vol_signal

2021년 8월 26일

Note: This description is copied from the script comments. Please refer to the comments and release notes for updated information, as I am unable to edit and update this description.

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USAGE

This script gives signals based on a volatility forecast, e.g. for a stop
loss. It is a simplified version of my other script "trend_vol_forecast", which incorporates a trend following system and measures performance. The "X" labels indicate when the price touches (exceeds) a forecast. The signal occurs when price crosses "fcst_up" or "fcst_down".

There are only three parameters:

- volatility window: this is the number of periods (bars) used in the
historical volatility calculation. smaller number = reacts more
quickly to changes, but is a "noisier" signal.
- forecast periods: the number of periods for projecting a volatility
forecast. for example, "21" on a daily chart means the plots will
show the forecast from 21 days ago.
- forecast stdev: the number of standard deviations in the forecast.
for example, "2" means that price is expected to remain within
the forecast plot ~95% of the time. A higher number produces a
wider forecast.

The output table shows:

- realized vol: the volatility over the previous N periods, where N =
"volatility window".
- forecast vol: the realized volatility from N periods ago, where N =
"forecast periods"
- up/down fcst (level): the price level of the forecast for the next
N bars, where N = "forecast periods".
- up/down fcst (%): the difference between the current and forecast
price, expressed as a whole number percentage.

The plots show:

- blue/red plot: the upper/lower forecast from "forecast periods" ago.
- blue/red line: the upper/lower forecast for the next
"forecast periods".
- red/blue labels: an "X" where the price touched the forecast from
"forecast periods" ago.
+ NOTE: pinescript only draws a limited number of labels.
They will not appear very far into the past.

2021년 8월 26일

릴리즈 노트

- Changed some variable names around (see comments).
- Added fcst_up_pct/fcst_down_pct as plots for emitting as alerts.
- Fixed table label cells/coloring.