 10Y TOP CROSSES : 1302 BOT CROSSES : 1365 Total Daily Candles : 9075 Occurance ratio = 0.294
Based on this, we can assume with a very high confidence ( 70-80%) that the market is going to stay, within the range created from the BOT and TOP ATR points.
would you be able to add the Top and the bottom values for the latest daily candle as well? Thanks
exlux99
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@decentMeerkat007, the testing was been made with the traditional volatility calculation system. Currently I have create my own formula based on multiple equations I have found regarding HV, and create my own volatility analytics which I am using in my streams/ideas and so on. Compared to traditional HV, I can achieve same 80+% ratio, but with a decrease of 25-30% in the daily range volatility. However this is a premium product, but if you are interested and want more details, hit me up in private
user1928374560XYZ
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can u explain the occurrence number and what it means more
exlux99
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@Uni_ve12se, take a look into my stream where I go into full details the process behind the calculations tradingview.com/streams/wVGrUgcv1D/