Crunchster's Real Price

2023년 7월 19일

This is a simple transformation of any price series (best suited to daily timeframe) that filters out random price fluctuations and revealing the "real" price action. It allows comparison between different assets easily and is a useful confirmation of support and resistance levels, or can be used with other technical analysis.

In the default settings based on a daily chart, the daily returns are first calculated, then volatility normalised by dividing by the standard deviation of daily returns over the defined lookback period (14 periods by default).

These normalised returns are then added together over the entire price series period, to create a new "Real price" - the volatility adjusted price. This is the default presentation.

In addition, a second signal ("Normalised price series over rolling period") is available which, instead of summing the normalised returns over the entire price series, allows a user configurable, rolling lookback window over which the normalised returns are summed up. The default setting is 365 periods (ie 1 year on the daily timeframe for tickers with 24hr markets such as crypto. This can be set to 252 periods if analysing equities, which only trade 5 days per week, or any other user defined period of interest).

2023년 7월 19일

릴리즈 노트

Added configurable source

2023년 9월 12일

릴리즈 노트

Updated to overlay main chart